SMJ Capital Management Ltd. : Systematic Currency Futures

archived programs
Year-to-Date
N / A
Jun Performance
-0.80%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
6.02%
Sharpe (RFR=1%)
0.35
CAROR
-
Assets
$ 2.5M
Worst DD
-5.34
S&P Correlation
-0.32

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2016
Systematic Currency Futures -0.80 - - - 0.06 - - 4.98
S&P 500 0.48 - - - 30.43 - - 47.20
+/- S&P 500 -1.28 - - - -30.37 - - -42.22

Strategy Description

Summary

Steve Jones was with Speer Leeds,then joined Goldman Sachs,where he ran a portfolio in the Hull Trading Dividison of Goldman.He has developed algorithms that capture inefficiencies in non-alpha seeking order flow in the EUR/USD.Corporations,sovereign nations and banks are non alpha... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 3.50
Management Fee 0%
Performance Fee 30.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 7500 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -7.50%
Worst Peak-to-Trough 4.63%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
20.00%
Pattern Recognition
20.00%
Other
60.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

Steve Jones was with Speer Leeds,then joined Goldman Sachs,where he ran a portfolio in the Hull Trading Dividison of Goldman.He has developed algorithms that capture inefficiencies in non-alpha seeking order flow in the EUR/USD.Corporations,sovereign nations and banks are non alpha seeking participants and there is a unique pattern to their order flow.Steve has studied this order flow for 23 years and has been able to construct a trading program that utilizes pattern recognition and momentum incorporated with high speed execution to capitalize on the EUR/USD pair

Investment Strategy

Typically, CTAs are trend following in nature. The SMJ strategy is designed to take advantage of statistically significant biases in price action irrespective of trends or counter-trending price actions. Algos seek to take advantage of behavioral biases exhibited by non-alpha seeking entities corporations, sovereign nations and banks looking to fix an exchange rate in the largest currency pair, the EUR/USD.

Risk Management

Risk management is very straight-forward since all positions are held for a short period and not held overnight. No correlation or co-variance matrix is used. Position size is scaled according to market volatility. Every position has a trailing stop-loss. Positions are not initiated during periods of expected economic data releases. Maximum possible loss if all positions are stopped out defines the maximum risk for the day.SMJ also is generally out of the market during periods of major global news or economic reports.For example SMJ was out going into the Brexit referendum.

   

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
-5.34 5 - 8/1/2017 1/1/2018
-1.81 4 3 1/1/2017 5/1/2017
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
6.27 3 11/1/2016 1/1/2017
4.04 1 2/1/2018 2/1/2018
2.46 3 6/1/2017 8/1/2017
2.43 1 5/1/2018 5/1/2018
1.71 1 4/1/2017 4/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-5.34 5 9/1/2017 1/1/2018
-1.87 2 3/1/2018 4/1/2018
-1.77 1 5/1/2017 5/1/2017
-1.72 2 2/1/2017 3/1/2017
-0.80 1 6/1/2018 6/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable45.0061.1153.3355.56
Average Period Return0.260.550.320.13
Average Gain1.861.882.311.97
Average Loss-1.06-1.53-1.95-2.16
Best Period4.046.276.234.92
Worst Period-2.01-3.54-4.38-4.77
Standard Deviation1.742.302.672.85
Gain Standard Deviation1.251.711.801.92
Loss Standard Deviation0.521.371.252.02
Sharpe Ratio (1%)0.100.13-0.07-0.30
Average Gain / Average Loss1.761.231.190.91
Profit / Loss Ratio1.441.931.361.14
Downside Deviation (10%)1.151.913.215.56
Downside Deviation (5%)0.921.361.852.43
Downside Deviation (0%)0.871.241.551.86
Sortino Ratio (10%)-0.13-0.35-0.67-0.88
Sortino Ratio (5%)0.190.22-0.09-0.36
Sortino Ratio (0%)0.300.440.210.07

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.