Vortex : Currency Program

Year-to-Date
11.40%
Oct Performance
-0.86%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
15.00%
Annualized Vol
13.02%
Sharpe (RFR=1%)
0.19
CAROR
2.63%
Assets
$ 2.2M
Worst DD
-26.07
S&P Correlation
-0.13

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
Currency Program -0.86 -3.30 -11.40 -15.75 -14.98 6.79 - 16.37
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 68.67
+/- S&P 500 -2.90 -5.22 -32.56 -27.76 -56.39 -42.20 - -52.29

Strategy Description

Summary

The Vortex Currency Program is a short to medium-term systematic strategy trading the world's most liquid currency pairs. Currencies give investors a global footprint and the opportunity to profit from most major international economic and geopolitical events. The program also provides... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
0%
Performance Fee
15.00%
Average Commission
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
260 RT/YR/$M
Avg. Margin-to-Equity
5%
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
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
33.00%
Trend-following
34.00%
Other
33.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Vortex Currency Program is a short to medium-term systematic strategy trading the world's most liquid currency pairs. Currencies give investors a global footprint and the opportunity to profit from most major international economic and geopolitical events. The program also provides essential diversification from all traditional asset classes. A leveraged version of this program is available to investors with a higher risk appetite.

Investment Strategy

The proprietary Vortex System has been developed and refined over two decades. It is based on extensive experience trading different markets and analysing market behaviour, as well as robust mathematical and statistical principles. The Vortex System combines elements of trend following, mean reversion and contra-trend, acting like a multi-strategy. By being 100% systematic, we avoid the pitfalls of human emotion and psychology in trading, especially greed and fear. The Vortex Currency Program is a short to medium-term strategy, meaning the holding period for profitable trades ranges from a few days up to several weeks. Unprofitable trades usually exit after several hours or days. Our timeframe makes us uncorrelated to longer-term fund managers, as well as to intraday strategies. We let our profits run and cut our losses short, resulting in a return profile that is positively-skewed. Vortex are also the inventors of the well-known Vortex Indictor, a technical trend indicator published in 2010 and used worldwide by funds and trading platforms. We apply unique and proprietary versions of the Vortex Indicator within the Vortex System.

Risk Management

Vortex produces consistent and repeatable results year-on-year. This is accomplished by 3 pillars of risk management. 1) Dynamic exposure per trade to equalise risk in different market conditions: during times of high volatility, we trade smaller positions, while larger positions are traded during low volatility. 2) Religious use of stop losses: two types of progressive trailing stops are used with every position. 3) Letting profits run to their maximum extent: this is an essential part of our money management.

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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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
-26.07 35 - 7/1/2016 6/1/2019
-8.24 2 2 1/1/0001 2/1/2014
-6.91 4 1 4/1/2014 8/1/2014
-5.72 5 2 10/1/2014 3/1/2015
-4.82 2 3 11/1/2015 1/1/2016
-1.23 1 1 8/1/2015 9/1/2015
-0.19 1 1 6/1/2015 7/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
17.97 3 4/1/2015 6/1/2015
15.78 4 4/1/2016 7/1/2016
14.07 2 3/1/2014 4/1/2014
11.84 2 9/1/2014 10/1/2014
11.62 6 3/1/2017 8/1/2017
8.34 1 8/1/2015 8/1/2015
6.37 2 10/1/2015 11/1/2015
6.08 3 3/1/2018 5/1/2018
5.16 2 7/1/2019 8/1/2019
4.21 4 10/1/2017 1/1/2018
3.44 1 2/1/2016 2/1/2016
1.61 1 1/1/2015 1/1/2015
0.93 1 1/1/2017 1/1/2017
0.64 1 6/1/2014 6/1/2014
0.38 1 12/1/2018 12/1/2018
0.35 1 3/1/2019 3/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.34 5 8/1/2016 12/1/2016
-13.25 6 6/1/2018 11/1/2018
-8.24 2 1/1/2014 2/1/2014
-6.58 2 1/1/2019 2/1/2019
-6.35 1 5/1/2014 5/1/2014
-5.96 3 4/1/2019 6/1/2019
-4.83 1 2/1/2017 2/1/2017
-4.82 2 12/1/2015 1/1/2016
-4.43 2 9/1/2019 10/1/2019
-4.12 2 11/1/2014 12/1/2014
-3.69 1 9/1/2017 9/1/2017
-3.23 2 2/1/2015 3/1/2015
-1.23 1 9/1/2015 9/1/2015
-1.23 2 7/1/2014 8/1/2014
-0.35 1 2/1/2018 2/1/2018
-0.22 1 3/1/2016 3/1/2016
-0.19 1 7/1/2015 7/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable50.0050.0058.4661.0258.4965.9665.7173.91
Average Period Return0.291.162.245.239.7212.2914.5924.64
Average Gain3.036.538.9815.2522.6122.5229.1735.34
Average Loss-2.46-4.20-7.24-10.45-8.43-7.54-13.35-5.68
Best Period11.1317.9726.1334.5148.8960.2845.9154.96
Worst Period-6.35-12.61-14.76-23.09-19.17-15.62-25.57-11.23
Standard Deviation3.766.639.8815.6019.7120.6622.6922.18
Gain Standard Deviation3.124.566.2310.7215.2218.0010.9714.29
Loss Standard Deviation1.853.025.026.146.355.097.404.29
Sharpe Ratio (1%)0.050.140.180.270.420.500.510.93
Average Gain / Average Loss1.231.551.241.462.682.992.186.22
Profit / Loss Ratio1.231.551.742.283.785.794.1917.62
Downside Deviation (10%)2.414.387.0310.4111.1611.1817.7314.21
Downside Deviation (5%)2.213.795.918.077.556.2810.455.36
Downside Deviation (0%)2.173.645.647.526.745.268.853.52
Sortino Ratio (10%)-0.05-0.01-0.030.020.190.18-0.070.22
Sortino Ratio (5%)0.090.240.290.521.091.641.113.84
Sortino Ratio (0%)0.130.320.400.701.442.341.656.99

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 3 4.78 5/2018
IASG CTA Index Month 6 4.78 5/2018

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