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

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

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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	2019	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%

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.

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

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Index:

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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	92.00	90.00	87.00	81.00	75.00	69.00	57.00	45.00	33.00
Percent Profitable	68.48	70.00	77.01	85.19	88.00	88.41	100.00	100.00	100.00
Average Period Return	1.28	3.96	8.23	18.37	30.51	43.90	75.86	115.96	152.96
Average Gain	2.69	7.10	11.92	23.02	35.99	50.69	75.86	115.96	152.96
Average Loss	-2.47	-4.14	-4.58	-8.41	-9.65	-7.83
Best Period	7.78	13.40	26.12	43.33	63.52	78.41	113.96	173.30	220.19
Worst Period	-7.65	-10.48	-11.21	-13.33	-14.12	-11.97	0.23	34.74	62.81
Standard Deviation	2.85	5.86	8.77	14.56	20.50	25.23	32.80	42.77	53.85
Gain Standard Deviation	1.87	3.33	5.89	9.87	14.93	17.79	32.80	42.77	53.85
Loss Standard Deviation	2.10	3.26	4.37	4.61	3.57	3.56
Sharpe Ratio (1%)	0.42	0.63	0.88	1.19	1.42	1.66	2.22	2.62	2.75
Average Gain / Average Loss	1.09	1.71	2.60	2.74	3.73	6.48
Profit / Loss Ratio	3.28	4.91	9.68	15.74	27.34	49.39
Downside Deviation (10%)	1.69	3.10	3.77	5.45	6.13	6.29	3.27
Downside Deviation (5%)	1.56	2.68	3.01	4.00	4.04	3.54	0.49
Downside Deviation (0%)	1.53	2.58	2.84	3.66	3.54	2.90
Sortino Ratio (10%)	0.52	0.88	1.53	2.45	3.74	5.35	18.39
Sortino Ratio (5%)	0.77	1.38	2.57	4.34	7.19	11.85	148.94
Sortino Ratio (0%)	0.84	1.53	2.90	5.02	8.62	15.16

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.

^#5

Top Performer

IASG CTA INDEX

2015
SHARPE

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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