Xenfin Capital Limited : XenfinCRT Prime FX Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jun Performance 2.05% Min Investment $ 1,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 11.78% Sharpe (RFR=1%) 0.75 CAROR 9.54% Assets $ 6.3M Worst DD -10.32 S&P Correlation -0.06 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since7/2014 XenfinCRT Prime FX 2.05 1.15 - 0.34 31.42 - - 31.42 S&P 500 0.33 2.41 - 15.29 23.44 - - 25.33 +/- S&P 500 1.72 -1.26 - -14.94 7.98 - - 6.09 Strategy Description SummaryThe XenfinCRT Prime FX System employs systematic proprietary models to identify trade opportunities in the global foreign exchange market, our main driver being trend following strategies. The programs analyse market data on a constant basis to identify instances where prices are behaving... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 1,000k CTA Max Funding Factor 3.00 Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 7500 RT/YR/$M Avg. Margin-to-Equity 8% Targeted Worst DD -10.00% Worst Peak-to-Trough 10.32% 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 Technical 100.00% Composition Currency FX 100.00% SummaryThe XenfinCRT Prime FX System employs systematic proprietary models to identify trade opportunities in the global foreign exchange market, our main driver being trend following strategies. The programs analyse market data on a constant basis to identify instances where prices are behaving in a fashion that align with the risk characteristics and signal triggers based within our proprietary models. Investment StrategyBy employing a multi frequency configuration we believe we are benefiting from trend formations, whether they are short or long term in nature, without committing all resources to the initial trend identification. Instead we average our interest over the life of the trend to protect assets and not over commit in its infant formation stage. The program utilizes a number of trade exit strategies, with current market volatility key to determining both profit and risk expectations. By employing signal generators with price target exits, as well as more traditional exit techniques, we are able to benefit from shorter duration price movements, as well as improving the underlying core position during phases of longer term trend formation.Risk ManagementA diversified approach, coupled with stringent risk controls, increases stability to the program’s returns. The portfolio is constructed using 22 currency pairs that have demonstrated, over significant periods, to offer the best liquidity. Currencies that fulfil our rulings are all of a developed nature and are from politically and economically stable countries and regions. Risk control is paramount to asset protection and program sustainability; therefore we employ a number of techniques to ensure program diversification and to limit potential losses on both individual trade basis and overall portfolio perspective. 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 -10.32 6 - 7/1/2015 1/1/2016 -6.44 1 2 1/1/2015 2/1/2015 -3.31 1 1 7/1/2014 8/1/2014 -1.08 1 1 5/1/2015 6/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 17.40 3 3/1/2015 5/1/2015 17.27 5 9/1/2014 1/1/2015 6.87 2 5/1/2016 6/1/2016 5.71 1 7/1/2014 7/1/2014 3.98 2 2/1/2016 3/1/2016 3.21 2 12/1/2016 1/1/2017 2.61 1 7/1/2015 7/1/2015 2.32 1 10/1/2016 10/1/2016 2.28 1 10/1/2015 10/1/2015 2.05 1 6/1/2017 6/1/2017 1.90 2 3/1/2017 4/1/2017 0.76 1 8/1/2016 8/1/2016 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.01 2 8/1/2015 9/1/2015 -6.44 1 2/1/2015 2/1/2015 -6.28 1 7/1/2016 7/1/2016 -4.69 3 11/1/2015 1/1/2016 -3.31 1 8/1/2014 8/1/2014 -1.86 1 11/1/2016 11/1/2016 -1.64 1 4/1/2016 4/1/2016 -1.11 1 5/1/2017 5/1/2017 -1.08 1 6/1/2015 6/1/2015 -0.24 1 2/1/2017 2/1/2017 -0.06 1 9/1/2016 9/1/2016 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods36.0034.0031.0025.0019.0013.00 Percent Profitable61.1176.4770.9784.0078.9592.31 Average Period Return0.822.254.146.126.9111.60 Average Gain2.934.067.408.229.7912.75 Average Loss-2.49-3.64-3.83-4.88-3.87-2.18 Best Period7.6117.4018.0830.2323.7630.97 Worst Period-6.44-5.91-10.32-8.14-5.72-2.18 Standard Deviation3.405.247.039.988.288.74 Gain Standard Deviation2.084.495.339.426.758.03 Loss Standard Deviation2.192.333.193.501.67 Sharpe Ratio (1%)0.230.400.550.560.741.21 Average Gain / Average Loss1.171.111.931.692.535.85 Profit / Loss Ratio1.843.624.728.859.4770.16 Downside Deviation (10%)2.242.623.784.795.734.70 Downside Deviation (5%)2.062.112.732.472.220.88 Downside Deviation (0%)2.042.062.632.301.900.60 Sortino Ratio (10%)0.180.390.440.23-0.120.29 Sortino Ratio (5%)0.381.011.422.272.7712.00 Sortino Ratio (0%)0.401.091.572.663.6419.18 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 3 2.32 10/2016 Systematic Trader Index Month 8 2.32 10/2016 Trend Following Strategy Index Month 6 0.76 8/2016 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