SMJ Capital Management Ltd. : Systematic Currency FX Strategy

archived programs
Year-to-Date
N / A
Jun Performance
-0.33%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
8.95%
Sharpe (RFR=1%)
1.24
CAROR
12.38%
Assets
$ 250k
Worst DD
-7.57
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
9/2014
Systematic Currency FX Strategy -0.33 5.01 - 10.42 40.16 - - 56.43
S&P 500 0.48 2.93 - 11.21 30.43 - - 36.44
+/- S&P 500 -0.81 2.08 - -0.79 9.73 - - 19.99

Strategy Description

Summary

Algos written by Steve Jones, are designed to take advantage of price anomalies in non alpha seeking order flow. These bank, corporate and sovereign nation orders provide profit opportunities for the SMJ program program. The program targets 20% annualized compound return, 10% maximum... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
3.50
Management Fee
0%
Performance Fee
30.00%
Average Commission
$6.00
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
5500 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
6.14%
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
65.00%
Pattern Recognition
25.00%
Technical
10.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Algos written by Steve Jones, are designed to take advantage of price anomalies in non alpha seeking order flow. These bank, corporate and sovereign nation orders provide profit opportunities for the SMJ program program. The program targets 20% annualized compound return, 10% maximum drawdown and a Sharp Ratio near 2.0. Steve was formerly a currency trader with JCH Capital, Nat West and a market maker at Speer Leeds and a trader at Goldman Sachs London.

Investment Strategy

To essentially take advantage of order mispricing by utilizing very high speed orders that look for patterns and momentum in price fixing orders in the EUR/USD pair. These orders come from corporations,banks and sovereign nations. There are no overnight positions and it is a short term,very high speed day trading strategy.

Risk Management

Our mantra is, we find losses to be very painful events, if you don't find losses painful your financial survival is tenuous. We run very tight trailing stops and use limit orders to cut losses short. The daily goal is to keep a daily loss to under 2%. Being intra day traders and not carrying positions overnight helps a great deal in managing risk. Risk management is key to any successful program.

   

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
-7.57 4 6 6/1/2016 10/1/2016
-6.22 2 3 2/1/2015 4/1/2015
-2.62 1 1 7/1/2015 8/1/2015
-1.92 1 1 4/1/2017 5/1/2017
-1.62 2 4 8/1/2017 10/1/2017
-1.07 1 1 1/1/2016 2/1/2016
-1.02 2 1 10/1/2014 12/1/2014
-0.88 1 2 3/1/2016 4/1/2016
-0.33 1 - 5/1/2018 6/1/2018
-0.22 1 1 3/1/2018 4/1/2018
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
15.60 5 9/1/2015 1/1/2016
11.61 3 5/1/2015 7/1/2015
9.47 2 1/1/2015 2/1/2015
8.16 3 11/1/2016 1/1/2017
5.59 1 5/1/2018 5/1/2018
4.74 3 1/1/2018 3/1/2018
4.62 2 9/1/2014 10/1/2014
4.16 2 5/1/2016 6/1/2016
3.94 3 6/1/2017 8/1/2017
2.51 1 4/1/2017 4/1/2017
2.26 1 3/1/2016 3/1/2016
0.48 1 11/1/2017 11/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-7.57 4 7/1/2016 10/1/2016
-6.22 2 3/1/2015 4/1/2015
-2.62 1 8/1/2015 8/1/2015
-1.92 1 5/1/2017 5/1/2017
-1.62 2 9/1/2017 10/1/2017
-1.25 2 2/1/2017 3/1/2017
-1.07 1 2/1/2016 2/1/2016
-1.02 2 11/1/2014 12/1/2014
-0.88 1 4/1/2016 4/1/2016
-0.33 1 6/1/2018 6/1/2018
-0.22 1 4/1/2018 4/1/2018
-0.05 1 12/1/2017 12/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable58.7079.5590.24100.00100.00100.00
Average Period Return1.012.875.6411.3616.3520.27
Average Gain2.654.246.5811.3616.3520.27
Average Loss-1.32-2.42-3.09
Best Period7.0111.6117.1325.9834.7333.73
Worst Period-4.74-7.25-4.241.541.946.60
Standard Deviation2.583.945.508.089.068.25
Gain Standard Deviation1.942.964.918.089.068.25
Loss Standard Deviation1.222.551.42
Sharpe Ratio (1%)0.360.670.931.281.642.21
Average Gain / Average Loss2.011.752.13
Profit / Loss Ratio2.856.8019.71
Downside Deviation (10%)1.352.001.891.081.400.77
Downside Deviation (5%)1.181.621.19
Downside Deviation (0%)1.141.541.04
Sortino Ratio (10%)0.450.821.685.896.2413.05
Sortino Ratio (5%)0.781.624.34
Sortino Ratio (0%)0.881.865.43

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.