Programs | ArctosFX LLC

Program – FX_TRVf

Returns, Statistics & Metrics based on results observed in proprietary account(s) traded under the strategy and is NET of all fees

Definitions page has the explanations of the terms

The benchmark used for comparison purposes is BTopFX. This is an index that is comprised of programs that meet certain specific criteria. More information can be found at their site BarclayHedge (** It is NOT a proxy for all the programs that engage in currency trading **)

NT = Not Traded

Rolling 12 Months Since Inception

Rolling 12 Months
Since Inception

STATISTICS	FX_TRVf	BTopFX	S&P500
STATISTICS	FX_TRVf	BTopFX	S&P500
Absolute Return	-7.32%	6.81%	2.15%
CAGR	-7.32%	6.81%	2.15%
Avg. Monthly Return	-0.63%	0.55%	0.18%
Best Month	2.48%	3.75%	7.87%
Maximum Run Up	2.48%	9.14 %	17.51 %
Worst Month	-5.82%	-3.13%	-9.18%
Maximum Drawn Down	-10.87%	-3.77%	-13.97%
Positive Months (%)	58%	58%	67%
Correlation w/-	---	-0.23	0.39

METRICS	FX_TRVf	BTopFX	S&P500
METRICS	FX_TRVf	BTopFX	S&P500
Modified VaR [ConfLvl: 99.9%]	-7.82%	-3.97%	-15.21%
Modified Sharpe Ratio [RfR: 2.0%]	-1.19	1.21	0.01
Standard Deviation (Annual)	2.61%	2.32%	5.18%
Down Deviation (Annual)	1.38%	0.90%	2.68%
Sortino Ratio [MinAcptRet: 4.0%]	-8.24	3.12	-0.69
MAR Ratio	-0.67	1.81	0.15
Skewness	-0.7	-0.15	-0.54
Kurtosis	-0.87	-1.57	-0.64
Alpha	-8.20%	---	-1.90%
Beta	-0.23	---	0.43

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Return	MaxDD
Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Return	MaxDD
2019	1.54%	-3.74%	0.65%	-3.39%	0.69%	1.51%	-2.57%	1.39%	1.83%				-2.30%	-6.80%
2018	3.50%	0.67%	-0.70%	-0.24%	-1.95%	-4.24%	1.38%	3.20%	-3.72%	-1.72%	2.48%	-5.82%	-7.40%	-11.13%
2017	-4.93%	-0.77%	20.68%	0%	9.11%	-3.27%	10.41%	4.69%	-8.81%	-6.95%	-2.69%	0.55%	15.30%	-17.43%
2016	NT	NT	0.94%	7.22%	2.39%	-4.51%	-16.57%	11.23%	-10.66%	8.21%	39.75%	18.44%	57.12%	-20.84%
2015	14.18%	-2.17%	-3.69%	1.74%	9.00%	-1.87%	NT	NT	NT	NT	NT	NT	17.09%	-5.77%
2014	-10.68%	-7.51%	14.51%	-4.55%	2.31%	0.40%	3.17%	7.72%	13.25%	-2.96%	4.84%	4.87%	24.55%	-17.39%
2013	11.20%	-2.14%	-4.82%	7.51%	6.65%	-0.70%	-6.44%	-0.81%	-2.48%	-2.01%	10.22%	3.94%	19.80%	-11.95%
2012	-	-	-	-	-	-	-6.19%	0.37%	-1.57%	-1.20%	-0.99%	16.59%	5.70%	-9.35%

STATISTICS	FX_TRVf	BTopFX	S&P500
STATISTICS	FX_TRVf	BTopFX	S&P500
Absolute Return	202.64%	-1.92%	118.53%
CAGR	16.48%	-0.27%	11.37%
Avg. Monthly Return	1.28%	-0.02%	0.90%
Best Month	39.75%	4.55%	8.30%
Maximum Run Up	79.11%	17.19%	17.51%
Worst Month	-16.57%	-5.59%	-9.18%
Maximum Drawn Down	-27.25%	-20.83%	-13.97%
Positive Months (%)	53%	51%	70%
Correlation w/-	---	0.18	0.05

METRICS	FX_TRVf	BTopFX	S&P500
METRICS	FX_TRVf	BTopFX	S&P500
Modified VaR [ConfLvl: 99.9%]	-15.21%	-6.61%	-12.66%
Modified Sharpe Ratio [RfR: 2.0%]	0.95	-0.34	0.74
Standard Deviation (Annual)	27.92%	6.17%	10.88%
Down Deviation (Annual)	12.56%	1.19%	2.36%
Sortino Ratio [MinAcptRet: 4.0%]	0.99	-1.03	0.9
MAR Ratio	0.6	-0.01	0.81
Skewness	1.58	-0.21	-0.55
Kurtosis	5.01	0.43	0.96
Alpha	16.23%	---	9.29%
Beta	0.77	---	-0.03

Program – FX_TRVf

Rolling 12 month Returns (NET of FEES)

Rolling 12 month Statistics

Rolling 12 month Metrics

TOTAL Program Returns (NET of FEES)

Total program Statistics

Total program Metrics