Stonebrook Structured Products : Stonebrook FX Carry Program (2.5X)

archived programs
Year-to-Date
N / A
Oct Performance
-0.17%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
11.21%
Sharpe (RFR=1%)
0.31
CAROR
3.96%
Assets
$ 17.0M
Worst DD
-19.63
S&P Correlation
0.18

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2004
Stonebrook FX Carry Program (2.5X) -0.17 - - - - - - 18.33
S&P 500 -16.94 - - - - - - 225.33
+/- S&P 500 16.77 - - - - - - -207.00

Strategy Description

Summary

-The Stonebrook FX Carry Program (FXC) is an absolute return strategy that exploits the fundamental relationship between interest rates and exchange rates. Uncorrelated with CTAs and other trading strategies, it adds exceptional value to alternative investment portfolios. FX Carry... Read More

Account & Fees

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

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The Stonebrook FX Carry Program (FXC) is an absolute return strategy that exploits the fundamental relationship between interest rates and exchange rates. Uncorrelated with CTAs and other trading strategies, it adds exceptional value to alternative investment portfolios. FX Carry profits from the returns inherent in owning high-yielding currencies financed with low-yielding currencies. The strategy not only performs in benign markets, but in risky conditions as well. Stonebrookâ??s FX Carry program adds value by identifying periods when investors tend to liquidate their risky holdings. By using forward-looking risk controls based on fundamental inputs across asset classes, FX Carry profits from spot exchange rate changes when investors flee from risk.

   

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
-19.63 5 12 1/1/2006 6/1/2006
-9.70 10 - 12/1/2007 10/1/2008
-8.18 6 4 3/1/2005 9/1/2005
-2.09 2 2 6/1/2007 8/1/2007
-1.77 1 1 9/1/2004 10/1/2004
-0.13 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
19.48 4 7/1/2006 10/1/2006
14.72 5 11/1/2004 3/1/2005
10.83 3 4/1/2007 6/1/2007
9.80 4 10/1/2005 1/1/2006
7.61 3 7/1/2004 9/1/2004
5.86 3 12/1/2006 2/1/2007
4.03 1 6/1/2005 6/1/2005
3.32 2 4/1/2008 5/1/2008
3.31 2 9/1/2007 10/1/2007
0.49 1 12/1/2007 12/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.63 5 2/1/2006 6/1/2006
-7.57 2 4/1/2005 5/1/2005
-6.87 5 6/1/2008 10/1/2008
-6.14 3 1/1/2008 3/1/2008
-4.50 3 7/1/2005 9/1/2005
-4.50 1 11/1/2006 11/1/2006
-2.09 2 7/1/2007 8/1/2007
-1.87 1 3/1/2007 3/1/2007
-1.77 1 10/1/2004 10/1/2004
-0.13 1 11/1/2007 11/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable53.8562.0059.5763.4182.8693.10100.00
Average Period Return0.381.152.334.116.578.0213.14
Average Gain2.745.127.9010.089.348.8213.14
Average Loss-2.38-5.33-5.89-6.23-6.85-2.85
Best Period8.1715.2418.2331.3633.3527.1629.08
Worst Period-8.18-16.21-18.30-15.73-11.23-3.961.42
Standard Deviation3.246.518.389.9310.437.468.76
Gain Standard Deviation1.934.044.726.969.107.078.76
Loss Standard Deviation2.034.105.143.813.931.57
Sharpe Ratio (1%)0.090.140.220.310.490.811.15
Average Gain / Average Loss1.150.961.341.621.363.10
Profit / Loss Ratio1.341.571.982.806.5941.85
Downside Deviation (10%)2.334.746.217.217.086.067.46
Downside Deviation (5%)2.154.235.164.913.791.410.49
Downside Deviation (0%)2.114.104.914.383.200.80
Sortino Ratio (10%)-0.01-0.02-0.02-0.12-0.14-0.37-0.35
Sortino Ratio (5%)0.140.210.350.631.344.2520.67
Sortino Ratio (0%)0.180.280.470.942.059.99

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.