MKW Futures : Short Term FX Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since7/2004 Short Term FX Program -2.53 - - - - - -8.75 -3.70 S&P 500 -5.68 - - - - - 7.52 237.40 +/- S&P 500 3.15 - - - - - -16.28 -241.10 Strategy Description SummaryThis 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% SummaryThis is a trend following program based on technical signals. It is target driven and uses trailing stops to manage its risk. Investment StrategyIt 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 ManagementRisk is managed from the top down by setting a portfolio and sector limits. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: 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: Kurtosis: Reward Compound RoR: Average RoR: 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: Kurtosis: 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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods86.0084.0081.0075.0069.0063.0051.0039.0027.00 Percent Profitable41.8639.2945.6848.0056.5266.6770.5984.6259.26 Average Period Return-0.030.000.150.290.631.274.365.723.84 Average Gain1.302.814.065.906.005.568.417.678.51 Average Loss-1.01-1.82-3.15-4.89-6.35-7.33-5.37-5.00-2.96 Best Period5.008.559.1510.8912.2114.6015.1118.6816.88 Worst Period-3.05-4.85-6.28-10.66-12.46-15.42-13.74-11.58-5.86 Standard Deviation1.522.854.406.076.897.857.286.307.46 Gain Standard Deviation1.302.323.232.902.664.673.704.416.10 Loss Standard Deviation0.751.201.712.593.595.453.413.741.71 Sharpe Ratio (1%)-0.08-0.09-0.08-0.12-0.13-0.090.180.26-0.17 Average Gain / Average Loss1.281.541.291.210.940.761.571.532.88 Profit / Loss Ratio0.941.001.091.111.231.523.768.444.19 Downside Deviation (10%)1.212.574.387.459.7111.8113.4917.0124.89 Downside Deviation (5%)1.001.862.964.635.686.224.913.845.43 Downside Deviation (0%)0.951.692.633.984.795.233.412.382.16 Sortino Ratio (10%)-0.36-0.48-0.53-0.63-0.72-0.76-0.85-0.93-0.96 Sortino Ratio (5%)-0.12-0.13-0.12-0.15-0.15-0.120.270.43-0.23 Sortino Ratio (0%)-0.030.000.060.070.130.241.282.411.78 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. x {{title}} x {{title}} Add Cancel