Orwell Capital LLP : Plurima Orwell Currency Alpha

archived programs
Year-to-Date
N / A
May Performance
0.29%
Min Investment
€ 250k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
6.79%
Sharpe (RFR=1%)
0.24
CAROR
-
Assets
€ 11.0M
Worst DD
-8.24
S&P Correlation
-0.23

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
10/2013
Plurima Orwell Currency Alpha 0.29 - - - - - - 4.13
S&P 500 1.05 - - - - - - 84.27
+/- S&P 500 -0.76 - - - - - - -80.14

Strategy Description

Account & Fees

Type Fund
Minimum Investment € 250k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 8.00%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 75.00%
Intraday 5.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
15.00%
Trend-following
75.00%
Other
10.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart
   

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
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
-8.24 5 - 12/1/2013 5/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
5.05 3 10/1/2013 12/1/2013
4.77 1 9/1/2014 9/1/2014
3.79 2 12/1/2014 1/1/2015
1.58 2 6/1/2014 7/1/2014
0.95 1 3/1/2015 3/1/2015
0.56 1 3/1/2014 3/1/2014
0.29 1 5/1/2015 5/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-4.80 2 1/1/2014 2/1/2014
-4.15 2 4/1/2014 5/1/2014
-1.64 2 10/1/2014 11/1/2014
-1.63 1 2/1/2015 2/1/2015
-0.13 1 4/1/2015 4/1/2015
-0.05 1 8/1/2014 8/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable55.0061.1166.6777.78
Average Period Return0.220.440.802.28
Average Gain1.542.553.543.62
Average Loss-1.39-2.88-4.67-2.40
Best Period4.775.056.918.02
Worst Period-2.45-4.27-7.54-3.25
Standard Deviation1.963.134.553.43
Gain Standard Deviation1.501.572.062.46
Loss Standard Deviation1.001.632.581.21
Sharpe Ratio (1%)0.070.060.070.37
Average Gain / Average Loss1.110.880.761.51
Profit / Loss Ratio1.351.391.515.27
Downside Deviation (10%)1.362.734.374.10
Downside Deviation (5%)1.172.173.271.66
Downside Deviation (0%)1.132.033.011.20
Sortino Ratio (10%)-0.14-0.29-0.38-0.66
Sortino Ratio (5%)0.120.090.090.77
Sortino Ratio (0%)0.200.220.271.90

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.