Skibo Asset Management : Currency Program

archived programs
Year-to-Date
N / A
Jul Performance
-0.15%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
11.80%
Sharpe (RFR=1%)
0.73
CAROR
9.36%
Assets
$ 150k
Worst DD
-7.48
S&P Correlation
-0.02

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
6/2006
Currency Program -0.15 - - - - - - 21.40
S&P 500 -0.99 - - - - - - 154.78
+/- S&P 500 0.84 - - - - - - -133.37

Strategy Description

Summary

-The trader has over thirty years of experience in the futures industry. Over time he noticed one particular chart pattern that has worked over 70% of the time with a good risk/reward ratio. He has been trading it for twenty years and has recently begun offering it as a Forex only... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

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

Trading

Trading Frequency 0 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

-The trader has over thirty years of experience in the futures industry. Over time he noticed one particular chart pattern that has worked over 70% of the time with a good risk/reward ratio. He has been trading it for twenty years and has recently begun offering it as a Forex only strategy. It is based on a chart pattern but is not black boxed. There is a fixed stop loss on each position and a stop order is entered when the trade is entered. We are rarely in the market, sometimes going many weeks without a trade, thus keeping event risk low. We can trade Spot FX or Futures. Commodities Traded: Dollar Index Japanese Yen British Pound Euro Currency Swiss Franc Australian Dollar

   

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
-7.48 10 3 12/1/2006 10/1/2007
-4.65 3 2 7/1/2006 10/1/2006
-3.55 1 1 2/1/2008 3/1/2008
-0.15 1 - 6/1/2008 7/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
17.55 3 4/1/2008 6/1/2008
9.39 4 11/1/2007 2/1/2008
6.26 2 11/1/2006 12/1/2006
4.57 2 6/1/2006 7/1/2006
3.06 1 8/1/2007 8/1/2007
1.03 1 9/1/2006 9/1/2006
0.21 1 5/1/2007 5/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.25 2 9/1/2007 10/1/2007
-4.44 4 1/1/2007 4/1/2007
-3.55 1 3/1/2008 3/1/2008
-2.89 1 10/1/2006 10/1/2006
-2.81 1 8/1/2006 8/1/2006
-0.15 1 7/1/2008 7/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable53.8562.5061.9060.00100.00
Average Period Return0.802.193.584.668.09
Average Gain2.935.256.998.838.09
Average Loss-2.01-2.91-1.95-1.59
Best Period11.8117.5517.9719.8315.98
Worst Period-6.14-4.65-4.24-2.970.62
Standard Deviation3.415.486.808.366.94
Gain Standard Deviation2.884.606.538.546.94
Loss Standard Deviation2.061.491.551.00
Sharpe Ratio (1%)0.210.350.450.440.95
Average Gain / Average Loss1.451.803.585.54
Profit / Loss Ratio2.043.015.828.31
Downside Deviation (10%)1.932.682.904.624.12
Downside Deviation (5%)1.782.121.761.740.39
Downside Deviation (0%)1.741.981.501.16
Sortino Ratio (10%)0.200.360.38-0.070.12
Sortino Ratio (5%)0.410.921.752.1116.87
Sortino Ratio (0%)0.461.112.394.01

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.