Vortex : Systematic Program

archived programs
Year-to-Date
N / A
Dec Performance
3.26%
Min Investment
$ 2,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
10.46%
Sharpe (RFR=1%)
0.23
CAROR
2.90%
Assets
$ 2.3M
Worst DD
-18.98
S&P Correlation
-0.19

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 Since
12/2013
Systematic Program 3.26 - - - 12.21 0.37 - 12.39
S&P 500 3.43 - - - 28.55 85.57 - 87.45
+/- S&P 500 -0.17 - - - -16.34 -85.20 - -75.05

Strategy Description

Summary

Vortex has made the strategic decision to only offer the Vortex Currency Program from 2018, and will no longer offer the diversified Vortex Systematic Program to prospective investors. The VORTEX SYSTEMATIC PROGRAM is a s̲h̲o̲r̲t̲ t̲o̲ m̲e̲d̲i̲u̲m̲-t̲e̲r̲m̲ strategy trading the... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 2,000k
CTA Max Funding Factor 4.00
Management Fee 1.50%
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 290 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough -8.37%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 80.00%
Intraday 10.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
15.00%
Momentum
15.00%
Trend-following
60.00%
Other
10.00%
Strategy Pie Chart

Composition

Currency FX
50.00%
Energy
11.00%
Grains
9.00%
Interest Rates
9.00%
Stock Indices
9.00%
Precious Metals
6.00%
Industrial Metals
3.00%
Softs
3.00%
Composition Pie Chart

Summary

Vortex has made the strategic decision to only offer the Vortex Currency Program from 2018, and will no longer offer the diversified Vortex Systematic Program to prospective investors. The VORTEX SYSTEMATIC PROGRAM is a s̲h̲o̲r̲t̲ t̲o̲ m̲e̲d̲i̲u̲m̲-t̲e̲r̲m̲ strategy trading the world’s most liquid instruments in spot FX, commodity futures and financial futures. The program offers some of the most consistent r̲i̲s̲k̲-a̲d̲ju̲s̲t̲e̲d̲ r̲e̲t̲u̲r̲n̲s̲ in the industry. It is a t̲r̲u̲e̲ h̲e̲d̲ge̲ during market crisis events and is u̲n̲c̲o̲r̲r̲e̲l̲a̲t̲e̲d̲ to all markets, other hedge funds and CTAs. The program was launched in December 2013 as a consolidated strategy to replace our previous separate FX and Futures programs.

Investment Strategy

V̲o̲r̲t̲e̲x̲ i̲s̲ n̲o̲t̲ a̲ t̲ypi̲c̲a̲l̲ C̲T̲A̲. Most large CTAs rely on long-term trends. They only trade larger markets and tend to be trend following only. As a boutique CTA, Vortex can profit from s̲h̲o̲r̲t̲ t̲o̲ m̲e̲d̲i̲u̲m̲-t̲e̲r̲m̲ trends and can trade smaller markets such as agricultural futures. The Vortex approach is like a m̲u̲l̲t̲i̲-s̲t̲r̲a̲t̲e̲gy, combining trend following with mean reversion and contra-trend trading. This means we participate in price trends others don’t. We are the inventors of the famous V̲o̲r̲t̲e̲x̲ I̲n̲d̲i̲c̲a̲t̲o̲r̲. This forms the foundation of the proprietary Vortex System that has been developed and refined over a decade.

Risk Management

Vortex produces c̲o̲n̲s̲i̲s̲t̲e̲n̲t̲ and repeatable results year-on-year, month-on-month and day-to-day. This is accomplished by 3̲ pi̲l̲l̲a̲r̲s̲ of risk management: 1) Dynamic exposure to e̲qu̲a̲l̲i̲s̲e̲ r̲i̲s̲k̲ in different market conditions. During times of high volatility, we trade smaller positions, but larger positions during low volatility. 2) Religious use of s̲t̲o̲p l̲o̲s̲s̲e̲s̲. Two types of progressive trailing stops are used with every position. 3) Letting pr̲o̲f̲i̲t̲s̲ r̲u̲n̲ to their maximum extent 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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
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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
-18.98 11 - 6/1/2016 5/1/2017
-8.11 4 3 10/1/2014 2/1/2015
-5.73 4 3 11/1/2015 3/1/2016
-5.62 4 1 4/1/2014 8/1/2014
-3.34 2 1 12/1/2013 2/1/2014
-3.11 1 1 6/1/2015 7/1/2015
-1.05 1 1 9/1/2015 10/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
12.21 4 9/1/2017 12/1/2017
12.13 4 3/1/2015 6/1/2015
10.00 3 4/1/2016 6/1/2016
6.99 2 6/1/2017 7/1/2017
6.99 2 3/1/2014 4/1/2014
6.88 2 9/1/2014 10/1/2014
6.13 2 8/1/2015 9/1/2015
2.16 1 11/1/2015 11/1/2015
1.68 1 12/1/2013 12/1/2013
1.50 1 3/1/2017 3/1/2017
1.29 2 11/1/2016 12/1/2016
0.93 2 6/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.85 4 7/1/2016 10/1/2016
-8.89 2 1/1/2017 2/1/2017
-8.11 4 11/1/2014 2/1/2015
-5.73 4 12/1/2015 3/1/2016
-4.05 2 4/1/2017 5/1/2017
-3.94 1 5/1/2014 5/1/2014
-3.34 2 1/1/2014 2/1/2014
-3.11 1 7/1/2015 7/1/2015
-2.65 1 8/1/2014 8/1/2014
-1.93 1 8/1/2017 8/1/2017
-1.05 1 10/1/2015 10/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable53.0655.3254.5552.6356.2565.3857.14
Average Period Return0.280.700.770.362.082.760.96
Average Gain2.594.735.776.989.507.714.63
Average Loss-2.33-4.29-5.22-6.99-7.44-6.60-3.93
Best Period6.7110.6814.8813.0118.3616.5512.86
Worst Period-5.56-9.22-11.62-16.69-15.98-11.12-7.47
Standard Deviation3.025.366.958.339.718.495.58
Gain Standard Deviation1.973.014.603.904.615.454.20
Loss Standard Deviation1.422.753.785.024.813.902.44
Sharpe Ratio (1%)0.070.080.04-0.080.060.09-0.37
Average Gain / Average Loss1.111.101.111.001.281.171.18
Profit / Loss Ratio1.261.361.331.111.642.211.57
Downside Deviation (10%)2.114.115.768.9910.5111.0715.75
Downside Deviation (5%)1.913.534.596.446.675.544.93
Downside Deviation (0%)1.863.384.315.875.804.452.96
Sortino Ratio (10%)-0.06-0.13-0.29-0.52-0.52-0.68-0.94
Sortino Ratio (5%)0.100.130.06-0.100.090.13-0.42
Sortino Ratio (0%)0.150.210.180.060.360.620.33

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.