Parizek Capital : Currency Program

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
0.15%
Min Investment
$ 1,000k
Mgmt. Fee
Perf. Fee
Annualized Vol
20.49%
Sharpe (RFR=1%)
-0.10
CAROR
-3.19%
Assets
$ 303k
Worst DD
-46.76
S&P Correlation
-0.09

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
4/2006
Currency Program 0.15 -0.68 - -6.61 -27.17 -23.78 - -23.45
S&P 500 1.91 4.69 - 22.04 48.40 113.19 - 49.54
+/- S&P 500 -1.76 -5.38 - -28.64 -75.57 -136.97 - -72.99

Strategy Description

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
Performance Fee
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Not Specified

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%
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
-46.76 7 - 11/1/2007 6/1/2008
-16.83 7 2 10/1/2006 5/1/2007
-9.60 3 1 6/1/2006 9/1/2006
-5.32 1 1 8/1/2007 9/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
26.77 3 6/1/2007 8/1/2007
24.94 2 10/1/2007 11/1/2007
15.26 3 3/1/2009 5/1/2009
14.26 1 1/1/2007 1/1/2007
11.93 1 10/1/2006 10/1/2006
11.49 1 10/1/2008 10/1/2008
10.65 2 12/1/2008 1/1/2009
8.01 2 4/1/2012 5/1/2012
7.44 1 11/1/2010 11/1/2010
7.27 1 7/1/2011 7/1/2011
7.06 3 4/1/2006 6/1/2006
6.99 1 1/1/2008 1/1/2008
6.34 2 3/1/2011 4/1/2011
6.32 3 12/1/2011 2/1/2012
5.41 2 7/1/2008 8/1/2008
4.34 2 9/1/2009 10/1/2009
3.51 1 9/1/2010 9/1/2010
2.87 1 1/1/2010 1/1/2010
2.60 2 10/1/2012 11/1/2012
1.92 1 7/1/2010 7/1/2010
1.49 1 3/1/2010 3/1/2010
1.37 1 5/1/2010 5/1/2010
1.07 1 9/1/2013 9/1/2013
0.89 2 12/1/2013 1/1/2014
0.23 2 5/1/2014 6/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-44.46 5 2/1/2008 6/1/2008
-24.63 4 8/1/2011 11/1/2011
-15.37 2 11/1/2006 12/1/2006
-13.98 4 2/1/2007 5/1/2007
-11.15 9 12/1/2012 8/1/2013
-10.41 1 12/1/2007 12/1/2007
-10.19 4 6/1/2012 9/1/2012
-9.60 3 7/1/2006 9/1/2006
-7.54 1 10/1/2010 10/1/2010
-5.32 1 9/1/2007 9/1/2007
-5.26 3 6/1/2009 8/1/2009
-4.95 3 12/1/2010 2/1/2011
-3.23 2 11/1/2009 12/1/2009
-2.87 2 5/1/2011 6/1/2011
-2.41 2 10/1/2013 11/1/2013
-2.04 1 3/1/2012 3/1/2012
-1.93 3 2/1/2014 4/1/2014
-1.57 1 11/1/2008 11/1/2008
-1.39 1 8/1/2010 8/1/2010
-1.21 1 9/1/2008 9/1/2008
-0.96 1 2/1/2009 2/1/2009
-0.81 1 2/1/2010 2/1/2010
-0.44 1 6/1/2010 6/1/2010
-0.20 1 4/1/2010 4/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods99.0097.0094.0088.0082.0076.0064.0052.0040.00
Percent Profitable42.4251.5541.4943.1836.5926.3229.6944.2327.50
Average Period Return-0.09-0.32-0.54-1.94-3.39-6.09-5.45-5.96-9.30
Average Gain4.436.1311.7113.9216.9321.2816.2010.798.16
Average Loss-3.48-7.18-9.22-14.00-15.11-15.87-14.58-19.24-15.92
Best Period15.9426.7749.9543.7541.8146.5556.4932.3513.95
Worst Period-22.10-41.67-46.54-39.16-31.22-32.81-29.42-37.11-34.81
Standard Deviation5.919.9415.1817.6618.1519.1418.6717.3913.82
Gain Standard Deviation4.175.5410.4312.6913.1715.4917.848.684.17
Loss Standard Deviation4.698.9611.629.426.486.859.018.869.72
Sharpe Ratio (1%)-0.03-0.06-0.07-0.17-0.27-0.42-0.45-0.58-1.04
Average Gain / Average Loss1.270.851.270.991.121.341.110.560.51
Profit / Loss Ratio0.950.910.900.760.650.480.470.440.19
Downside Deviation (10%)4.568.5112.5515.9918.8523.2226.9532.4139.37
Downside Deviation (5%)4.418.0511.5313.3114.1816.4216.5618.6019.67
Downside Deviation (0%)4.377.9411.2812.6813.0714.8214.3315.7715.81
Sortino Ratio (10%)-0.11-0.18-0.24-0.43-0.58-0.70-0.79-0.85-0.94
Sortino Ratio (5%)-0.04-0.07-0.09-0.22-0.34-0.49-0.51-0.54-0.73
Sortino Ratio (0%)-0.02-0.04-0.05-0.15-0.26-0.41-0.38-0.38-0.59

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 3.92 4/2012
Systematic Trader Index Month 9 5.72 3/2011
Trend Following Strategy Index Month 4 5.72 3/2011
Systematic Trader Index Month 4 7.44 11/2010
Trend Following Strategy Index Month 3 7.44 11/2010
IASG CTA Index Month 4 7.44 11/2010
Trend Following Strategy Index Month 10 2.87 1/2010
Trend Following Strategy Index Month 5 3.67 10/2009
Trend Following Strategy Index Month 2 6.73 4/2009
Systematic Trader Index Month 8 6.73 4/2009
Trend Following Strategy Index Month 5 2.14 3/2009
Trend Following Strategy Index Month 3 6.19 1/2009
Systematic Trader Index Month 9 6.19 1/2009
Trend Following Strategy Index Month 8 0.16 7/2008
IASG CTA Index Month 8 9.70 11/2007
Systematic Trader Index Month 7 9.70 11/2007
Trend Following Strategy Index Month 5 9.70 11/2007
Systematic Trader Index Month 7 13.89 10/2007
IASG CTA Index Month 7 13.89 10/2007
Trend Following Strategy Index Month 7 13.89 10/2007
Trend Following Strategy Index Month 7 4.17 8/2007
IASG CTA Index Month 1 15.94 7/2007
Trend Following Strategy Index Month 1 15.94 7/2007
Systematic Trader Index Month 1 15.94 7/2007
Trend Following Strategy Index Month 1 14.26 1/2007
Systematic Trader Index Month 2 14.26 1/2007
IASG CTA Index Month 3 14.26 1/2007
IASG CTA Index Month 6 11.93 10/2006
Trend Following Strategy Index Month 3 11.93 10/2006
Systematic Trader Index Month 3 11.93 10/2006
Trend Following Strategy Index Month 3 3.01 6/2006
Systematic Trader Index Month 7 3.01 6/2006

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