RMG Wealth Management LLP : RMG FX Strategy

archived programs
Year-to-Date
N / A
Dec Performance
0.13%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
4.98%
Sharpe (RFR=1%)
0.69
CAROR
4.39%
Assets
$ 110.0M
Worst DD
-5.35
S&P Correlation
-0.40

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
10/2012
RMG FX Strategy 0.13 - - - 0.29 -0.02 - 25.27
S&P 500 3.43 - - - 28.55 85.57 - 145.35
+/- S&P 500 -3.30 - - - -28.26 -85.59 - -120.07

Strategy Description

Summary

The RMG FX Strategy is managed by Howard Jones and Stewart Richardson. They work together to identify opportunities in G10 and some liquid Emerging Market currencies. All trades have a fundamental and technical set up which is understood at the outset. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 15.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 5.35%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 40.00%
1-30 Days 50.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The RMG FX Strategy is managed by Howard Jones and Stewart Richardson. They work together to identify opportunities in G10 and some liquid Emerging Market currencies. All trades have a fundamental and technical set up which is understood at the outset.

Investment Strategy

The RMG FX Strategy is managed by Howard Jones and Stewart Richardson. They work together to identify opportunities in G10 and some liquid Emerging Market currencies. All trades have a fundamental and technical set up which is understood at the outset.

Risk Management

Trading is implemented via cash transactions and options (puts, calls & spreads). Stop losses and profit targets are established but flexibility is always maintained. Optionality risk is always bounded – we do not sell optionality. All trades and risk exposures are actively monitored by both the investment team and the risk manager. Whilst some market conditions can lead to greater trade frequency, in general, macro trades are held for extended periods. The team believe in applying fundamental macro views via the currency markets, using the experience gained in all market conditions to put structural positions in place.

   

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
-5.35 4 13 6/1/2013 10/1/2013
-4.03 7 - 12/1/2016 7/1/2017
-2.75 3 4 1/1/2015 4/1/2015
-2.31 3 7 1/1/2016 4/1/2016
-1.17 1 2 9/1/2015 10/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
17.52 9 10/1/2012 6/1/2013
6.94 3 11/1/2014 1/1/2015
4.56 3 7/1/2014 9/1/2014
3.66 3 7/1/2015 9/1/2015
3.20 3 11/1/2015 1/1/2016
2.95 3 10/1/2016 12/1/2016
2.88 2 1/1/2014 2/1/2014
1.83 2 5/1/2016 6/1/2016
1.70 1 11/1/2013 11/1/2013
1.20 1 5/1/2015 5/1/2015
1.03 2 8/1/2017 9/1/2017
0.90 1 8/1/2013 8/1/2013
0.56 1 5/1/2014 5/1/2014
0.51 1 8/1/2016 8/1/2016
0.14 1 4/1/2017 4/1/2017
0.13 1 12/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.81 2 9/1/2013 10/1/2013
-2.75 3 2/1/2015 4/1/2015
-2.53 3 5/1/2017 7/1/2017
-2.31 3 2/1/2016 4/1/2016
-1.92 1 6/1/2014 6/1/2014
-1.68 3 1/1/2017 3/1/2017
-1.51 2 3/1/2014 4/1/2014
-1.46 1 9/1/2016 9/1/2016
-1.45 1 7/1/2013 7/1/2013
-1.17 1 10/1/2015 10/1/2015
-1.10 1 12/1/2013 12/1/2013
-0.80 1 10/1/2014 10/1/2014
-0.67 1 6/1/2015 6/1/2015
-0.54 1 7/1/2016 7/1/2016
-0.22 2 10/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable58.7355.7463.7971.1584.7892.50100.00100.00
Average Period Return0.371.051.843.215.237.9012.3514.22
Average Gain1.303.003.835.226.468.6012.3514.22
Average Loss-0.96-1.41-1.66-1.73-1.61-0.71
Best Period3.918.3912.4813.7313.8616.9225.7025.62
Worst Period-2.68-3.95-4.80-4.85-3.20-1.582.266.29
Standard Deviation1.442.763.964.154.514.874.976.37
Gain Standard Deviation1.042.043.583.043.714.354.976.37
Loss Standard Deviation0.651.011.211.441.040.75
Sharpe Ratio (1%)0.200.290.340.530.831.211.881.59
Average Gain / Average Loss1.352.122.313.024.0112.10
Profit / Loss Ratio1.932.674.067.4622.32149.20
Downside Deviation (10%)0.971.892.703.984.635.005.419.48
Downside Deviation (5%)0.791.291.481.651.270.820.15
Downside Deviation (0%)0.741.151.231.190.730.26
Sortino Ratio (10%)-0.04-0.10-0.23-0.45-0.51-0.47-0.63-0.77
Sortino Ratio (5%)0.360.620.911.352.937.1463.87
Sortino Ratio (0%)0.500.911.502.707.1530.67

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.