MKW Futures : Short Term FX Program

Year-to-Date: N / A
Aug Performance: -2.53%

Min Investment: $ 1,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 5.28%
Sharpe (RFR=1%): -0.26
CAROR: -0.52%

Assets: $ 10.1M
Worst DD: -18.36
S&P Correlation: -0.06

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Growth of 1,000 - VAMI

Monthly Performance

Export Data

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index	Aug	Qtr	YTD	1yr	3yr	5yr	10yr	Since 7/2004
Short Term FX Program	-2.53	-	-	-	-	-	-10.66	-3.70
S&P 500	-5.68	-	-	-	-	-	7.52	214.43
+/- S&P 500	3.15	-	-	-	-	-	-18.18	-218.13

Strategy Description

Summary

This is a trend following program based on technical signals. It is target driven and uses trailing stops to manage its risk. ... Read More

Account & Fees

Type	Managed Account
Minimum Investment	$ 1,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	1.00%
Performance Fee	20.00%
Average Commission	$8.00
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	Daily
Redemption Frequency	Daily
Investor Requirements	Any Investor
Lock-up Period	0

Trading

Trading Frequency	1200 RT/YR/$M
Avg. Margin-to-Equity	6%
Targeted Worst DD
Worst Peak-to-Trough	0%
Sector Focus	Currency Traders

Holding Periods

Over 12 Months	0%
4-12 Months	0%
1-3 Months	0%
1-30 Days	0%
Intraday	0%

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Trend-following: 100.00%

Composition

Currency FX: 100.00%

Summary

This is a trend following program based on technical signals. It is target driven and uses trailing stops to manage its risk.

Investment Strategy

It currently trades eight currency pairs, Euro/US Dollar, Sterling/US Dollar, US Dollar/Yen, Australian Dollar/US Dollar, New Zealand Dollar/US Dollar, US Dollar/South African Rand,US Dollar/Canadian Dollar,and Sterling/Yen.

Risk Management

Risk is managed from the top down by setting a portfolio and sector limits.

Compare to:

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Index: Chart Type:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Compare to:

Index:

Monthly Annual

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Risk
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Reward
Compound RoR:
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Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth	Length (Mos.)	Recovery (Mos.)	Peak	Valley
-18.36	27	-	5/1/2009	8/1/2011
-6.71	14	6	12/1/2005	2/1/2007
-5.64	8	4	10/1/2007	6/1/2008
-2.36	3	2	7/1/2004	10/1/2004
-1.43	4	1	6/1/2005	10/1/2005
-1.21	4	3	10/1/2008	2/1/2009
-0.97	1	1	4/1/2005	5/1/2005
-0.29	1	1	12/1/2004	1/1/2005

Consecutive Gains

Run-up	Length (Mos.)	Start	End
9.09	5	6/1/2007	10/1/2007
6.00	3	2/1/2005	4/1/2005
5.28	2	7/1/2008	8/1/2008
5.00	1	10/1/2008	10/1/2008
4.74	2	3/1/2007	4/1/2007
3.28	2	11/1/2004	12/1/2004
2.47	1	4/1/2011	4/1/2011
2.14	1	5/1/2009	5/1/2009
2.09	2	11/1/2005	12/1/2005
1.10	1	3/1/2009	3/1/2009
0.99	1	6/1/2005	6/1/2005
0.79	1	9/1/2009	9/1/2009
0.69	1	2/1/2006	2/1/2006
0.69	1	2/1/2008	2/1/2008
0.60	2	4/1/2010	5/1/2010
0.46	1	12/1/2009	12/1/2009
0.41	1	4/1/2006	4/1/2006
0.39	1	11/1/2006	11/1/2006
0.38	1	11/1/2010	11/1/2010
0.30	2	8/1/2005	9/1/2005
0.25	1	7/1/2010	7/1/2010
0.16	1	5/1/2008	5/1/2008
0.05	1	12/1/2008	12/1/2008
0.04	1	9/1/2004	9/1/2004

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-6.42	4	5/1/2011	8/1/2011
-4.88	4	12/1/2010	3/1/2011
-3.93	3	8/1/2010	10/1/2010
-3.67	6	5/1/2006	10/1/2006
-3.63	2	10/1/2009	11/1/2009
-3.51	3	6/1/2009	8/1/2009
-3.35	3	11/1/2007	1/1/2008
-2.69	2	3/1/2008	4/1/2008
-1.89	2	7/1/2004	8/1/2004
-1.74	3	1/1/2010	3/1/2010
-1.70	1	5/1/2007	5/1/2007
-1.65	3	12/1/2006	2/1/2007
-1.60	1	3/1/2006	3/1/2006
-1.40	1	1/1/2006	1/1/2006
-1.31	1	7/1/2005	7/1/2005
-1.15	1	9/1/2008	9/1/2008
-1.02	2	1/1/2009	2/1/2009
-0.97	1	5/1/2005	5/1/2005
-0.53	1	6/1/2010	6/1/2010
-0.52	1	6/1/2008	6/1/2008
-0.52	1	10/1/2004	10/1/2004
-0.42	1	10/1/2005	10/1/2005
-0.29	1	1/1/2005	1/1/2005
-0.24	1	11/1/2008	11/1/2008
-0.22	1	4/1/2009	4/1/2009

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	86.00	84.00	81.00	75.00	69.00	63.00	51.00	39.00	27.00
Percent Profitable	41.86	39.29	45.68	48.00	56.52	66.67	70.59	84.62	59.26
Average Period Return	-0.03	0.00	0.15	0.29	0.63	1.27	4.36	5.72	3.84
Average Gain	1.30	2.81	4.06	5.90	6.00	5.56	8.41	7.67	8.51
Average Loss	-1.01	-1.82	-3.15	-4.89	-6.35	-7.33	-5.37	-5.00	-2.96
Best Period	5.00	8.55	9.15	10.89	12.21	14.60	15.11	18.68	16.88
Worst Period	-3.05	-4.85	-6.28	-10.66	-12.46	-15.42	-13.74	-11.58	-5.86
Standard Deviation	1.52	2.85	4.40	6.07	6.89	7.85	7.28	6.30	7.46
Gain Standard Deviation	1.30	2.32	3.23	2.90	2.66	4.67	3.70	4.41	6.10
Loss Standard Deviation	0.75	1.20	1.71	2.59	3.59	5.45	3.41	3.74	1.71
Sharpe Ratio (1%)	-0.08	-0.09	-0.08	-0.12	-0.13	-0.09	0.18	0.26	-0.17
Average Gain / Average Loss	1.28	1.54	1.29	1.21	0.94	0.76	1.57	1.53	2.88
Profit / Loss Ratio	0.94	1.00	1.09	1.11	1.23	1.52	3.76	8.44	4.19
Downside Deviation (10%)	1.21	2.57	4.38	7.45	9.71	11.81	13.49	17.01	24.89
Downside Deviation (5%)	1.00	1.86	2.96	4.63	5.68	6.22	4.91	3.84	5.43
Downside Deviation (0%)	0.95	1.69	2.63	3.98	4.79	5.23	3.41	2.38	2.16
Sortino Ratio (10%)	-0.36	-0.48	-0.53	-0.63	-0.72	-0.76	-0.85	-0.93	-0.96
Sortino Ratio (5%)	-0.12	-0.13	-0.12	-0.15	-0.15	-0.12	0.27	0.43	-0.23
Sortino Ratio (0%)	-0.03	0.00	0.06	0.07	0.13	0.24	1.28	2.41	1.78

Top Performer Badges

Index	Award Type	Rank	Performance	Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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More Programs by MKW Futures

Program Name	CAROR

IASG Activity

Blends 4
Portfolios 3
Watchlists 2

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MKW Futures : Short Term FX Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

MKW Futures : Short Term FX Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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