Vael Asset Management LLC : Vael FX System

archived programs
Year-to-Date
N / A
Nov Performance
10.57%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
36.62%
Sharpe (RFR=1%)
0.35
CAROR
7.38%
Assets
$ 639k
Worst DD
-53.43
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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
6/2014
Vael FX System 10.57 - - - 10.57 9.76 - 28.29
S&P 500 0.37 - - - 23.76 80.68 - 65.12
+/- S&P 500 10.20 - - - -13.19 -70.92 - -36.82

Strategy Description

Summary

Our program consists of using our proprietary systematic currency algorithm. The algorithm uses concepts from behavioral finance to capture market moves in the EUR/USD and USD/JPY currency pairs. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
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 9000 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD -50.00%
Worst Peak-to-Trough 50.00%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 95.00%
Intraday 5.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
25.00%
Pattern Recognition
50.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

Our program consists of using our proprietary systematic currency algorithm. The algorithm uses concepts from behavioral finance to capture market moves in the EUR/USD and USD/JPY currency pairs.

Investment Strategy

We use our algorithm to monitor when we get a trade signal and in which market. Our signals are profitable approximately 65% of the time with average wins and losses about equal. Interestingly, the system does not hold an overnight position on about 50% of the trading days which makes it an ideal strategy to blend into a portfolio.

Risk Management

The strategy was designed to be AGGRESSIVE and TARGETED. As stated above, we are out of the market 50% of the time. When we do trade, we risk 5% of capital per trade. Upon entering each trade, we have a well-defined stop loss level and take profit level. If the strategy is too volatile, it is always possible to trade in a less aggressive manner.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
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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
-53.43 13 - 7/1/2016 8/1/2017
-15.92 4 6 10/1/2014 2/1/2015
-8.52 1 1 8/1/2015 9/1/2015
-6.97 3 1 10/1/2015 1/1/2016
-4.96 4 1 1/1/0001 9/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
101.57 6 2/1/2016 7/1/2016
25.68 3 9/1/2017 11/1/2017
22.59 1 8/1/2015 8/1/2015
17.46 1 10/1/2015 10/1/2015
16.04 1 3/1/2015 3/1/2015
13.10 3 10/1/2016 12/1/2016
8.49 1 10/1/2014 10/1/2014
4.96 1 12/1/2014 12/1/2014
1.41 1 4/1/2017 4/1/2017
0.03 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-39.74 3 1/1/2017 3/1/2017
-18.50 2 8/1/2016 9/1/2016
-17.31 4 5/1/2017 8/1/2017
-12.46 2 1/1/2015 2/1/2015
-11.73 2 6/1/2015 7/1/2015
-8.52 1 9/1/2015 9/1/2015
-8.49 1 11/1/2014 11/1/2014
-6.97 3 11/1/2015 1/1/2016
-4.96 4 6/1/2014 9/1/2014
-0.11 1 4/1/2015 4/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable45.2450.0051.3561.2984.0089.47
Average Period Return1.152.896.7319.7739.4851.35
Average Gain9.6517.2130.1850.4651.6757.80
Average Loss-5.87-11.43-18.03-28.84-24.53-3.44
Best Period22.5942.69101.57147.01145.86122.97
Worst Period-30.56-39.74-44.70-52.11-31.04-6.16
Standard Deviation10.5719.0732.4250.9349.9843.63
Gain Standard Deviation7.3114.3525.7139.7644.9241.49
Loss Standard Deviation7.1210.4416.2216.814.813.84
Sharpe Ratio (1%)0.100.140.190.370.761.13
Average Gain / Average Loss1.641.511.671.752.1116.78
Profit / Loss Ratio1.361.511.772.7711.06142.66
Downside Deviation (10%)6.9311.4818.0323.3313.124.62
Downside Deviation (5%)6.7810.9516.9721.0910.551.98
Downside Deviation (0%)6.7410.8216.7020.559.951.42
Sortino Ratio (10%)0.110.140.240.632.438.89
Sortino Ratio (5%)0.160.240.370.893.6024.97
Sortino Ratio (0%)0.170.270.400.963.9736.10

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.