Vortex : Currency Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 5.19% Min Investment $ 500k Mgmt. Fee 0% Perf. Fee 15.00% Annualized Vol 12.93% Sharpe (RFR=1%) 0.36 CAROR 4.92% Assets $ 2.4M Worst DD -27.50 S&P Correlation -0.11 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since1/2014 Currency Program 5.19 5.19 - 21.18 -1.56 3.24 - 39.98 S&P 500 3.71 11.69 - 16.26 40.48 81.90 - 118.49 +/- S&P 500 1.48 -6.50 - 4.92 -42.04 -78.66 - -78.51 Strategy Description SummaryThe 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% Composition Currency FX 100.00% SummaryThe 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 StrategyThe 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 ManagementVortex 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. 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 -27.50 42 - 7/1/2016 1/1/2020 -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 Show More Consecutive Gains Run-up Length (Mos.) Start End 18.61 5 5/1/2020 9/1/2020 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 5.53 1 12/1/2019 12/1/2019 5.19 1 12/1/2020 12/1/2020 5.16 2 7/1/2019 8/1/2019 4.63 2 2/1/2020 3/1/2020 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 Show More 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 -6.43 1 1/1/2020 1/1/2020 -6.35 1 5/1/2014 5/1/2014 -5.96 3 4/1/2019 6/1/2019 -5.56 3 9/1/2019 11/1/2019 -4.83 1 2/1/2017 2/1/2017 -4.82 2 12/1/2015 1/1/2016 -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 -2.84 2 10/1/2020 11/1/2020 -2.81 1 4/1/2020 4/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods84.0082.0079.0073.0067.0061.0049.0037.0025.00 Percent Profitable52.3854.8860.7660.2755.2254.1048.9848.6592.00 Average Period Return0.471.492.894.876.816.948.4111.2813.14 Average Gain3.166.119.1514.5620.7121.4127.9533.6814.43 Average Loss-2.49-4.13-6.80-9.83-10.32-10.10-10.35-9.95-1.71 Best Period11.1317.9726.1334.5148.8960.2845.9154.9633.72 Worst Period-6.43-12.61-14.76-23.09-23.76-20.42-25.57-18.80-3.37 Standard Deviation3.736.429.6214.7319.5421.0421.6324.9310.72 Gain Standard Deviation2.864.526.0510.0014.7218.0012.2715.5410.17 Loss Standard Deviation1.882.944.875.737.096.516.526.092.35 Sharpe Ratio (1%)0.100.190.250.260.270.230.250.290.75 Average Gain / Average Loss1.271.481.351.482.012.122.703.398.45 Profit / Loss Ratio1.401.802.082.252.472.502.593.2197.13 Downside Deviation (10%)2.374.106.5410.0612.9314.7419.4523.1817.82 Downside Deviation (5%)2.193.535.477.709.199.2810.6010.902.23 Downside Deviation (0%)2.143.395.217.148.348.108.698.300.67 Sortino Ratio (10%)0.030.060.06-0.01-0.06-0.22-0.38-0.44-0.81 Sortino Ratio (5%)0.180.350.440.500.580.530.510.663.60 Sortino Ratio (0%)0.220.440.560.680.820.860.971.3619.51 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 7 4.61 6/2020 IASG CTA Index Month 9 4.61 6/2020 Systematic Trader Index Month 7 4.80 5/2020 IASG CTA Index Month 8 4.80 5/2020 IASG CTA Index Month 6 5.53 12/2019 Systematic Trader Index Month 6 5.53 12/2019 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. x {{title}} x {{title}} Add Cancel