FX Quant 10 - Performance

First, we would like to make one thing clear: making money with Forex trading is not easy. Some facts: According to the Barclay Group CTA Index, the compounded annual return of 439 professional trading programs comprising the index is 12.34%; Warren Buffet made his fortune by reinvesting profits at 26% average annual return; 70% of all mutual funds underperform the S&P 500 Index year after year. If you believe someone is capable to achieve a 100% return each and every year, before a deadly drawdown of the same (100%) magnitude hits, then you should not consider our trading program. However, if you have more realistic view on the trading business and you are looking for an investment program that accepts as small investment as $20,000, or helps you trade your own account, we might have solution for you.

FX Quant 10 is a trading program based on mathematical models, which are based on quantitative analysis, statistical arbitrage and position size management. Through these methods, it trades currencies of developed countries (EUR, GBP, CHF, CAD, JPY, AUD, NZD, SEK, DKK and NOK) in the spot markets and does not trade futures or options on futures on any organized exchange. This program analyses exchange rates between the currencies comprising the basket. It gives specific trading signals for each currency, which are then implemented against the nine remaining currencies. The resulting positions are then implemented in the market. It uses statistical methodology and not classical fundamental or technical analysis. There are no classical indicators which attempt to predict market direction (no one can predict market direction!), no pattern recognition techniques and no trading rules based on trader's experience. The trading system is always in the market, but portfolio components are adjusted daily - see these position size graphs. Leverage is applied in line with client's preferred risk tolerance level. You can read here about the trading system developer.

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

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

VAMI

2006

0.26%

0.55%

-0.70%

-5.71%

4.52%

10.05%

2.55%

5.85%

6.68%

0.92%

26.87%

1,268.7

2007

3.48%

0.44%

1.34%

5.44%

-1.38%

2.68%

1.46%

-1.42%

9.80%

-3.30%

5.26%

6.09%

33.37%

1,692.0

2008

-7.22%

-5.23%

-15.47%

16.08%

-13.72%

1,459.8

March 2006 - December 2006: the former version of the system with 7 currencies (Fx7d system); January 2007 forward - the current version with 10 currencies (Fx10d system). The above table shows actual trading results, before fees. Trading signals fees or performance fees should be deducted to reflect the actual performance in clients' trading (or managed accounts trading) - see this example. The interest on open positions and unused margin was taken into account. Rate of return figures have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the net performance by the previous month net asset value. To see the calculations, open this Excel table, and go to the FX10d-ActualPerf tab. The chart below shows the growth of $1,000 (the Value Added Monthly Index - VAMI), before and after 20% incentive fee. In the table below the charts you can see the pro-forma performance analytics, after deduction of 20% performance (incentive) fee.

Pro Forma Performance Analytics (Based on Actual Trading Results, 20% Incentive Fee Deducted)

Start date	March 2006
Management fee / Incentive fee	0% / 20%
Total return since inception	31.32%
Compounded average annual ROR	13.40%
Average compound monthly ROR / standard deviation of monthly RORs	1.05% / 6.14%
Annualized standard deviation of monthly RORs	21.26%
Winning months / average gain	17 / 4.36%
Losing months / average loss	9 / (4.67%)
Downside deviation (below 0%), annualized	13.06%
Correlation to S&P 500 Index	0.39

Sharpe Ratio, annualized (risk-free rate of return 3.0%)	0.49
Sortino Ratio , annualized (RF ret. 3.0%)	0.76
Sterling Ratio, annualized (10%)	N/A
Calmar Ratio	0.52
Worst drawdown depth / duration (month end to month end)	(25.67%) / Jan 08 -
Recovery period	still in drawdown
Portfolio composition	100% currencies (10 currencies)
Margin to equity ratio	Variable, 8-14%

Below are given back-testing results of the Fx10d trading system currently used by FX Quant (it replaced the former Fx7d system). These results are extrapolation into the past of the currently traded program (i.e. how would the system have performed if live traded. Performance and trading signals fees are not deducted). Please read the hypothetical performance disclaimer first. The hypothetical performance report will be no more updated.

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

VAMI

1999

1.10%

2.08%

(0.25%)

(10.94%)

5.80%

(1.28%)

14.10%

2.21%

1.14%

(1.11%)

(8.72%)

(2.81%)

(0.90%)

$991

2000

2.86%

4.94%

(8.66%)

(5.70%)

23.39%

6.69%

(1.85%)

(12.88%)

4.54%

(9.33%)

22.28%

25.97%

52.80%

$1,514.2

2001

4.98%

1.21%

(3.47%)

4.58%

(15.79%)

9.80%

13.82%

8.19%

(7.62%)

11.42%

4.68%

7.98%

42.08%

$2,151.4

2002

2.67%

3.28%

2.07%

0.19%

4.32%

3.71%

(3.10%)

3.90%

0.97%

5.06%

2.72%

(2.65%)

25.29%

$2,695.5

2003

2.04%

3.84%

3.68%

5.78%

2.35%

(1.09%)

2.93%

0.58%

4.95%

(2.91%)

1.58%

0.97%

27.28%

$3,430.9

2004

(11.85%)

(4.62%)

21.74%

8.09%

7.00%

4.53%

0.72%

3.63%

2.91%

2.04%

0.05%

2.98%

39.75%

$4,794.7

2005

(3.61%)

(0.24%)

5.59%

(5.18%)

6.75%

(0.66%)

7.19%

5.98%

(4.22%)

0.59%

(2.20%)

5.93%

15.76%

$5,550.3

2006

2.56%

1.16%

8.30%

(1.25%)

0.96%

(1.81%)

1.62%

7.40%

2.49%

(1.24%)

3.61%

2.28%

28.76%

$7,146.6

2007

3.44%

0.48%

0.98%

5.18%

(1.45%)

2.99%

1.45%

13.68%

$8,124.2

Note in the ROR histogram the positive skewness of ROR distribution. Less than 30% of the monthly RORs are negative.

The above diagram shows the profit on fixed capital without profit reinvesting, while the diagram below shows the account value if the profit from trading is reinvested (compounding monthly or yearly).

Testing period	103 months / 8.58 years
Gross monthly profit	395.64%
Gross monthly loss	-151.14%
Net profit, non-compounded	244.5%
Hypothetical growth of $1,000, compounded yearly (VAMI Index)	$8,124.2
Average annual rate of return (ROR), (arithmetic ROR), non-compounded	28.85%
Compound average annualized ROR (geometric ROR), if reinvested annually	27.64%
Compound average annualized ROR, if reinvested monthly (not decreasing the relative position size after a losing month)	31.51%
Average month ROR (win&loss) / standard deviation of monthly RORs	2.27% / 6.69%
Approximate profit factor (ratio gross monthly profit / gross monthly loss)	2.62
Winning months	73 (70.9%)
Losing months	30 (29.1%)
Average winning month	+5.42%
Average losing month	-5.04%

Ratio average winning / average losing month	1.075
Max. monthly profit / loss	+31.5% / -16.94%
Max. consecutive winning / losing months	10 / 3
Max. drawdown (month end to month end)	Jul-Oct 2000/ -23.2%
Max. drawdown (intramonth), peak to valley	Jul-Oct 2000/ -38.1%
Standard deviation of annual returns	16.64%
Sharpe Ratio (4.6% risk-free rate of return)	1.46
Calmar Ratio	1.19
Leverage	Avg. 3.25, max 5.9
Type of trading	Forex Stat Arb
Currencies traded	10 (45 crosses)
Correlation to S&P 500 Index	-0.083
How generated	Back testing - hypothetical

Monthly rate of return (ROR) figures have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the monthly net performance by the previous month account equity. To see the calculations, open this Excel table and go to the Fx10d-Compounded tab. The VAMI (Value Added Monthly Index) chart above shows the growth of $1,000, by reinvesting profits yearly and monthly.

Compounding is an efficient method for increasing your account equity exponentially, by reinvesting the profit (see the VAMI chart above). Since FX Quant 10 trades in small increments, it is one of very few trading programs suitable for monthly compounding. You can see these formulas for ROR calculations and compounding. By reinvesting profits and compounding yearly, a $20,000 principal (without yearly additions, at 26% annual ROR) can grow into $1,000,000 in 17 years - try this Financial Calculator.

The above tables and charts document FX Quant 10's historical hypothetical performance based on back testing results. To see actual trading results, go to the Actual Performance section at the beginning of this page.

Please note that performance results reported are before performance fees (which decrease returns, depending on the subscription plan). Interest on open positions is not taken into account in hypothetical results. There are also slight differences in profit/loss at different platforms, due to different methods for profit/loss calculation (mark-to-market vs. closed trade profit/loss).

Better results (smaller drawdown and better Sharpe and Calmar Ratio) can be obtained by trading the FX Quant 10 Program in combination with the Options Quant Program - see this hypothetical composite performance record.

You can contact us to request detailed performance reports and monthly performance updates.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVERCOMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PLATFORMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

THE RISK OF LOSS IN TRADING COMMODITIES 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 RISK DISCLOSURE.