FX BASKET QUANT - Performance

FX BASKET QUANT (FXBQ) is a systematic, quantitative trading program, which trades currencies in the cash ("spot") markets. The strategy creates a complex portfolio of 10 global (G10) currencies and adjusts its components daily.

The strategy exploits the asymmetry of percentage increases and decreases of price returns. For example, if the NZDCHF price return is positive, the CHFNZD return will be negative, but the sum of these two returns will always be positive, although denominated in different currencies. The strategy trades all currency crosses between 9 base currencies, accumulates returns in base currencies and periodically converts them into USD. Based on positions of all components (a total of 72 currency crosses), positions are consolidated into the base 9 currencies against the US Dollar. The resulting positions are then implemented in the market. The trading strategy is always in the market, but portfolio weights are adjusted daily.

Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first is portfolio construction and diversification; second is portfolio concentration control through position size limitation according to account size (the position size limit for each currency is currently 100% of NAV); and third is a catastrophic stop based on money management rules (can be selected by the investor).

Beginning January 2013 on this page we will be tracking the actual performance of FX Basket Quant - Currency Trading Program. To see extrapolation into the past of the currently traded strategy (ver. 06/2012), see the hypothetical performance report from strategy back testing.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING FOREX CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES.

1. Monthly ROR and VAMI (Based on Real Trading Results, Before and After Performance Fees)

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

VAMI

2013

1.93% 1.55%*

0.13% 0.10%*

0.47% 0.38%*

(0.84%) (0.84%)*

(0.59%) (0.59%)*

0.87% 0.87%*

(0.32%) (0.32%)*

3.51% 2.99%*

0.49% 0.39%*

(0.82%) (0.82%)*

(1.12%) (1.12%)*

3.67% 2.53%*

1,036.7 1,025.3*

2014

0.54% 0.54%*

1.16% 1.16%*

1.23% 1.04%*

0.24% 0.19%*

(0.34%) (0.34%)*

(0.60%) (0.60%)*

(0.12%) (0.12%)*

0.59% 0.59%*

(0.25%) (0.25%)*

1.08% 1.01%*

0.39% 0.31%*

2.32% 1.92%*

3.98% 3.58%*

1,060.8 1,045.0*

2015

(1.28%) (1.28%)*

2.66% 2.66%*

0.11% 0.11%*

0.67% 0.57%*

(0.31%) (0.31%)*

(1.34%) (1.34%)*

0.87% 0.87%*

(3.21%) (3.21%)*

(0.11%) (0.11%)*

6.68% 6.20%*

(0.01%) (0.01%)*

(0.02%) (0.02%)*

4.45% 3.88%*

1,108.0 1,085.6*

2016

3.37% 2.70%*

1.56% 1.25%*

0.79% 0.63%*

0.32% 0.32%*

1.04% 0.83%*

(0.72%) (0.72%)*

(1.51%) (1.51%)*

0.52% 0.52%*

(2.29%) (2.29%)*

(4.76%) (4.76%)*

4.78% 4.78%*

2.56% 2.56%*

5.42% 3.97%*

1,168.0 1,128.7*

2017

(3.54%) (3.54%)*

(1.47%) (1.47%)*

3.53% 3.53%*

4.33% 4.14%*

0.61% 0.49%*

0.73% 0.58%*

(1.52%) (1.52%)*

(1.84%) (1.84%)*

3.94% 3.84%*

(1.08%) (1.08%)*

(0.49%) (0.49%)*

2.58% 2.38%*

5.54% 4.77%*

1,232.7 1,182.5*

2018

(0.31%) (0.31%)*

0.82% 0.72%*

(0.46%) (0.46%)*

(0.13%) (0.13%)*

1.34% 1.19%*

0.16% 0.13%*

0.75% 0.60%*

(0.88%) (0.88%)*

1.87% 1.67%*

0.57% 0.46%*

(1.88%) (1.88%)*

0.51% 0.51%*

2.33% 1.58%*

1,261.5 1,201.2*

2019

1.18% 1.18%*

0.23% 0.23%*

0.82% 0.66%*

0.38% 0.30%*

(0.20%) (0.20%)*

(0.44%) (0.44%)*

(1.23%) (1.23%)*

(0.06%) (0.06%)*

2.32% 2.25%*

0.35% 0.28%*

0.79% 0.58%*

0.14% 0.11%*

4.24% 3.67%*

1,315.0 1,245.3*

2020

(0.69%) (0.69%)*

(0.05%) (0.05%)*

(9.11%) (9.11%)*

0.05% 0.05%*

(0.96%) (0.96)*

(0.44%) (0.44%)*

(1.32%) (1.32%)*

(2.93%) (2.93%)*

5.94% 5.94%*

1.72% 1.72%*

0.12% 0.12%*

0.63% 0.63%*

(7.30%) (7.30%)*

1,214.6 1,151.0*

2021

0.51% 0.51%*

(0.09%) (0.09%)*

(0.60%) (0.60%)*

0.79% 0.79%*

0.84% 0.84%*

0.23% 0.23%*

0.63% 0.63%*

0.13% 0.13%*

0.30% 0.30%*

(0.64%) (0.64%)*

0.41% 0.41%*

0.90% 0.90%*

3.45% 3.45%*

1,256.5 1,190.8*

2022

(0.10%) (0.10%)*

1.03% 1.03%*

0.13% 0.13%*

0.39% 0.39%*

0.53% 0.53%*

1.22% 1.22%*

0.85% 0.85%*

0.80% 0.67%*

(0.30%) (0.30%)*

2.01% 1.67%*

0.47% 0.37%*

0.86% 0.69%*

8.08% 7.32%*

1,358.9 1,278.5*

2023

0.89% 0.71%*

0.90% 0.72%*

0.37% 0.30%*

(0.76%) (0.76%)*

1.02% 0.97%*

0.73% 0.58%*

(0.14%) (0.14%)*

0.88% 0.73%*

(0.64%) (0.64%)*

0.92% 0.86%*

0.18% 0.15%*

(0.07%) (0.07%)*

4.34% 3.44%*

1,417.9 1,322.5*

2024

0.78% 0.63%*

0.22% 0.18%*

(0.30%) (0.30%)*

(0.18%) (0.18%)*

0.68% 0.64%*

0.40% 0.32%*

(0.71%) (0.71%)*

0.88% 0.57%*

1,430.3 1,330.1*

* - Net of 20% monthly performance fe

The above table shows actual trading results, before and after performance fees. Rates of return (ROR), net of 20% performance fee, are marked by asterisk (*). ROR figures have been calculated according to CFTC Regulation 4.35(a)(6)(i)(F), by dividing the monthly net performance (gain or loss) by the nominal (notional) account size.

The charts below show monthly rates of return (ROR) and the growth of $1,000 (the Value Added Monthly Index - VAMI), before and after 20% performance/incentive fee deduction. Compounding by monthly profit reinvesting is used.

III. Performance Analytics (Based on Actual Trading Results, Net of 20% Performance Fee)

Strategy Statistics
Reporting period	Feb/13 - Jul/24 (138 months)
Total return since strategy inception	33.01%
Return last 12 months	1.60%
Compound average annual rate of return (ROR)	2.51%
VAMI Index - hyp. growth of $1,000 since inception	1,330.1
# Profitable months / average positive ROR	83 / 1.06%
# Unprofitable months / average negative ROR	55 / (1.04%)
Kurtosis & Skewness of monthly RORs	8.64 / (0.63)
% Profitable months	60.1%
Ratio avg. positive / avg. negative monthly ROR (Gain to loss ratio)	1.02
Maximum / minimum monthly ROR	6.20% / (9.11%)
Monthly profit factor (Profit to loss ratio); Ratio sum positive returns ÷ sum negative returns	1.53

Risk Measures
Annualized standard deviation of monthly RORs	5.83%
Annualized downside deviation (below the RF rate of return of 1% per annum)	4.02%
Sharpe ratio, annualized (RF rate of return 1.0%)	0.26
Sortino ratio, annualized (below the RF rate of 1% per annum)	0.38
Calmar Ratio, since inception	0.17
Efficiency index	0.43
Strategy Alpha relative to the S&P 500 Index, annualized	1.78%
Strategy Beta & Correlation coefficient, relative to the S&P 500 Index	0.07 / 0.18
R squared (coefficient of determination), rel. to the S&P 500 Index	0.032
Jensen's alpha relative to the S&P 500 Index, annualized	0.73%
Information ratio, relative to the S&P 500 Index	(0.67)
Worst drawdown depth / duration (on end-of-month basis)	(14.60%) / 31 months

THE RISK OF LOSS IN TRADING FOREIGN EXCHANGE (FOREX) CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. TRADING IN FOREIGN EXCHANGE IS SPECULATIVE AND MAY INVOLVE THE LOSS OF PRINCIPAL; THEREFORE, FUNDS PLACED UNDER MANAGEMENT SHOULD BE RISK CAPITAL FUNDS THAT IF LOST WILL NOT SIGNIFICANTLY AFFECT ONE'S PERSONAL WELL BEING. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION. PLEASE SEE THE COMPLETE FXBQ DISCLOSURE DOCUMENT.