Vortex : FX

archived programsClosed to new investments
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

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
1/2004
FX 2.70 - - - - - 2.77 335.40
S&P 500 2.80 - - - - - 70.62 206.25
+/- S&P 500 -0.10 - - - - - -67.85 129.15

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The 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 Strategy

Please refer to the Vortex Systematic Program.

Risk Management

Please refer to the Vortex Systematic Program.

   

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:
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
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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
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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
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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.