Vortex : FX Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Nov Performance 2.70% Min Investment $ 2,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 13.25% Sharpe (RFR=1%) 1.12 CAROR 15.99% Assets $ 1.0M Worst DD -13.72 S&P Correlation 0.03 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since1/2004 FX 2.70 - - - - - -0.52 335.40 S&P 500 2.80 - - - - - 70.62 258.88 +/- S&P 500 -0.10 - - - - - -71.14 76.52 Strategy Description SummaryThe Vortex FX strategy has been incorporated into the Vortex Systematic Program from December 2013 and is no longer offered to investors as a single strategy. Please refer to the Vortex Systematic Program for more details of our combined program, which merges the Vortex FX and Vortex... Read More Account & Fees Type Managed Account Minimum Investment $ 2,000k Trading Level Incremental Increase $ 2,000k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 560 RT/YR/$M Avg. Margin-to-Equity 7% Targeted Worst DD Worst Peak-to-Trough -11.60% Sector Focus Currency Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 90.00% Intraday 10.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Currency FX 100.00% SummaryThe Vortex FX strategy has been incorporated into the Vortex Systematic Program from December 2013 and is no longer offered to investors as a single strategy. Please refer to the Vortex Systematic Program for more details of our combined program, which merges the Vortex FX and Vortex Commodity Futures strategies into one diversified investment offering.Investment StrategyPlease refer to the Vortex Systematic Program.Risk ManagementPlease refer to the Vortex Systematic Program. 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 -13.72 14 - 7/1/2012 9/1/2013 -10.69 1 1 10/1/2008 11/1/2008 -8.09 1 2 1/1/2009 2/1/2009 -7.22 6 6 5/1/2009 11/1/2009 -7.05 10 1 8/1/2011 6/1/2012 -4.91 1 3 9/1/2010 10/1/2010 -3.85 1 2 12/1/2007 1/1/2008 -3.71 3 2 4/1/2008 7/1/2008 -3.48 3 1 1/1/2011 4/1/2011 -3.40 1 1 1/1/2005 2/1/2005 -2.85 2 1 1/1/2006 3/1/2006 -1.76 1 1 7/1/2010 8/1/2010 -1.62 1 2 7/1/2006 8/1/2006 -1.42 1 1 2/1/2007 3/1/2007 -1.37 1 1 5/1/2010 6/1/2010 -0.94 1 1 10/1/2004 11/1/2004 -0.93 1 1 8/1/2005 9/1/2005 -0.81 1 1 8/1/2004 9/1/2004 -0.70 1 1 6/1/2011 7/1/2011 -0.66 1 1 10/1/2007 11/1/2007 -0.53 1 1 11/1/2006 12/1/2006 -0.17 1 1 4/1/2006 5/1/2006 Show More Consecutive Gains Run-up Length (Mos.) Start End 31.00 8 1/1/2004 8/1/2004 27.16 2 12/1/2008 1/1/2009 23.24 3 8/1/2008 10/1/2008 20.28 3 3/1/2009 5/1/2009 18.83 6 3/1/2005 8/1/2005 12.85 4 10/1/2005 1/1/2006 11.75 3 2/1/2008 4/1/2008 10.58 7 4/1/2007 10/1/2007 9.97 2 5/1/2011 6/1/2011 9.94 3 3/1/2010 5/1/2010 9.61 3 9/1/2006 11/1/2006 8.79 3 1/1/2013 3/1/2013 8.67 1 7/1/2012 7/1/2012 7.46 2 12/1/2009 1/1/2010 7.41 3 11/1/2010 1/1/2011 6.84 2 12/1/2004 1/1/2005 5.91 1 7/1/2010 7/1/2010 5.69 2 10/1/2013 11/1/2013 5.42 1 12/1/2007 12/1/2007 5.39 1 4/1/2006 4/1/2006 3.96 2 1/1/2007 2/1/2007 3.63 2 6/1/2006 7/1/2006 2.46 1 10/1/2004 10/1/2004 2.40 2 7/1/2009 8/1/2009 2.01 1 3/1/2012 3/1/2012 1.92 1 9/1/2010 9/1/2010 1.83 1 5/1/2012 5/1/2012 1.70 1 8/1/2011 8/1/2011 1.38 1 1/1/2012 1/1/2012 1.08 1 11/1/2011 11/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -11.58 5 8/1/2012 12/1/2012 -10.69 1 11/1/2008 11/1/2008 -10.31 6 4/1/2013 9/1/2013 -8.09 1 2/1/2009 2/1/2009 -5.29 3 9/1/2009 11/1/2009 -4.91 1 10/1/2010 10/1/2010 -4.33 1 6/1/2009 6/1/2009 -3.90 2 9/1/2011 10/1/2011 -3.85 1 1/1/2008 1/1/2008 -3.71 3 5/1/2008 7/1/2008 -3.50 1 2/1/2010 2/1/2010 -3.48 3 2/1/2011 4/1/2011 -3.40 1 2/1/2005 2/1/2005 -3.01 1 6/1/2012 6/1/2012 -2.85 2 2/1/2006 3/1/2006 -2.74 1 4/1/2012 4/1/2012 -2.51 1 2/1/2012 2/1/2012 -1.76 1 8/1/2010 8/1/2010 -1.62 1 8/1/2006 8/1/2006 -1.42 1 3/1/2007 3/1/2007 -1.37 1 6/1/2010 6/1/2010 -1.19 1 12/1/2011 12/1/2011 -0.94 1 11/1/2004 11/1/2004 -0.93 1 9/1/2005 9/1/2005 -0.81 1 9/1/2004 9/1/2004 -0.70 1 7/1/2011 7/1/2011 -0.66 1 11/1/2007 11/1/2007 -0.53 1 12/1/2006 12/1/2006 -0.17 1 5/1/2006 5/1/2006 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods119.00117.00114.00108.00102.0096.0084.0072.0060.00 Percent Profitable61.3478.6382.4687.9687.2592.7196.43100.00100.00 Average Period Return1.313.837.6416.0625.8236.6862.7295.28136.15 Average Gain3.535.8710.0818.9830.3440.1465.1195.28136.15 Average Loss-2.21-3.67-3.83-5.28-5.18-7.35-1.83 Best Period15.9823.2440.5752.3668.7479.50111.17161.88236.04 Worst Period-10.69-9.32-10.31-10.28-9.94-10.82-4.599.4936.38 Standard Deviation3.835.818.5613.3118.5123.3231.7940.5548.46 Gain Standard Deviation2.944.717.3111.3515.1620.4929.7740.5548.46 Loss Standard Deviation1.982.102.553.012.642.942.41 Sharpe Ratio (1%)0.320.620.831.131.311.491.882.252.70 Average Gain / Average Loss1.601.602.633.605.865.4635.67 Profit / Loss Ratio2.545.8912.3726.2840.1069.46963.15 Downside Deviation (10%)2.032.462.863.824.735.244.102.65 Downside Deviation (5%)1.872.052.092.402.552.640.99 Downside Deviation (0%)1.831.941.912.092.062.120.51 Sortino Ratio (10%)0.451.061.812.893.855.0411.4427.77 Sortino Ratio (5%)0.661.753.416.279.5213.1260.31 Sortino Ratio (0%)0.721.973.997.6912.5317.33123.79 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. x {{title}} x {{title}} Add Cancel