Plimsoll Capital : Armada Currency Program

archived programs
Year-to-Date
N / A
Dec Performance
5.63%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.15%
Sharpe (RFR=1%)
5.00
CAROR
36.57%
Assets
$ 0k
Worst DD
-1.58
S&P Correlation
-0.39

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2005
Armada Currency Program 5.63 - - - - - - 154.73
S&P 500 -0.86 - - - - - - 193.26
+/- S&P 500 6.49 - - - - - - -38.53

Strategy Description

Summary

-Plimsoll?s Armada High-Frequency Currency Strategy consists of a unique portfolio of non-correlated automated trading models that have been carefully designed to produce superior risk-adjusted returns in a variety of market conditions. The underlying trading models are based on proprietary... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 9450 RT/YR/$M
Avg. Margin-to-Equity 10%
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
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Plimsoll?s Armada High-Frequency Currency Strategy consists of a unique portfolio of non-correlated automated trading models that have been carefully designed to produce superior risk-adjusted returns in a variety of market conditions. The underlying trading models are based on proprietary econometric microstructure models of the FX market and adaptive filtering techniques designed to analyze the tick-by-tick price series and identify pricing inefficiencies and other non-random price movements that signal profitable trading opportunities. All of the underlying strategies are high-frequency in nature in that they attempt to profit from short-term price fluctuations rather than longer-term price trends. At the portfolio level, the combined effect of the underlying strategies resembles a dynamic market making strategy that selectively supplies liquidity to the market via limit orders according to real-time predictive price and volatility models.Several of Armada?s features give it an advantage in today?s algorithmic trading marketplace.  Armada features a proprietary adaptive strategy management system which automatically adjusts position sizing based on the likelihood of profit on each individual trade.  All of Armada?s risk and exposure are constantly monitored in real-time; risk management is controlled through diversification between trading models, currency pairs, and trading signal durations. Armada also features proprietary, currency-specific, adaptive execution algorithms to fine-tune entry and exits, minimizing the effects of slippage and market impact.&

   

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
-1.58 3 2 3/1/2007 6/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
99.82 27 1/1/2005 3/1/2007
29.53 6 7/1/2007 12/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.58 3 4/1/2007 6/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable91.6797.06100.00100.00100.00100.00
Average Period Return2.657.8015.4333.3555.2277.50
Average Gain2.938.0915.4333.3555.2277.50
Average Loss-0.53-1.58
Best Period8.3319.5329.5344.6168.4286.84
Worst Period-1.18-1.584.0215.1139.1065.85
Standard Deviation1.774.116.049.259.647.77
Gain Standard Deviation1.553.826.049.259.647.77
Loss Standard Deviation0.58
Sharpe Ratio (1%)1.441.842.473.505.579.72
Average Gain / Average Loss5.545.10
Profit / Loss Ratio60.91168.39
Downside Deviation (10%)0.300.49
Downside Deviation (5%)0.220.31
Downside Deviation (0%)0.200.27
Sortino Ratio (10%)7.3913.39
Sortino Ratio (5%)11.4924.02
Sortino Ratio (0%)12.9328.71

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.