Monolith Capital, LLC : Currency Opportunities

archived programs
Year-to-Date
N / A
Feb Performance
-1.10%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.04%
Sharpe (RFR=1%)
1.69
CAROR
-
Assets
$ 1.9M
Worst DD
-3.75
S&P Correlation
0.21

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
Currency Opportunities -1.10 - - - - - - 22.49
S&P 500 4.31 - - - - - - 122.20
+/- S&P 500 -5.41 - - - - - - -99.71

Strategy Description

Summary

Monolith Capital offers the Currency Opportunities Program to investors. The Currency Opportunities Program is a globally focused investment program that seeks absolute, dollar denominated returns using leveraged foreign exchange and currency investment strategies, grounded in a strict... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1100 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD -8.00%
Worst Peak-to-Trough 1.28%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 50.00%
Intraday 50.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
20.00%
Momentum
15.00%
Pattern Recognition
10.00%
Technical
30.00%
Trend-following
15.00%
Other
10.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Monolith Capital offers the Currency Opportunities Program to investors. The Currency Opportunities Program is a globally focused investment program that seeks absolute, dollar denominated returns using leveraged foreign exchange and currency investment strategies, grounded in a strict risk management framework. The trading model was developed through 12 months and over 400 hours of significant analysis, testing, and trial between January 2012 and December 2012, before being launched in January 2013.
The paramount focus of the strategy is to achieve uncorrelated, superior risk adjusted returns in excess of the general markets, while maintaining annual volatility of 6-8%.

Investment Strategy

The Program's trading strategy rests in the core belief of building wealth consistently, in any market condition, while attempting to minimize portfolio risk, using multiple controls to mitigate downside volatility. The Program utilizes a discretionary technical and fundamental trading model developed by Monolith Capital which analyzes historical price behavior, utilizing multiple technical indicators and time horizons, to attempt to forecast future short-term price trends. The Program proactively pursues a directional agnostic, global event and technically driven investment approach of managed foreign exchange across specific classes of currencies. The Program strives to provide superior risk adjusted returns by using a multifaceted investment strategy which includes:

*Use of multiple indicator analysis of technical, trend, pattern recognition, volume, and behavioral finance.
*Tactical trading with holding periods varying between intra-day and intra-week, capitalizing on volatility and momentum.
*Maintaining investments with high liquidity.
*Rigorous risk management framework to mitigate downside volatility.
*Evaluation and in depth research of the underlying economics of potential investment opportunities.
*Thorough back testing to analyze the efficacy of investment methodology.

Risk Management

Strict control of value at risk.
Small relative position exposure.
Strict parameters to mitigate and close losing trading positions.

   

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

Reward
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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
-3.75 2 - 9/1/2013 11/1/2013
-1.28 1 1 7/1/2013 8/1/2013
-0.43 1 1 1/1/2013 2/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
22.92 5 3/1/2013 7/1/2013
4.23 1 9/1/2013 9/1/2013
1.74 1 12/1/2013 12/1/2013
0.64 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.75 2 10/1/2013 11/1/2013
-1.31 2 1/1/2014 2/1/2014
-1.28 1 8/1/2013 8/1/2013
-0.43 1 2/1/2013 2/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable57.1483.33100.00
Average Period Return1.505.4911.91
Average Gain3.476.8011.91
Average Loss-1.13-1.07
Best Period7.2615.3222.39
Worst Period-2.21-2.070.55
Standard Deviation2.905.879.08
Gain Standard Deviation2.205.519.08
Loss Standard Deviation0.741.42
Sharpe Ratio (1%)0.490.891.26
Average Gain / Average Loss3.066.36
Profit / Loss Ratio4.0831.81
Downside Deviation (10%)1.101.100.86
Downside Deviation (5%)0.910.68
Downside Deviation (0%)0.860.60
Sortino Ratio (10%)0.993.8910.97
Sortino Ratio (5%)1.557.75
Sortino Ratio (0%)1.749.18

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.