Plimsoll Capital : Headwind Currency Strategy

archived programs
Year-to-Date
N / A
Jun Performance
-0.60%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.83%
Sharpe (RFR=1%)
1.23
CAROR
7.02%
Assets
$ 22.1M
Worst DD
-2.79
S&P Correlation
0.10

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
5/2003
Headwind Currency Strategy -0.60 - - - - - - 41.98
S&P 500 -8.60 - - - - - - 259.50
+/- S&P 500 8.00 - - - - - - -217.52

Strategy Description

Summary

-Plimsoll Capital, LLC is a currency management specialist, offering both absolute return programs and advisory services. Plimsoll has a proven track record in active currency management since 2002. Plimsoll?s goal is to provide investors with consistent returns in all market conditions,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
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 600 RT/YR/$M
Avg. Margin-to-Equity 0%
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 Capital, LLC is a currency management specialist, offering both absolute return programs and advisory services. Plimsoll has a proven track record in active currency management since 2002. Plimsoll?s goal is to provide investors with consistent returns in all market conditions, while maintaining a low overall risk profile.Plimsoll views currency not only as a hedging instrument, but also as its own asset class which generates returns uncorrelated to traditional assets. Through detailed research and analysis, Plimsoll developed its Headwind Currency Strategy in May of 2003 and has been successfully trading this strategy ever since.Plimsoll also offers custom hedging solutions on an advisory basis for corporations, bond funds, or any entity that has risk to currency fluctuations. Using a mixture of cash trades and options, entities with currency exposure can mitigate risk and create potential upside. Plimsoll develops solutions for large corporations and multi-billion dollar fixed-income funds.

   

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
-2.79 3 - 3/1/2008 6/1/2008
-1.50 2 2 2/1/2006 4/1/2006
-1.46 2 1 6/1/2004 8/1/2004
-1.28 4 3 8/1/2007 12/1/2007
-1.04 1 2 10/1/2003 11/1/2003
-0.99 1 1 10/1/2004 11/1/2004
-0.78 1 4 3/1/2007 4/1/2007
-0.77 1 1 10/1/2005 11/1/2005
-0.77 1 1 2/1/2004 3/1/2004
-0.65 3 2 1/1/2005 4/1/2005
-0.52 1 1 4/1/2004 5/1/2004
-0.12 1 2 11/1/2006 12/1/2006
-0.10 1 1 8/1/2005 9/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
22.73 6 5/1/2003 10/1/2003
6.38 7 5/1/2006 11/1/2006
3.85 3 12/1/2005 2/1/2006
3.79 4 5/1/2005 8/1/2005
2.54 3 1/1/2008 3/1/2008
2.31 2 9/1/2004 10/1/2004
2.03 2 12/1/2004 1/1/2005
1.59 3 12/1/2003 2/1/2004
1.46 1 4/1/2004 4/1/2004
1.01 1 8/1/2007 8/1/2007
0.94 1 6/1/2004 6/1/2004
0.93 3 1/1/2007 3/1/2007
0.89 1 10/1/2005 10/1/2005
0.52 1 5/1/2007 5/1/2007
0.34 1 10/1/2007 10/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.79 3 4/1/2008 6/1/2008
-1.50 2 3/1/2006 4/1/2006
-1.46 2 7/1/2004 8/1/2004
-1.04 1 11/1/2003 11/1/2003
-0.99 1 11/1/2004 11/1/2004
-0.85 2 11/1/2007 12/1/2007
-0.78 1 4/1/2007 4/1/2007
-0.77 1 9/1/2007 9/1/2007
-0.77 1 11/1/2005 11/1/2005
-0.77 1 3/1/2004 3/1/2004
-0.65 3 2/1/2005 4/1/2005
-0.52 1 5/1/2004 5/1/2004
-0.35 2 6/1/2007 7/1/2007
-0.12 1 12/1/2006 12/1/2006
-0.10 1 9/1/2005 9/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable62.9078.3389.4794.1297.78100.00100.00100.00
Average Period Return0.581.652.855.127.8410.8416.8121.84
Average Gain1.262.263.245.478.0310.8416.8121.84
Average Loss-0.59-0.57-0.41-0.37-0.28
Best Period6.3415.2822.7324.2225.7526.2134.0142.59
Worst Period-1.44-2.79-0.60-0.60-0.284.2010.3413.83
Standard Deviation1.393.134.054.484.634.325.388.94
Gain Standard Deviation1.323.264.124.394.524.325.388.94
Loss Standard Deviation0.370.690.120.22
Sharpe Ratio (1%)0.350.450.580.921.372.042.561.99
Average Gain / Average Loss2.153.947.9014.8528.39
Profit / Loss Ratio3.6514.2367.13237.541249.16
Downside Deviation (10%)0.651.011.402.212.411.951.714.15
Downside Deviation (5%)0.460.490.310.370.33
Downside Deviation (0%)0.420.410.140.100.04
Sortino Ratio (10%)0.260.420.280.060.100.300.610.07
Sortino Ratio (5%)1.072.837.6111.0419.23
Sortino Ratio (0%)1.374.0420.7851.40186.06

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.