SMILe Global Management Limited : SMILe Managed Currency Account (JD Standard)

archived programsClosed to new investments
Year-to-Date
N / A
Aug Performance
0.00%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
30.00%
Annualized Vol
9.87%
Sharpe (RFR=1%)
1.46
CAROR
15.96%
Assets
$ 798k
Worst DD
-14.12
S&P Correlation
-0.03

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
SMILe Managed Currency Account (JD Standard) 0.00 0.00 - -11.21 0.23 62.81 - 211.16
S&P 500 -0.12 3.53 - 10.08 32.94 78.08 - 162.82
+/- S&P 500 0.12 -3.53 - -21.29 -32.72 -15.27 - 48.33

Strategy Description

Summary

The managed currency account is an individual trading account which is managed to provide attractive returns with a risk strategy aimed at reducing volatility to the global currency markets.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 25k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
30.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
80.00%
Spreading/hedging
5.00%
Technical
10.00%
Trend-following
5.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The managed currency account is an individual trading account which is managed to provide attractive returns with a risk strategy aimed at reducing volatility to the global currency markets.

Investment Strategy

Investment Universe

The managed product is constructed pre-dominantly from USD, GBP and EUR currency pairings with AUD, CAD, JPY, NZD & CHF.

Investment Team

The investment team is a highly specialised team with a combined experience of over 60 years in the FX markets. The team members who form this team are professional motivated individuals with a strong belief in the managed account programme. The team members have all worked within the financial services industry for many years.

Research

The investment team conducts research using its own procedures and methodology with the main focus of identifying strategies that are able to produce consistent returns over time. The manager’s research process contains both quantitative and qualitative elements.

Portfolio construction

The portfolio targets a return of 25% per annum with minimal volatility over the medium to longer term. The target return is the aim of the investment team and it does not constitute a guarantee. The managed account may use derivatives and currency hedges if required to ensure minimal exposure and risks.

Risk Management

Risks are calculated on each individual trade and follow a determined strategy to reduce exposure and account drawdown to a minimum.

NOTE: Trading performance is based on an account of 250,000. Performance can vary depending on the underlying broker due to spreads, commissions and execution costs.NOTE: account based on client account starting at 250,000. All figures are gross of performance fee and management charge. Net of dealing costs.

   

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
-14.12 13 - 12/1/2014 1/1/2016
-9.11 3 2 12/1/2011 3/1/2012
-6.78 2 2 8/1/2014 10/1/2014
-5.04 2 2 8/1/2013 10/1/2013
-4.76 2 2 7/1/2009 9/1/2009
-3.60 1 3 2/1/2010 3/1/2010
-2.30 1 1 4/1/2011 5/1/2011
-0.60 1 1 2/1/2009 3/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
35.91 13 4/1/2010 4/1/2011
31.21 8 4/1/2012 11/1/2012
25.69 8 1/1/2013 8/1/2013
21.44 7 6/1/2011 12/1/2011
19.89 10 11/1/2013 8/1/2014
19.69 5 10/1/2009 2/1/2010
13.02 4 4/1/2009 7/1/2009
9.96 2 11/1/2014 12/1/2014
4.05 2 1/1/2009 2/1/2009
2.13 1 3/1/2015 3/1/2015
1.71 2 7/1/2015 8/1/2015
0.67 1 11/1/2015 11/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.48 9 12/1/2015 8/1/2016
-9.11 3 1/1/2012 3/1/2012
-6.78 2 9/1/2014 10/1/2014
-5.04 2 9/1/2013 10/1/2013
-4.76 2 8/1/2009 9/1/2009
-3.77 3 4/1/2015 6/1/2015
-3.60 1 3/1/2010 3/1/2010
-3.24 2 1/1/2015 2/1/2015
-2.30 1 5/1/2011 5/1/2011
-1.48 2 9/1/2015 10/1/2015
-0.60 1 3/1/2009 3/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods92.0090.0087.0081.0075.0069.0057.0045.0033.00
Percent Profitable68.4870.0077.0185.1988.0088.41100.00100.00100.00
Average Period Return1.283.968.2318.3730.5143.9075.86115.96152.96
Average Gain2.697.1011.9223.0235.9950.6975.86115.96152.96
Average Loss-2.47-4.14-4.58-8.41-9.65-7.83
Best Period7.7813.4026.1243.3363.5278.41113.96173.30220.19
Worst Period-7.65-10.48-11.21-13.33-14.12-11.970.2334.7462.81
Standard Deviation2.855.868.7714.5620.5025.2332.8042.7753.85
Gain Standard Deviation1.873.335.899.8714.9317.7932.8042.7753.85
Loss Standard Deviation2.103.264.374.613.573.56
Sharpe Ratio (1%)0.420.630.881.191.421.662.222.622.75
Average Gain / Average Loss1.091.712.602.743.736.48
Profit / Loss Ratio3.284.919.6815.7427.3449.39
Downside Deviation (10%)1.693.103.775.456.136.293.27
Downside Deviation (5%)1.562.683.014.004.043.540.49
Downside Deviation (0%)1.532.582.843.663.542.90
Sortino Ratio (10%)0.520.881.532.453.745.3518.39
Sortino Ratio (5%)0.771.382.574.347.1911.85148.94
Sortino Ratio (0%)0.841.532.905.028.6215.16

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Sharpe 5 1.76 2014 - 2015
IASG CTA Index 5 Year Rolling 7 109.07 2010 - 2015
IASG CTA Index 3 Year Rolling 9 74.93 2011 - 2014
IASG CTA Index Sharpe 5 2.18 2013 - 2014
Discretionary Trader Index Month 1 7.42 12/2014
IASG CTA Index 5 Year Rolling 4 191.54 2009 - 2014
IASG CTA Index Sharpe 5 2.40 2012 - 2013
IASG CTA Index 3 Year Rolling 8 98.34 2010 - 2013
Discretionary Trader Index Month 4 6.50 12/2013
Discretionary Trader Index Month 5 6.15 7/2013
Discretionary Trader Index Month 9 3.35 4/2013
Discretionary Trader Index Month 7 1.80 3/2013
Discretionary Trader Index Month 6 6.40 2/2013
IASG CTA Index Sharpe 7 2.38 2011 - 2012
Discretionary Trader Index Month 10 3.60 5/2012
Discretionary Trader Index Month 5 7.78 4/2012
IASG CTA Index Month 8 7.78 4/2012
IASG CTA Index Sharpe 10 3.02 2010 - 2011
Discretionary Trader Index Month 9 5.23 6/2011
Discretionary Trader Index Month 4 6.21 7/2010
Discretionary Trader Index Month 8 4.70 12/2009
Discretionary Trader Index Month 7 4.86 7/2009

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