TMS Capital Limited : Arktos Global Currency Program II

archived programs
Year-to-Date
2.41%
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

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 YTD 1yr 3yr 5yr 10yr Since
2/2008
Arktos Global Currency Program II -1.11 -1.11 -2.41 -6.91 -11.74 -7.26 8.81 58.81
S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 251.60 104.69
+/- S&P 500 -2.90 -14.18 -15.48 -14.23 -47.96 -57.11 -242.79 -45.88

Strategy Description

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... Read More

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%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

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.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods134.00132.00129.00123.00117.00111.0099.0087.0075.00
Percent Profitable50.0047.7355.0452.8563.2561.2667.6871.2670.67
Average Period Return0.381.142.344.255.186.539.9711.9913.64
Average Gain2.314.886.8211.0410.4513.1216.5618.3420.86
Average Loss-1.54-2.27-3.15-3.35-3.89-3.88-3.83-3.77-3.75
Best Period10.7820.1534.1952.4050.1441.8366.5278.7875.29
Worst Period-6.63-10.48-13.59-8.83-8.97-10.43-14.35-11.64-8.01
Standard Deviation2.714.807.7711.9811.7112.8218.1120.5421.47
Gain Standard Deviation2.234.157.7513.0211.7812.3018.5921.1321.75
Loss Standard Deviation1.512.002.452.372.202.793.143.782.22
Sharpe Ratio (1%)0.110.190.240.270.310.350.380.390.40
Average Gain / Average Loss1.492.152.163.302.693.384.334.865.56
Profit / Loss Ratio1.491.972.653.694.635.359.0612.0613.39
Downside Deviation (10%)1.742.914.166.117.709.8213.6017.5221.94
Downside Deviation (5%)1.572.322.943.403.544.074.344.815.17
Downside Deviation (0%)1.522.182.672.812.702.962.802.832.35
Sortino Ratio (10%)-0.01-0.03-0.03-0.12-0.31-0.38-0.43-0.55-0.64
Sortino Ratio (5%)0.190.390.630.961.041.111.601.651.65
Sortino Ratio (0%)0.250.530.881.511.922.213.574.235.81

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Sharpe 10 2.83 2007 - 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.