SRT Technologies : SRT Currency Programme

archived programs
Year-to-Date
N / A
Aug Performance
-5.27%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
22.19%
Sharpe (RFR=1%)
-0.39
CAROR
-
Assets
$ 1.3M
Worst DD
-19.32
S&P Correlation
-0.46

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
10/2009
SRT Currency Programme -5.27 - - - - - - -8.62
S&P 500 -4.74 - - - - - - 221.20
+/- S&P 500 -0.53 - - - - - - -229.82

Strategy Description

Summary

The SRT Currency Programme is a systematic trend following programme. The portfolio is constructed using only those currency pairs that have demonstrated, through research and testing, to offer the best liquidity and ease of market access without adversely affecting the performance... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 800 RT/YR/$M
Avg. Margin-to-Equity 7%
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 100.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Summary

The SRT Currency Programme is a systematic trend following programme. The portfolio is constructed using only those currency pairs that have demonstrated, through research and testing, to offer the best liquidity and ease of market access without adversely affecting the performance objective of the strategy.

Investment Strategy

Market data is collated on a constant basis and passed through our algorithms to identify potential trade opportunities that align with the risk characteristics and signal filters that form the proprietary thinking behind the model’s design. Quantitative filters are employed to enhance the validity of break out signals in order to maximise the chances of an individual trade success and overall programme performance.

Risk Management

The strategy has been constructed with risk management at the forefront of its design, focusing on, robust risk allocation, volatility accountability and capital preservation.

   

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:
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Risk
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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:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
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Sharpe Ratio: (RF=1%)
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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
-19.32 6 - 2/1/2010 8/1/2010
-8.26 2 1 10/1/2009 12/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
11.42 1 10/1/2009 10/1/2009
10.81 1 1/1/2010 1/1/2010
0.38 1 5/1/2010 5/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.32 3 6/1/2010 8/1/2010
-9.36 3 2/1/2010 4/1/2010
-8.26 2 11/1/2009 12/1/2009
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable27.2744.44
Average Period Return-0.64-2.37
Average Gain7.545.10
Average Loss-4.23-8.36
Best Period11.4210.31
Worst Period-7.85-11.32
Standard Deviation6.407.68
Gain Standard Deviation6.214.03
Loss Standard Deviation2.652.29
Sharpe Ratio (1%)-0.11-0.34
Average Gain / Average Loss1.780.61
Profit / Loss Ratio0.760.49
Downside Deviation (10%)4.187.30
Downside Deviation (5%)3.966.59
Downside Deviation (0%)3.906.41
Sortino Ratio (10%)-0.25-0.49
Sortino Ratio (5%)-0.18-0.40
Sortino Ratio (0%)-0.16-0.37

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.