TMS Capital Limited : Arktos Global Currency Program II Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since2/2008 Arktos Global Currency Program II -1.11 - - - -7.92 -14.35 -6.58 58.81 S&P 500 1.79 - - - 36.22 49.85 251.60 205.08 +/- S&P 500 -2.90 - - - -44.14 -64.21 -258.18 -146.27 Strategy Description Investment StrategyArktos 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% Composition Currency FX 100.00% Investment StrategyArktos 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 ManagementMoney 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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 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. x {{title}} x {{title}} Add Cancel