TMS Capital Limited : Arktos Global Currency Program II

Year-to-Date: N / A
Mar Performance: -1.11%

Min Investment: $ 100k
Mgmt. Fee: 1.50%
Perf. Fee: 20.00%

Annualized Vol: 9.38%
Sharpe (RFR=1%): 0.38
CAROR: 4.23%

Assets: $ 12.0M
Worst DD: -14.35
S&P Correlation: -0.30

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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	Mar	Qtr	2020	1yr	3yr	5yr	10yr	Since 2/2008
Arktos Global Currency Program II	-1.11	-	-	-	-7.33	-5.81	-0.56	58.81
S&P 500	1.79	-	-	-	36.22	49.85	251.60	179.36
+/- S&P 500	-2.90	-	-	-	-43.55	-55.67	-252.16	-120.55

Strategy Description

Investment Strategy

Account & Fees

Type	Managed Account
Minimum Investment	$ 100k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	1.50%
Performance Fee	20.00%
Average Commission	$0
Available to US Investors	Yes

Subscriptions

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

Trading

Trading Frequency	1000 RT/YR/$M
Avg. Margin-to-Equity	12%
Targeted Worst DD
Worst Peak-to-Trough
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

Technical: 100.00%

Composition

Currency FX: 100.00%

Investment Strategy

Arktos is a highly liquid quantitative trading strategy which seeks to determine the highest probability move for six currency pairs. The strategy was developed by its two principals, Nick Bloom and Simon Harris, focussing on diversification, liquidity and transparency for investors.

Key Characteristics

- Currency Pairs include: EURUSD, USDJPY, EURJPY, GBPUSD, EURCHF and USDCAD
- Each currency pair has a set of characteristics that are systematically reviewed, assessed, and weighted on a daily basis.
- The system generates a directional bias (buy/sell signal) for the following trading session.
- Price Volatility analysis determines an entry, exit and stop level for each pair independently.

Risk Management

Money and risk management are key components of the strategy and trading levels are adjusted automatically to conform to a fixed daily risk budget. There is maximum daily risk limit per individual pair and intra-month drawdown limits at the portfolio level.

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Index: Chart Type:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Reward
Compound RoR:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst 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
-14.35	36	-	3/1/2016	3/1/2019
-13.59	6	13	6/1/2009	12/1/2009
-10.48	3	30	6/1/2013	9/1/2013
-6.89	2	2	2/1/2009	4/1/2009
-4.77	7	2	6/1/2012	1/1/2013
-4.33	1	4	5/1/2011	6/1/2011
-3.82	1	2	3/1/2013	4/1/2013
-3.36	4	2	12/1/2011	4/1/2012
-1.47	1	1	4/1/2008	5/1/2008
-0.20	1	1	11/1/2008	12/1/2008
-0.14	1	1	9/1/2008	10/1/2008
-0.02	1	1	10/1/2011	11/1/2011

Consecutive Gains

Run-up	Length (Mos.)	Start	End
20.20	4	6/1/2008	9/1/2008
11.98	2	5/1/2009	6/1/2009
11.42	2	1/1/2009	2/1/2009
11.16	4	5/1/2010	8/1/2010
10.80	7	11/1/2010	5/1/2011
10.78	1	11/1/2008	11/1/2008
9.97	3	1/1/2016	3/1/2016
6.92	5	7/1/2014	11/1/2014
5.86	3	2/1/2008	4/1/2008
5.43	2	2/1/2013	3/1/2013
5.31	2	5/1/2013	6/1/2013
4.79	1	10/1/2011	10/1/2011
4.17	1	10/1/2013	10/1/2013
3.92	3	9/1/2012	11/1/2012
3.71	2	7/1/2011	8/1/2011
3.66	1	6/1/2015	6/1/2015
3.65	2	5/1/2012	6/1/2012
3.38	1	4/1/2015	4/1/2015
3.01	4	9/1/2016	12/1/2016
2.67	3	1/1/2010	3/1/2010
2.58	1	1/1/2018	1/1/2018
2.27	1	1/1/2015	1/1/2015
2.25	1	2/1/2012	2/1/2012
2.02	1	8/1/2015	8/1/2015
1.47	2	8/1/2009	9/1/2009
1.47	1	2/1/2014	2/1/2014
1.09	1	12/1/2011	12/1/2011
0.57	1	12/1/2013	12/1/2013
0.52	1	4/1/2014	4/1/2014
0.49	1	7/1/2017	7/1/2017
0.14	1	6/1/2018	6/1/2018
0.13	2	9/1/2017	10/1/2017

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-10.48	3	7/1/2013	9/1/2013
-8.80	3	10/1/2009	12/1/2009
-7.04	9	7/1/2018	3/1/2019
-6.89	2	3/1/2009	4/1/2009
-6.63	1	7/1/2009	7/1/2009
-6.53	4	9/1/2015	12/1/2015
-5.58	5	4/1/2016	8/1/2016
-4.93	1	5/1/2015	5/1/2015
-4.33	1	6/1/2011	6/1/2011
-4.32	2	7/1/2012	8/1/2012
-4.23	2	12/1/2012	1/1/2013
-3.87	2	2/1/2015	3/1/2015
-3.82	1	4/1/2013	4/1/2013
-3.70	6	1/1/2017	6/1/2017
-3.17	2	3/1/2012	4/1/2012
-2.95	4	2/1/2018	5/1/2018
-2.39	1	1/1/2012	1/1/2012
-2.34	1	3/1/2014	3/1/2014
-1.86	2	11/1/2017	12/1/2017
-1.76	2	5/1/2014	6/1/2014
-1.47	1	5/1/2008	5/1/2008
-1.35	1	7/1/2015	7/1/2015
-0.68	1	9/1/2011	9/1/2011
-0.66	2	9/1/2010	10/1/2010
-0.59	1	12/1/2014	12/1/2014
-0.50	1	4/1/2010	4/1/2010
-0.48	1	11/1/2013	11/1/2013
-0.20	1	12/1/2008	12/1/2008
-0.18	1	1/1/2014	1/1/2014
-0.14	1	10/1/2008	10/1/2008
-0.07	1	8/1/2017	8/1/2017
-0.02	1	11/1/2011	11/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	134.00	132.00	129.00	123.00	117.00	111.00	99.00	87.00	75.00
Percent Profitable	50.00	47.73	55.04	52.85	63.25	61.26	67.68	71.26	70.67
Average Period Return	0.38	1.14	2.34	4.25	5.18	6.53	9.97	11.99	13.64
Average Gain	2.31	4.88	6.82	11.04	10.45	13.12	16.56	18.34	20.86
Average Loss	-1.54	-2.27	-3.15	-3.35	-3.89	-3.88	-3.83	-3.77	-3.75
Best Period	10.78	20.15	34.19	52.40	50.14	41.83	66.52	78.78	75.29
Worst Period	-6.63	-10.48	-13.59	-8.83	-8.97	-10.43	-14.35	-11.64	-8.01
Standard Deviation	2.71	4.80	7.77	11.98	11.71	12.82	18.11	20.54	21.47
Gain Standard Deviation	2.23	4.15	7.75	13.02	11.78	12.30	18.59	21.13	21.75
Loss Standard Deviation	1.51	2.00	2.45	2.37	2.20	2.79	3.14	3.78	2.22
Sharpe Ratio (1%)	0.11	0.19	0.24	0.27	0.31	0.35	0.38	0.39	0.40
Average Gain / Average Loss	1.49	2.15	2.16	3.30	2.69	3.38	4.33	4.86	5.56
Profit / Loss Ratio	1.49	1.97	2.65	3.69	4.63	5.35	9.06	12.06	13.39
Downside Deviation (10%)	1.74	2.91	4.16	6.11	7.70	9.82	13.60	17.52	21.94
Downside Deviation (5%)	1.57	2.32	2.94	3.40	3.54	4.07	4.34	4.81	5.17
Downside Deviation (0%)	1.52	2.18	2.67	2.81	2.70	2.96	2.80	2.83	2.35
Sortino Ratio (10%)	-0.01	-0.03	-0.03	-0.12	-0.31	-0.38	-0.43	-0.55	-0.64
Sortino Ratio (5%)	0.19	0.39	0.63	0.96	1.04	1.11	1.60	1.65	1.65
Sortino Ratio (0%)	0.25	0.53	0.88	1.51	1.92	2.21	3.57	4.23	5.81

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Sharpe	10	2.83	2008

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#10

Top Performer

IASG CTA INDEX

2008
SHARPE

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TMS Capital Limited : Arktos Global Currency Program II

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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TMS Capital Limited : Arktos Global Currency Program II

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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