Custom Portfolio
Study
Forex Capital - $25 Million Model Portfolio
April 2005 -
March 2008
Individual Manager
Portfolios
(Click on the letters below to look at their portfolios.)
A
B
C
D
E
F
G
Performance numbers were
calculated by back testing "net return data" provided by the managers. The data
does not include or reflect a provision for "slippage" and the returns may be
unaudited. The construction of each of these portfolios was accomplished
without "notional" funding. An investor, fully funding the account minimums,
would be able to duplicate any of the hypothetical portfolio's illustrated on
this site. It should also be added that none of the portfolio studies provided
for "rebalancing".
| Annual Returns |
| |
|
2005 |
2006 |
2007 |
2008 |
Cumulative |
% Profitable |
| $25MM Model FX Portfolio |
14.18% |
15.91% |
30.49% |
7.46% |
76.22% |
88.89% |
| Barclay CTA Index |
4.95% |
3.54% |
7.64% |
7.35% |
25.71% |
61.11% |
| Barclay Currency Index |
2.06% |
(0.12)% |
2.59% |
1.03% |
5.29% |
50.00% |
| Benchmark Analysis |
| |
Alpha |
Beta |
R |
R-square |
Tracking |
Info. Ratio |
| Barclay CTA Index |
1.67% |
0.11 |
0.12 |
0.01 |
8.74% |
1.72 |
| Barclay Currency Index |
1.62% |
0.81 |
0.38 |
0.15 |
7.66% |
2.75 |
| Description |
|
Return |
Std. Dev |
Sharpe |
Down Dev. |
Sortino RF |
Drawdown |
| $25MM Model FX Portfolio |
22.89% |
5.64% |
2.89 |
2.28% |
7.09 |
-2.39% |
| Barclay CTA Index |
7.88% |
6.17% |
0.52 |
3.50% |
0.86 |
-4.14% |
| Barclay Currency Index |
1.85% |
2.66% |
-1.03 |
2.29% |
-1.21 |
-3.28% |
Cumulative
Returns
Statistical Analysis
The asset allocation is
comprised of managers whose minimum account size would enable investors to meet
the minimum investment requirements without utilizing notional funds. The data
for the asset allocation encompasses the last 36 months of returns.
Asset
Allocation
(Click for individual
manager portfolio)
The chart below measures the
performance of the hypothetical portfolio versus "Indices" representing various
asset classes for the most recent 36 months of performance data.
Annual
Returns
The scattergram chart is
commonly used to graphically depict the risk and return of multiple
investments. A benchmark (market index) is selected and vertical and horizontal
lines are drawn through the benchmark dividing the chart into four quadrants.
Investments that produce a higher rate of return with less standard deviation
(volatility) fall into the "Northwest Quadrant," that is the desired
objective.
Risk /
Return
The chart below illustrates
the distributions of monthly returns of the Sample Portfolio for the most
recent 36 months of performance data.
Distribution of Monthly Returns
The drawdown analysis chart
measures the maximum drawdown experienced by the fund for the past 36 months of
performance history. Generally speaking "Drawdown Analysis" is used as a guide
to determine the amount of risk or volatility the fund has experienced.
Drawdown
Analysis
April 2005 - March 2008
Standard deviation measures
the variation of returns around the mean of investment returns. The higher the
volatility of returns, the higher standard deviation will be. Generally
speaking standard deviation is used as a "risk" or "volatility"
measurement.
Risk
Analysis
Custom Portfolio Study
Forex Capital - $25
Million Model Portfolio
April 2005 - March 2008
| |
Beginning |
Additions |
Profit |
Ending |
Period |
Cumulative |
|
| Date |
Equity |
Withdrawals |
Loss |
Equity |
Return |
Return |
Vami |
| Apr-2005 |
$25,000,000.00 |
0.00 |
-$297,925 |
$24,702,075 |
-1.19% |
-1.19% |
988.08 |
| May-2005 |
$24,702,075.00 |
0.00 |
$398,578 |
$25,100,653 |
1.61% |
0.40% |
1,004.03 |
| Jun-2005 |
$25,100,653.00 |
0.00 |
$593,305 |
$25,693,958 |
2.36% |
2.78% |
1,027.76 |
| Jul-2005 |
$25,693,958.00 |
0.00 |
$637,246 |
$26,331,204 |
2.48% |
5.32% |
1,053.25 |
| Aug-2005 |
$26,331,204.00 |
0.00 |
$865,957 |
$27,197,161 |
3.29% |
8.79% |
1,087.89 |
| Sep-2005 |
$27,197,161.00 |
0.00 |
$763,504 |
$27,960,665 |
2.81% |
11.84% |
1,118.43 |
| Oct-2005 |
$27,960,665.00 |
0.00 |
$168,748 |
$28,129,413 |
0.60% |
12.52% |
1,125.18 |
| Nov-2005 |
$28,129,413.00 |
0.00 |
$487,612 |
$28,617,024 |
1.73% |
14.47% |
1,144.68 |
| Dec-2005 |
$28,617,024.00 |
0.00 |
-$70,976 |
$28,546,049 |
-0.25% |
14.18% |
1,141.84 |
| Jan-2006 |
$28,546,049.00 |
0.00 |
$595,442 |
$29,141,491 |
2.09% |
16.57% |
1,165.66 |
| Feb-2006 |
$29,141,491.00 |
0.00 |
$171,230 |
$29,312,721 |
0.59% |
17.25% |
1,172.51 |
| Mar-2006 |
$29,312,721.00 |
0.00 |
-$700,729 |
$28,611,993 |
-2.39% |
14.45% |
1,144.48 |
| Apr-2006 |
$28,611,993.00 |
0.00 |
$547,076 |
$29,159,069 |
1.91% |
16.64% |
1,166.36 |
| May-2006 |
$29,159,069.00 |
0.00 |
$944,500 |
$30,103,569 |
3.24% |
20.41% |
1,204.14 |
| Jun-2006 |
$30,103,569.00 |
0.00 |
$396,928 |
$30,500,497 |
1.32% |
22.00% |
1,220.02 |
| Jul-2006 |
$30,500,497.00 |
0.00 |
$372,363 |
$30,872,860 |
1.22% |
23.49% |
1,234.91 |
| Aug-2006 |
$30,872,860.00 |
0.00 |
$666,952 |
$31,539,811 |
2.16% |
26.16% |
1,261.59 |
| Sep-2006 |
$31,539,811.00 |
0.00 |
-$577,713 |
$30,962,098 |
-1.83% |
23.85% |
1,238.48 |
| Oct-2006 |
$30,962,098.00 |
0.00 |
$445,188 |
$31,407,286 |
1.44% |
25.63% |
1,256.29 |
| Nov-2006 |
$31,407,286.00 |
0.00 |
$732,315 |
$32,139,600 |
2.33% |
28.56% |
1,285.58 |
| Dec-2006 |
$32,139,600.00 |
0.00 |
$948,890 |
$33,088,491 |
2.95% |
32.35% |
1,323.54 |
| Jan-2007 |
$33,088,491.00 |
0.00 |
$866,792 |
$33,955,283 |
2.62% |
35.82% |
1,358.21 |
| Feb-2007 |
$33,955,283.00 |
0.00 |
$246,771 |
$34,202,054 |
0.73% |
36.81% |
1,368.08 |
| Mar-2007 |
$34,202,054.00 |
0.00 |
$781,040 |
$34,983,094 |
2.28% |
39.93% |
1,399.32 |
| Apr-2007 |
$34,983,094.00 |
0.00 |
$1,199,637 |
$36,182,731 |
3.43% |
44.73% |
1,447.31 |
| May-2007 |
$36,182,731.00 |
0.00 |
$441,918 |
$36,624,648 |
1.22% |
46.50% |
1,464.99 |
| Jun-2007 |
$36,624,648.00 |
0.00 |
$900,220 |
$37,524,869 |
2.46% |
50.10% |
1,500.99 |
| Jul-2007 |
$37,524,869.00 |
0.00 |
$504,669 |
$38,029,538 |
1.34% |
52.12% |
1,521.18 |
| Aug-2007 |
$38,029,538.00 |
0.00 |
$1,812,408 |
$39,841,946 |
4.77% |
59.37% |
1,593.68 |
| Sep-2007 |
$39,841,946.00 |
0.00 |
$1,526,360 |
$41,368,306 |
3.83% |
65.47% |
1,654.73 |
| Oct-2007 |
$41,368,306.00 |
0.00 |
$492,588 |
$41,860,894 |
1.19% |
67.44% |
1,674.44 |
| Nov-2007 |
$41,860,894.00 |
0.00 |
$1,158,529 |
$43,019,423 |
2.77% |
72.08% |
1,720.78 |
| Dec-2007 |
$43,019,423.00 |
0.00 |
$158,699 |
$43,178,122 |
0.37% |
72.71% |
1,727.12 |
| Jan-2008 |
$43,178,122.00 |
0.00 |
$11,796 |
$43,189,918 |
0.03% |
72.76% |
1,727.60 |
| Feb-2008 |
$43,189,918.00 |
0.00 |
$866,125 |
$44,056,043 |
2.01% |
76.22% |
1,762.24 |
| Mar-2008 |
$44,056,043.00 |
0.00 |
$2,344,525 |
$46,400,568 |
5.32% |
85.60% |
1,856.02 |
Important Notes
Although the rates of
return are based on the results of the individual manager's actual investments,
the performance should be considered "model" performance because no client
experienced returns described herein for the entire time period covered in the
performance records. The results contained herein were accomplished with the
benefit of back testing data. Model performance is generated with the benefit
of hindsight. In addition, market and economic conditions, as well as
individual client preferences and needs, may significantly impact Forex
Capital's management of or advice to its individual advisory clients.
Therefore, there may be sharp differences between the model performance shown
and the actual performance results achieved by any particular client.
Performance numbers
were calculated by back testing "net return data" provided by the managers. The
data does not include or reflect a provision for "slippage" and the returns may
be unaudited. The construction of each of these portfolios was accomplished
without "notional" funding. An investor, fully funding the account
minimums, would be able to duplicate any of the hypothetical portfolio's
illustrated on this site. It should also be added that none of the portfolio
studies provided for "rebalancing".
The foregoing may
contain "forward-looking statements" which are based on management's beliefs as
well as on a number of assumptions concerning future events made by and
information currently available to management. Readers are cautioned not to put
undue reliance on such forward-looking statements, which are not a guarantee of
performance and are subject to a number of uncertainties and other factors,
many of which are outside Forex Capital Management's control, that could cause
actual results to differ materially from such statements.
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.
The high degree of
leverage that is often obtainable in commodity trading can work against you as
well as for you. The use of leverage can lead to large losses as well as
gains.
In some cases, managed
commodity accounts are subject to substantial charges for management and
advisory fees. It may be necessary for those accounts that are subject to these
charges to make substantial trading profits to avoid depletion or exhaustion of
their assets. The disclosure document of a commodity trading advisor ("CTA")
contains a complete description of the principal risk factors and each fee to
be charged to your account by the CTA.
The regulations of the
Commodity Futures Trading Commission ("CFTC") require that prospective clients
of a CTA receive a disclosure document when they are solicited to enter into an
agreement whereby the CTA will direct or guide the client's commodity interest
trading and that certain risk factors be highlighted. This document can be
obtained directly from the CTA. This brief statement cannot disclose all of the
risks and other significant aspects of the commodity markets. Therefore, you
should proceed directly to the disclosure document and study it carefully to
determine whether such trading is appropriate for you in light of your
financial condition. The CFTC has not passed upon the merits of participating
in the trading program of any CTA nor on the adequacy or accuracy of a CTA's
disclosure document. Other disclosure statements are required to be provided to
you before a commodity account may be opened for you.
All information contained
in this report is based upon information obtained from specific CTA disclosure
documents, fund prospectuses, or the CTAs themselves. While the information is
believed to be reliable, because of the complexities involved with the data and
the fact that it has not been verified, we cannot guarantee its completeness or
accuracy.
Composite performance
tables are used to illustrate the overall success or failure of a CTA in
trading the futures markets. These composite results are not indicative of, and
have no bearing on, any individual results that may be attained by a CTA in the
future. It is important to understand that composite returns reflect aggregate
performances from all accounts traded and do not reflect the different rates of
returns achieved by individual accounts. When available, CTA analysis will
always be compiled using performance tables that are inclusive of notional
equity. Notional equity refers to the amount of funds that are pledged to a
trading account by an investor but are not actually deposited. In addition,
certain trading programs will have historical performances based upon extracted
trades. Performance tables including notional equity or extracted trading are
considered by the CFTC to be hypothetical. Although all trades used in the
compilation of the performance tables have actually been executed, certain
hypothetical assumptions need to be made in order to estimate interest earned,
fees paid, or the amount of leverage used for these kinds of accounts.
The NFA requires the
following disclosure statement in reference to hypothetical results:
HYPOTHETICAL PERFORMANCE
RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO
REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE
PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP
DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS
SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS
OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH
THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE
FINANCIAL RISK AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR
THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO
WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF
TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL
TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN
GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT
BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS
AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
Estimations of CTA
margins used, are provided by the respective trading advisors. Although these
estimates are believed to be reliable, the CTA may at his or her sole
discretion place trades requiring margin far in excess of the estimates listed
in this report. It is the customer's responsibility to maintain sufficient
capital in his/her trading account(s) to meet initial margin requirements.
These reports do not
constitute a solicitation to invest in any program included herein. Prior to
making an investment in a trading program, one should carefully study the
appropriate disclosure document required by the CFTC. These reports are
designed to provide readers with accurate and objective information in regard
to managed futures investments. They are offered with the understanding that
the publisher is not engaged in rendering legal, financial, brokerage, or other
professional advice. If legal or other expert assistance is required, the
services of a competent professional should be sought.
You should carefully
consider whether your financial condition permits you to participate in futures
trading. In so doing, you should be aware that futures and options trading can
quickly lead to large losses as well as gains. Such trading losses can sharply
reduce the value of your investment.
All information provided
on these pages is for fair use. Normal copyright protections apply to all
commercial use of any documents or information. Catranis & Gilbert are not
responsible for any loss due to inaccuracies in the information provided.
Nothing presented here should be construed as investment advice or
recommendations. Although adding Managed Futures investments to a portfolio may
provide diversification, Managed Futures investments are not a hedging
mechanism; there is no guarantee that Managed Futures investments will
appreciate during periods of inflation or stock and bond market declines.
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