Strategic Investments : Currency Program

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
22.78%
Sharpe (RFR=1%)
0.51
CAROR
10.62%
Assets
$ 0k
Worst DD
-29.54
S&P Correlation
0.03

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/1994
Currency Program 0.00 - - - - - - 402.63
S&P 500 1.78 - - - - - - 619.32
+/- S&P 500 -1.78 - - - - - - -216.69

Strategy Description

Summary

-&The Currency Program uses the technical signals developed by Strategic Investments and trades in the major IMM currencies.  Markets traded include the British Pound, Austrailian Dollar, Swiss Franc, Euro, Canadian Dollar, Japanese Yen and Mexican Peso.&... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $12.00
Available to US Investors

Subscriptions

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

Trading

Trading Frequency 500 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 Currency Program uses the technical signals developed by Strategic Investments and trades in the major IMM currencies.  Markets traded include the British Pound, Austrailian Dollar, Swiss Franc, Euro, Canadian Dollar, Japanese Yen and Mexican Peso.&

   

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
-29.54 7 4 12/1/2003 7/1/2004
-24.94 5 6 12/1/2004 5/1/2005
-24.75 12 18 7/1/1998 7/1/1999
-24.25 21 7 11/1/2005 8/1/2007
-21.94 5 5 1/1/0001 5/1/1994
-21.37 8 4 4/1/1995 12/1/1995
-17.03 13 8 3/1/2001 4/1/2002
-11.01 3 2 10/1/1994 1/1/1995
-10.77 4 2 4/1/1996 8/1/1996
-9.99 3 2 5/1/2003 8/1/2003
-9.39 1 2 4/1/1997 5/1/1997
-8.84 2 4 12/1/1997 2/1/1998
-7.50 4 1 3/1/2008 7/1/2008
-7.38 2 2 1/1/2003 3/1/2003
-5.25 1 - 12/1/2008 1/1/2009
-2.77 2 2 7/1/1997 9/1/1997
-0.14 1 1 2/1/1997 3/1/1997
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Consecutive Gains

Run-up Length (Mos.) Start End
46.86 3 2/1/1995 4/1/1995
44.97 5 8/1/2004 12/1/2004
44.42 6 9/1/1996 2/1/1997
40.87 6 10/1/2000 3/1/2001
38.40 5 8/1/2008 12/1/2008
34.05 4 9/1/2003 12/1/2003
24.67 2 9/1/1994 10/1/1994
22.91 3 9/1/2005 11/1/2005
22.68 3 9/1/2007 11/1/2007
21.07 2 6/1/1997 7/1/1997
19.41 2 5/1/2002 6/1/2002
18.51 1 1/1/1996 1/1/1996
18.51 1 6/1/1994 6/1/1994
16.44 2 3/1/1996 4/1/1996
16.18 5 9/1/2002 1/1/2003
14.76 3 1/1/2008 3/1/2008
14.64 2 6/1/2005 7/1/2005
14.07 2 4/1/2006 5/1/2006
14.05 2 9/1/1998 10/1/1998
11.93 3 10/1/1997 12/1/1997
9.66 3 5/1/1998 7/1/1998
9.08 1 11/1/2006 11/1/2006
8.79 2 4/1/2003 5/1/2003
8.72 2 7/1/2000 8/1/2000
8.65 2 4/1/2000 5/1/2000
7.71 2 2/1/1994 3/1/1994
4.81 1 3/1/1998 3/1/1998
4.63 1 4/1/1997 4/1/1997
4.47 2 12/1/2001 1/1/2002
4.08 1 4/1/2007 4/1/2007
4.02 1 11/1/1999 11/1/1999
3.97 2 8/1/2001 9/1/2001
3.53 1 2/1/2000 2/1/2000
3.44 1 8/1/1999 8/1/1999
2.39 1 6/1/2007 6/1/2007
1.73 1 12/1/1994 12/1/1994
1.39 1 8/1/2006 8/1/2006
0.88 2 2/1/2004 3/1/2004
0.84 1 11/1/1995 11/1/1995
0.39 1 4/1/1999 4/1/1999
0.35 1 2/1/1999 2/1/1999
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.99 4 4/1/2004 7/1/2004
-24.94 5 1/1/2005 5/1/2005
-20.79 6 5/1/1995 10/1/1995
-20.03 2 4/1/1994 5/1/1994
-15.93 4 12/1/2005 3/1/2006
-12.95 3 11/1/1998 1/1/1999
-12.58 1 8/1/1998 8/1/1998
-11.70 4 4/1/2001 7/1/2001
-11.52 3 2/1/2002 4/1/2002
-11.27 3 5/1/1999 7/1/1999
-10.96 2 7/1/2007 8/1/2007
-10.77 4 5/1/1996 8/1/1996
-10.55 4 12/1/2006 3/1/2007
-10.11 1 11/1/1994 11/1/1994
-9.99 3 6/1/2003 8/1/2003
-9.39 1 5/1/1997 5/1/1997
-9.37 1 1/1/1994 1/1/1994
-8.84 2 1/1/1998 2/1/1998
-7.54 2 6/1/2006 7/1/2006
-7.52 2 9/1/2006 10/1/2006
-7.50 4 4/1/2008 7/1/2008
-7.38 2 2/1/2003 3/1/2003
-7.29 1 2/1/1996 2/1/1996
-5.51 2 7/1/1994 8/1/1994
-5.47 1 12/1/2007 12/1/2007
-5.25 12 1/1/2009 12/1/2009
-4.66 2 7/1/2002 8/1/2002
-4.00 1 8/1/2005 8/1/2005
-3.37 1 6/1/2000 6/1/2000
-3.01 1 3/1/1999 3/1/1999
-2.79 1 9/1/2000 9/1/2000
-2.77 2 8/1/1997 9/1/1997
-2.68 1 1/1/1995 1/1/1995
-2.26 2 9/1/1999 10/1/1999
-2.23 2 10/1/2001 11/1/2001
-1.64 1 1/1/2004 1/1/2004
-1.58 1 5/1/2007 5/1/2007
-1.57 1 12/1/1995 12/1/1995
-1.56 2 12/1/1999 1/1/2000
-1.42 1 3/1/2000 3/1/2000
-0.93 1 4/1/1998 4/1/1998
-0.14 1 3/1/1997 3/1/1997
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods192.00190.00187.00181.00175.00169.00157.00145.00133.00
Percent Profitable47.9256.8464.7170.1776.0081.0794.9097.93100.00
Average Period Return1.053.286.5813.3319.6925.9238.2049.3759.34
Average Gain6.0410.5814.4122.2228.8933.9640.7050.5159.34
Average Loss-3.97-7.10-8.55-7.57-9.44-8.50-8.21-4.37
Best Period28.6846.8647.2877.2270.97105.65140.48194.13159.22
Worst Period-19.43-24.40-28.36-24.75-22.09-18.88-15.22-8.9010.97
Standard Deviation6.5811.3414.5718.9022.9626.5733.5337.4531.56
Gain Standard Deviation5.438.9911.2215.1118.1022.8532.5737.0031.56
Loss Standard Deviation3.425.217.085.976.225.084.893.93
Sharpe Ratio (1%)0.150.270.420.650.790.901.051.211.72
Average Gain / Average Loss1.521.491.682.943.063.994.9611.57
Profit / Loss Ratio1.572.203.406.919.6917.1092.29547.59
Downside Deviation (10%)3.786.087.437.628.978.736.855.882.81
Downside Deviation (5%)3.605.576.495.686.155.072.751.30
Downside Deviation (0%)3.565.456.275.245.524.292.120.78
Sortino Ratio (10%)0.170.340.551.091.351.793.284.7311.27
Sortino Ratio (5%)0.270.540.942.172.964.7212.7734.94
Sortino Ratio (0%)0.300.601.052.543.576.0418.0063.37

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.