Waypoint Capital Management : FX Global Yield Program

archived programs
Year-to-Date
N / A
Aug Performance
-0.17%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.15%
Sharpe (RFR=1%)
0.16
CAROR
2.30%
Assets
$ 637k
Worst DD
-26.31
S&P Correlation
0.54

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
11/2006
FX Global Yield Program -0.17 - - - - - 5.08 11.61
S&P 500 -5.68 - - - - - 7.52 147.33
+/- S&P 500 5.51 - - - - - -2.44 -135.72

Strategy Description

Summary

-FX Global Yield Program. The FX Global Yield Program is an actively managed currency trading program. Waypoint relies on both fundamental and technical information as the basis for its trading decisions in the FX Global Yield Program. The primary objective of the trading program is... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-FX Global Yield Program. The FX Global Yield Program is an actively managed currency trading program. Waypoint relies on both fundamental and technical information as the basis for its trading decisions in the FX Global Yield Program. The primary objective of the trading program is to position in the most attractive regionally hedged currency pairs utilizing a proprietary matrix of yield, fundamental, and technical inputs. The program attempts to profit from both carry and spot appreciation of higher yielding currencies in such a way that the portfolio is protected from periods of adverse movements in spot levels currency markets.

   

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
-26.31 8 - 5/1/2008 1/1/2009
-13.21 3 2 12/1/2006 3/1/2007
-11.36 2 2 6/1/2007 8/1/2007
-3.76 1 3 10/1/2007 11/1/2007
-3.08 1 1 2/1/2008 3/1/2008
-3.08 1 1 1/1/0001 11/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
30.56 3 4/1/2007 6/1/2007
21.39 2 4/1/2009 5/1/2009
14.99 2 9/1/2007 10/1/2007
7.34 1 12/1/2010 12/1/2010
6.47 2 4/1/2008 5/1/2008
5.91 2 9/1/2010 10/1/2010
5.89 1 9/1/2009 9/1/2009
5.05 1 12/1/2006 12/1/2006
4.91 2 3/1/2010 4/1/2010
4.04 2 11/1/2009 12/1/2009
4.04 3 12/1/2007 2/1/2008
3.49 1 7/1/2010 7/1/2010
3.31 1 7/1/2009 7/1/2009
2.63 2 3/1/2011 4/1/2011
0.98 1 2/1/2009 2/1/2009
0.54 1 6/1/2011 6/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.31 8 6/1/2008 1/1/2009
-13.21 3 1/1/2007 3/1/2007
-11.36 2 7/1/2007 8/1/2007
-8.91 2 5/1/2010 6/1/2010
-5.64 2 1/1/2011 2/1/2011
-5.54 2 1/1/2010 2/1/2010
-4.62 1 5/1/2011 5/1/2011
-4.08 1 10/1/2009 10/1/2009
-3.76 1 11/1/2007 11/1/2007
-3.22 1 8/1/2010 8/1/2010
-3.08 1 3/1/2008 3/1/2008
-3.08 1 11/1/2006 11/1/2006
-1.01 1 6/1/2009 6/1/2009
-0.49 1 3/1/2009 3/1/2009
-0.48 1 8/1/2009 8/1/2009
-0.33 2 7/1/2011 8/1/2011
-0.14 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable46.5557.1456.6059.5751.2251.4347.83
Average Period Return0.321.002.363.282.762.623.18
Average Gain4.366.4510.1312.0012.4810.2811.68
Average Loss-3.20-6.28-7.77-9.59-7.45-5.50-4.60
Best Period15.1930.5630.8229.1425.3728.5528.73
Worst Period-9.90-15.59-24.18-23.21-20.48-12.59-8.34
Standard Deviation5.248.9411.8413.4912.3911.1510.30
Gain Standard Deviation4.167.408.158.798.1310.238.56
Loss Standard Deviation3.114.557.397.486.294.112.69
Sharpe Ratio (1%)0.050.080.160.170.100.050.01
Average Gain / Average Loss1.361.031.301.251.671.872.54
Profit / Loss Ratio1.191.371.701.851.761.982.33
Downside Deviation (10%)3.465.728.2610.4411.5112.0815.86
Downside Deviation (5%)3.285.177.238.177.585.945.87
Downside Deviation (0%)3.235.046.997.656.744.733.81
Sortino Ratio (10%)-0.02-0.04-0.01-0.17-0.42-0.63-0.79
Sortino Ratio (5%)0.070.140.260.280.170.100.03
Sortino Ratio (0%)0.100.200.340.430.410.550.84

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.