Winkler Capital Management : Storojinets-FX Program

archived programs
Year-to-Date
N / A
Aug Performance
-0.16%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
5.00%
Annualized Vol
8.21%
Sharpe (RFR=1%)
0.17
CAROR
2.07%
Assets
$ 46k
Worst DD
-14.86
S&P Correlation
0.24

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
9/2004
Storojinets-FX Program -0.16 - - - - - - 8.55
S&P 500 1.22 - - - - - - 190.35
+/- S&P 500 -1.38 - - - - - - -181.80

Strategy Description

Summary

-&The Trading Program& &The principal technical trading strategies used by the Advisor to generate signals for buy and sell points have been developed through both computer analysis of historical foreign exchange trading data and actual trading experience. The Advisor prefers to only... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 5.00%
Average Commission $6.00
Available to US Investors Request Information

Subscriptions

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

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 2%
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

-&The Trading Program& &The principal technical trading strategies used by the Advisor to generate signals for buy and sell points have been developed through both computer analysis of historical foreign exchange trading data and actual trading experience. The Advisor prefers to only trade strategies that can demonstrate profitability through mathematical back testing, although such testing can provide no assurances that WCM?s methods will be profitable in the future.& &Since the trading strategies employed by the Advisor are mechanical and computerized, discretion is only applied during extraordinary situations. This could occur, for example, when WCM determines that markets are illiquid or erratic, such as may occur before, during or after holidays, or on the basis of irregularly occurring market events. & &The exact details of WCM?s trading strategies are proprietary and confidential. The following descriptions are of necessity general and are not intended to be all-inclusive. WCM currently trades one foreign exchange program, Storojinets-FX.& Storojinets-FX Program &The Advisor is the sole developer of the Storojinets-FX Program. The Storojinets-FX Program trades the spot (cash) foreign exchange (forex or FX) market exclusively. The Advisor has decided to trade the cash forex market instead of the futures forex market because of the greater liquidity of the cash forex market versus the futures forex market, which the Advisor believes results in better order execution. The Storojinets-FX Program is a short-term, systematic trading system that does not have a long-side or short-side bias. Positions are typically held approximately five days. All positions are closed at approximately the close of the trading day on Friday afternoon; no positions are held over to the following trading week. It is the Advisor?s opinion that it is easier to predict short-term changes in price rather than long-term price changes. For example, given the price of a particular foreign currency pair, it is the Advisor?s opinion that it is easier to make a judgment as to what the approximate price of that currency will be three days from now as opposed to three months from now. Stop-loss orders are always in place, with the maximum risk per trade set at approximately 4% of assets, and leverage per trade set at approximately 2x assets. Risk is further mitigated by not maintaining constant exposure to the currency markets. The program is out of the market approximately 50% of the time. The Storojinets-FX Program is systematic and technical in nature, not dependent upon fundamental analysis. Furthermore, it utilizes a trading methodology that is not dependent upon long-term trend following techniques, and therefore has the potential to be profitable in various market environments.& The Storojinets-FX Program attempts to exploit the price movements of the various cross rates amongst the Euro, the Japanese Yen, the British Pound, and the Swiss Franc. The Advisor reserves the right to add or delete trading in various currency pairs that in the Advisor?s judgment would be in the best interest of clients.

   

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:
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Reward
Compound RoR:
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Risk
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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
-14.86 8 - 12/1/2007 8/1/2008
-1.84 1 1 11/1/2006 12/1/2006
-1.82 2 4 3/1/2007 5/1/2007
-1.76 1 1 1/1/2007 2/1/2007
-1.66 2 2 3/1/2006 5/1/2006
-0.99 1 1 10/1/2004 11/1/2004
-0.93 1 4 1/1/2005 2/1/2005
-0.56 1 1 7/1/2006 8/1/2006
-0.25 2 1 8/1/2005 10/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
6.46 1 5/1/2008 5/1/2008
5.61 5 11/1/2005 3/1/2006
5.04 4 9/1/2007 12/1/2007
4.50 2 9/1/2004 10/1/2004
3.91 1 1/1/2007 1/1/2007
3.62 2 12/1/2004 1/1/2005
3.54 1 3/1/2007 3/1/2007
2.91 3 6/1/2005 8/1/2005
2.53 3 9/1/2006 11/1/2006
2.09 1 2/1/2008 2/1/2008
1.91 2 6/1/2006 7/1/2006
1.63 2 6/1/2007 7/1/2007
0.58 1 3/1/2005 3/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.63 3 6/1/2008 8/1/2008
-7.62 1 1/1/2008 1/1/2008
-7.20 2 3/1/2008 4/1/2008
-1.84 1 12/1/2006 12/1/2006
-1.82 2 4/1/2007 5/1/2007
-1.76 1 2/1/2007 2/1/2007
-1.66 2 4/1/2006 5/1/2006
-0.99 1 11/1/2004 11/1/2004
-0.93 1 2/1/2005 2/1/2005
-0.59 1 8/1/2007 8/1/2007
-0.56 1 8/1/2006 8/1/2006
-0.34 2 4/1/2005 5/1/2005
-0.25 2 9/1/2005 10/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods48.0046.0043.0037.0031.0025.0013.00
Percent Profitable58.3371.7481.4081.0883.8784.0092.31
Average Period Return0.200.541.233.786.608.8111.84
Average Gain1.572.023.076.158.7711.2012.90
Average Loss-1.73-3.21-6.82-6.38-4.67-3.73-0.92
Best Period6.465.696.2110.1315.0016.1622.46
Worst Period-7.62-9.39-10.75-10.95-9.62-6.01-0.92
Standard Deviation2.373.194.435.505.986.788.05
Gain Standard Deviation1.501.611.781.923.154.117.39
Loss Standard Deviation2.013.153.393.884.072.44
Sharpe Ratio (1%)0.050.090.170.510.851.001.09
Average Gain / Average Loss0.910.630.450.961.883.0013.96
Profit / Loss Ratio1.281.591.974.149.7615.75167.47
Downside Deviation (10%)1.872.894.315.255.436.278.15
Downside Deviation (5%)1.722.453.443.572.882.481.33
Downside Deviation (0%)1.682.353.243.182.381.720.26
Sortino Ratio (10%)-0.11-0.24-0.29-0.23-0.18-0.23-0.48
Sortino Ratio (5%)0.070.120.210.781.772.756.63
Sortino Ratio (0%)0.120.230.381.192.785.1446.17

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.