ROW Asset Managment : Row Currency Program

archived programs
Year-to-Date
N / A
Oct Performance
-0.41%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.39%
Sharpe (RFR=1%)
-0.01
CAROR
0.44%
Assets
$ 26.0M
Worst DD
-15.75
S&P Correlation
0.11

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
11/2010
Row Currency Program -0.41 -1.53 - -4.22 -5.39 5.91 - 3.58
S&P 500 -6.94 -3.71 - 5.30 29.10 52.82 - 131.40
+/- S&P 500 6.53 2.19 - -9.52 -34.49 -46.92 - -127.82

Strategy Description

Summary

ROWAM employs a systematic approach to global currency markets. We create a superset of assets relative to the limited universe of simple pairs. ROWAM models are designed to find a greater number of different, diversifying assets to trade. ... 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
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Counter-trend
15.00%
Option-spreads
10.00%
Pattern Recognition
5.00%
Trend-following
35.00%
Other
35.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

ROWAM employs a systematic approach to global currency markets. We create a superset of assets relative to the limited universe of simple pairs. ROWAM models are designed to find a greater number of different, diversifying assets to trade.

Investment Strategy

ROW Currency Fund, LLC splits the currency universe into quantitative and qualitative analysis. Each subset is traded using a different approach.Inter-rated currency markets have consistent relationships with other members of the set. Correlation data is useful in building a dynamic portfolio. Typically 85% of portfolio risk. Autonomous markets are generally government managed. Estimated correlations are likely to be spurious. Less complexity is preferred. Typicially 15% of total portfolio risk. Inter-related markets possess multivariate relationships that go beyond a simple pair. The solution is building clusters. A pair can be thought of as a cluster with two components. ROWAM builds more complex clusters of currencies. We design clusters specificially to increase our investment univers and improve the forecast accuracy of our models. The weights within clusters are derived from a proprietary methodology that involves Principal Component Analysis (PCA).

Risk Management

ROW Asset Management tailors risk management to a particular strategy instead of applying the same methodology to the entire portfolio. Trade selection and sizing is handled locally so that the global VaR calculation is not biased.

   

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
-15.75 12 17 12/1/2010 12/1/2011
-11.98 43 - 3/1/2015 10/1/2018
-5.47 6 3 6/1/2013 12/1/2013
-3.17 2 3 5/1/2014 7/1/2014
-0.68 1 1 3/1/2014 4/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
15.06 2 1/1/2012 2/1/2012
13.90 8 8/1/2014 3/1/2015
8.63 2 6/1/2012 7/1/2012
6.84 5 12/1/2015 4/1/2016
6.40 3 1/1/2014 3/1/2014
6.36 2 6/1/2016 7/1/2016
5.23 3 2/1/2011 4/1/2011
4.33 4 3/1/2013 6/1/2013
4.10 2 2/1/2017 3/1/2017
3.80 1 1/1/2013 1/1/2013
3.66 1 5/1/2014 5/1/2014
3.30 2 6/1/2017 7/1/2017
2.17 2 1/1/2018 2/1/2018
2.15 3 7/1/2015 9/1/2015
2.07 2 11/1/2010 12/1/2010
1.87 1 9/1/2012 9/1/2012
0.98 1 9/1/2011 9/1/2011
0.86 2 9/1/2016 10/1/2016
0.74 1 11/1/2017 11/1/2017
0.63 1 7/1/2018 7/1/2018
0.50 1 10/1/2013 10/1/2013
0.28 1 7/1/2011 7/1/2011
0.25 1 11/1/2012 11/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.13 3 3/1/2012 5/1/2012
-9.49 3 11/1/2016 1/1/2017
-8.94 1 1/1/2011 1/1/2011
-5.96 1 5/1/2016 5/1/2016
-4.96 3 10/1/2011 12/1/2011
-4.74 3 4/1/2015 6/1/2015
-4.71 3 7/1/2013 9/1/2013
-4.59 1 8/1/2011 8/1/2011
-4.39 2 10/1/2015 11/1/2015
-4.25 2 5/1/2011 6/1/2011
-3.85 3 8/1/2017 10/1/2017
-3.63 3 8/1/2018 10/1/2018
-3.17 2 6/1/2014 7/1/2014
-2.67 4 3/1/2018 6/1/2018
-2.42 1 8/1/2012 8/1/2012
-2.13 1 8/1/2016 8/1/2016
-1.29 2 11/1/2013 12/1/2013
-0.68 1 12/1/2017 12/1/2017
-0.68 1 4/1/2014 4/1/2014
-0.68 2 4/1/2017 5/1/2017
-0.63 1 10/1/2012 10/1/2012
-0.27 1 12/1/2012 12/1/2012
-0.25 1 2/1/2013 2/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods96.0094.0091.0085.0079.0073.0061.0049.0037.00
Percent Profitable53.1346.8152.7561.1859.4963.0175.4195.92100.00
Average Period Return0.070.200.671.863.404.898.7413.8114.52
Average Gain1.813.984.805.998.4410.9613.3814.4914.52
Average Loss-1.90-3.13-3.95-4.64-4.00-5.44-5.50-2.12
Best Period11.4914.1013.4319.1519.8520.0033.0727.4432.08
Worst Period-8.94-10.13-10.65-15.75-12.17-10.81-9.17-3.502.82
Standard Deviation2.714.535.416.877.638.9810.558.657.56
Gain Standard Deviation1.973.133.454.925.334.707.598.157.56
Loss Standard Deviation1.992.482.843.743.033.011.931.95
Sharpe Ratio (1%)0.00-0.010.030.130.250.320.541.131.25
Average Gain / Average Loss0.951.271.221.292.112.022.436.83
Profit / Loss Ratio1.081.121.362.033.103.437.46160.46
Downside Deviation (10%)2.083.664.856.647.949.9912.0011.3815.06
Downside Deviation (5%)1.913.053.614.203.994.884.351.490.45
Downside Deviation (0%)1.872.903.333.693.183.762.880.51
Sortino Ratio (10%)-0.16-0.28-0.37-0.47-0.53-0.54-0.59-0.68-0.87
Sortino Ratio (5%)-0.01-0.020.050.210.480.591.316.5420.95
Sortino Ratio (0%)0.040.070.200.501.071.303.0327.03

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 9 3.88 3/2016
Systematic Trader Index Month 7 11.49 1/2012
IASG CTA Index Month 8 11.49 1/2012
IASG CTA Index Sharpe 1 10.54 2009 - 2010

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