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 month Returns (NET of FEES)
| Oct-18 | Nov-18 | Dec-18 | Jan-19 | Feb-19 | Mar-19 | Apr-19 | May-19 | Jun-19 | Jul-19 | Aug-19 | Sep-19 | Return | MaxDD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| -1.72% | 2.48% | -5.82% | 1.54% | -3.74% | 0.65% | -3.39% | 0.69% | 1.51% | -2.57% | 1.39% | 1.83% | -7.32% | -10.87% |
Rolling 12 month Statistics
| 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 |
Rolling 12 month Metrics
| 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 |
TOTAL Program Returns (NET of FEES)
| 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% |
Total program Statistics
| 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 |
Total program Metrics
| 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 |