Zeno Capital Limited : Millenium Program (Proprietary)

archived programs
Year-to-Date
N / A
Jul Performance
0.54%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
14.48%
Sharpe (RFR=1%)
0.11
CAROR
-
Assets
$ 31k
Worst DD
-11.18
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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
11/2014
Millenium Program (Proprietary) 0.54 - - - - - - 1.22
S&P 500 1.97 - - - - - - 67.57
+/- S&P 500 -1.43 - - - - - - -66.36

Strategy Description

Summary

The Millenium Trading Program employs a proprietary trading technique developed by Zeno Capital which primarily uses mix of automated and manual methods to manage trades, including technical analysis and strict fund management rules.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 30k
CTA Max Funding Factor 3.00
Management Fee 0%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 0%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
20.00%
Technical
30.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

The Millenium Trading Program employs a proprietary trading technique developed by Zeno Capital which primarily uses mix of automated and manual methods to manage trades, including technical analysis and strict fund management rules.

Investment Strategy

In a trending market, the program is designed to take profits in the futures markets using price targets with predetermined stop losses. The trades are taken only if their probable outcomes meet the strict criteria of the proprietary risk control system. Stop-losses are always in place, aiming to avoid holding on to losing positions when the market is over-reacting or getting trapped in trades with low reward. The trading program specializes in trading the currency futures indexes. The philosophy behind development of the Millenium program is to only trade in clear market patterns lacking the intraday volatility that tends to trigger stop losses. Because the system is designed to trade specific patterns, trade volume is low and exposure to risk tends to be lower due to infrequent trading. The advisor regularly evaluates market volatility and other technical behavior and adapts the strategies entry, and position sizing criteria to current market conditions.

Risk Management

For the Millenium Trading Program, the Advisor will generally attempt to limit risk between half percent (0.5%) and three percent (3%) of an account’s equity per trade. However there is no assurance that losses on any given trade will be limited to these amounts. Stop loss points are determined at the time a trade is initiated. Please note that stop loss orders become market orders when activated and therefore, there is no assurance that such orders will be filled at the stop loss points. Further, stop loss orders may not necessarily limit losses to the determined amounts in the event that market conditions make it impossible to execute such orders. Options may also be used in an attempt to protect existing futures positions.Please note that while Zeno Capital, Limited adheres to certain risk management techniques, there can be no assurance that these techniques will be successful. While Zeno Capital, Limited makes every effort to adhere to the trading program, Zeno Capital, Limited reserves the right to take appropriate actions outside the systems if warranted by exceptional or unusual market conditions or if the world situation results in unusually high amounts of risk.

   

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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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
-11.18 2 - 2/1/2015 4/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
9.78 3 5/1/2015 7/1/2015
3.81 4 11/1/2014 2/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.18 2 3/1/2015 4/1/2015
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Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable77.7857.14
Average Period Return0.21-0.13
Average Gain1.924.81
Average Loss-5.75-6.71
Best Period8.099.78
Worst Period-6.79-10.87
Standard Deviation4.186.95
Gain Standard Deviation2.783.43
Loss Standard Deviation1.473.66
Sharpe Ratio (1%)0.03-0.05
Average Gain / Average Loss0.330.72
Profit / Loss Ratio1.170.96
Downside Deviation (10%)2.945.55
Downside Deviation (5%)2.794.96
Downside Deviation (0%)2.754.81
Sortino Ratio (10%)-0.07-0.24
Sortino Ratio (5%)0.05-0.08
Sortino Ratio (0%)0.08-0.03

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.