Swing Capital : Swing FX

archived programs
Year-to-Date
N / A
Aug Performance
-2.57%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.97%
Sharpe (RFR=1%)
1.31
CAROR
8.96%
Assets
$ 60.0M
Worst DD
-6.83
S&P Correlation
-0.23

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
9/2006
Swing FX -2.57 - - - - - - 40.93
S&P 500 -4.74 - - - - - - 159.32
+/- S&P 500 2.17 - - - - - - -118.39

Strategy Description

Summary

Swing FX is a hybrid (systematic signals/qualitative overlay) contrarian product, monitoring short term trend exhaustion swing points in a diversified array of currencies within a multi timeframe platform. Swing FX engages strictly in the speculative trading of spot currencies. Swing's... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Request Information

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -7.50%
Worst Peak-to-Trough 7.50%
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 25.00%
Systematic 75.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Summary

Swing FX is a hybrid (systematic signals/qualitative overlay) contrarian product, monitoring short term trend exhaustion swing points in a diversified array of currencies within a multi timeframe platform. Swing FX engages strictly in the speculative trading of spot currencies. Swing's investment philosophy is directed towards achieving superior capital appreciation through maximising absolute and uncorrelated returns.This investment methodology does not rely on favourable conditions in any markets and is achieved by employing a combination of technical signals and unique qualitative overlay translated through a strict and discretionary risk managementsystem

Investment Strategy

Swing FX monitors 15 currency pairs on a multi timeframe basis. A fully systematic technical alogorythm signals buy or sell signals in a contrarian way. Once the technical price sequence we look for signals the entry point, we will use constant qualitative overlay to determine our risk management parameters.

Risk Management

Although stop losses are implemented from inception of every trade, the managers qualitative overlay will ensure proper exit when the position is in the money. The goal being to ride our profitable trade for as long as possible. Having said that our average trading period remains below 5 days.

   

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 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:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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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
-6.83 3 4 3/1/2007 6/1/2007
-4.44 18 - 2/1/2009 8/1/2010
-2.49 1 2 11/1/2006 12/1/2006
-0.39 1 1 1/1/0001 9/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
50.79 20 7/1/2007 2/1/2009
5.69 3 1/1/2007 3/1/2007
2.26 2 10/1/2006 11/1/2006
2.11 1 2/1/2010 2/1/2010
1.33 1 7/1/2010 7/1/2010
1.30 2 7/1/2009 8/1/2009
0.46 1 4/1/2009 4/1/2009
0.30 1 12/1/2009 12/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.83 3 4/1/2007 6/1/2007
-2.57 1 8/1/2010 8/1/2010
-2.49 1 12/1/2006 12/1/2006
-1.99 4 3/1/2010 6/1/2010
-1.98 3 9/1/2009 11/1/2009
-1.77 2 5/1/2009 6/1/2009
-0.97 1 3/1/2009 3/1/2009
-0.63 1 1/1/2010 1/1/2010
-0.39 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods48.0046.0043.0037.0031.0025.0013.00
Percent Profitable64.5865.2272.0978.3893.55100.00100.00
Average Period Return0.732.405.3512.8922.4832.8743.03
Average Gain1.774.667.9616.8124.1932.8743.03
Average Loss-1.16-1.84-1.39-1.30-2.34
Best Period3.818.7616.3529.8446.3247.7046.43
Worst Period-4.27-6.83-3.52-3.47-4.446.0337.67
Standard Deviation1.723.896.6111.7114.3711.942.98
Gain Standard Deviation0.932.645.9510.1313.1911.942.98
Loss Standard Deviation1.091.611.120.932.97
Sharpe Ratio (1%)0.380.550.731.021.462.5813.43
Average Gain / Average Loss1.522.535.7212.9310.34
Profit / Loss Ratio2.784.7514.7946.87149.96
Downside Deviation (10%)1.132.042.283.133.100.84
Downside Deviation (5%)0.971.541.151.151.14
Downside Deviation (0%)0.931.420.930.730.80
Sortino Ratio (10%)0.290.571.262.524.8026.82
Sortino Ratio (5%)0.671.404.2210.3518.34
Sortino Ratio (0%)0.781.695.7717.7128.17

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.