Transworld Capital Management : Transworld Forex

archived programs
Year-to-Date
N / A
Jun Performance
-9.25%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
53.66%
Sharpe (RFR=1%)
0.74
CAROR
30.42%
Assets
$ 232k
Worst DD
-32.62
S&P Correlation
-0.02

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
8/2009
Transworld Forex -9.25 - - - - - 76.84 116.99
S&P 500 3.96 - - - - - 37.59 239.41
+/- S&P 500 -13.21 - - - - - 39.25 -122.42

Strategy Description

Summary

Transworld Forex program trades the EUR/USD Forex pair that generally provides better liquidity and a lower bid/ask spread than most other Forex pairs. There are a number predominantly short term systematic methods used that may include but are not limited to trading break outs, reversals,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 20000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Pattern Recognition
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Transworld Forex program trades the EUR/USD Forex pair that generally provides better liquidity and a lower bid/ask spread than most other Forex pairs. There are a number predominantly short term systematic methods used that may include but are not limited to trading break outs, reversals, trend continuation and retracement moves. Trades may be done in a PAMM account and the profits and losses allocated to the customer’s account as a percentage of the overall trading done and trade sizes generally will be scaled up and down for the account size used. While the methods used are systematic in nature some discretion may be applied in modifying the underlying methods used. As notional capital may not be utilized at some Forex firms when using a PAMM account it takes a more aggressive approach to leverage than “High Liquidity” to take into account many clients prefer to use notional capital if they can.

Investment Strategy

This program takes short term positions in the spot forex market based on a portfolio of algorithmic based methods.

Risk Management

Risks are spread across a number trading models used and all utilize stop losses. In addition some methods used will exit before the end of the day leaving a smaller number of potential positions that can be rolled over at day end. When traded as PAMM account the trades sizes are scaled to see the losses in general a similar amount as a percentage of the account.

   

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:
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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
-32.62 2 4 1/1/2010 3/1/2010
-30.45 1 4 1/1/2011 2/1/2011
-28.96 2 2 6/1/2011 8/1/2011
-17.91 6 - 12/1/2011 6/1/2012
-8.55 1 1 9/1/2010 10/1/2010
-6.89 2 2 8/1/2009 10/1/2009
-1.73 1 1 10/1/2011 11/1/2011
-0.44 1 1 11/1/2010 12/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
96.86 4 6/1/2010 9/1/2010
52.51 4 3/1/2011 6/1/2011
41.30 2 9/1/2011 10/1/2011
35.18 1 1/1/2011 1/1/2011
21.56 1 4/1/2010 4/1/2010
18.77 3 11/1/2009 1/1/2010
16.02 1 11/1/2010 11/1/2010
10.19 1 5/1/2012 5/1/2012
7.74 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-32.62 2 2/1/2010 3/1/2010
-30.45 1 2/1/2011 2/1/2011
-28.96 2 7/1/2011 8/1/2011
-17.91 4 1/1/2012 4/1/2012
-9.25 1 6/1/2012 6/1/2012
-8.55 1 10/1/2010 10/1/2010
-7.91 1 5/1/2010 5/1/2010
-6.89 3 8/1/2009 10/1/2009
-1.73 1 11/1/2011 11/1/2011
-0.44 1 12/1/2010 12/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable51.4357.5876.6795.83100.00
Average Period Return3.4010.2023.1861.93107.28
Average Gain14.8925.9433.4965.18107.28
Average Loss-9.31-11.15-10.70-12.75
Best Period35.1856.15120.38148.87194.14
Worst Period-30.45-28.97-20.10-12.7525.10
Standard Deviation15.4923.4736.0846.0451.93
Gain Standard Deviation10.1617.8934.9744.1851.93
Loss Standard Deviation9.777.737.84
Sharpe Ratio (1%)0.210.420.631.322.04
Average Gain / Average Loss1.602.333.135.11
Profit / Loss Ratio1.803.1610.28117.54
Downside Deviation (10%)9.179.417.273.62
Downside Deviation (5%)9.018.876.452.81
Downside Deviation (0%)8.978.746.252.60
Sortino Ratio (10%)0.330.952.8515.71
Sortino Ratio (5%)0.371.123.5221.70
Sortino Ratio (0%)0.381.173.7123.79

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.