Xenfin Capital Limited : XenfinCRT Prime FX

archived programs
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

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 Since
7/2014
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

Summary

The 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%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The 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 Strategy

By 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 Management

A 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.

   

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:
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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
-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
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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
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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
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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.