Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
The Vortex Currency Program is a short to medium-term systematic strategy trading the world's most liquid currency pairs. Currencies give investors a global footprint and the opportunity to profit from most major international economic and geopolitical events. The program also provides essential diversification from all traditional asset classes. A leveraged version of this program is available to investors with a higher risk appetite.
Investment Strategy
The proprietary Vortex System has been developed and refined over two decades. It is based on extensive experience trading different markets and analysing market behaviour, as well as robust mathematical and statistical principles. The Vortex System combines elements of trend following, mean reversion and contra-trend, acting like a multi-strategy. By being 100% systematic, we avoid the pitfalls of human emotion and psychology in trading, especially greed and fear. The Vortex Currency Program is a short to medium-term strategy, meaning the holding period for profitable trades ranges from a few days up to several weeks. Unprofitable trades usually exit after several hours or days. Our timeframe makes us uncorrelated to longer-term fund managers, as well as to intraday strategies. We let our profits run and cut our losses short, resulting in a return profile that is positively-skewed. Vortex are also the inventors of the well-known Vortex Indictor, a technical trend indicator published in 2010 and used worldwide by funds and trading platforms. We apply unique and proprietary versions of the Vortex Indicator within the Vortex System.
Risk Management
Vortex produces consistent and repeatable results year-on-year. This is accomplished by 3 pillars of risk management. 1) Dynamic exposure per trade to equalise risk in different market conditions: during times of high volatility, we trade smaller positions, while larger positions are traded during low volatility. 2) Religious use of stop losses: two types of progressive trailing stops are used with every position. 3) Letting profits run to their maximum extent: this is an essential part of our money management.
AUM & Cumulative Returns
Distribution
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Reward
Vortex Currency Program
Average RoR
0.47%
Max Gain
11.13%
Gain Frequency
52.38%
Average Gain
3.16%
Gain Deviation
2.86%
Risk
Standard Deviation
3.73%
Worst Loss
-6.43%
Loss Frequency
47.62%
Average Loss
-2.49%
Loss Deviation
1.88%
Reward/Risk
Sharpe (RFR=1%)
0.10
Skewness
0.55
Kurtosis
0.31
Reward
Vortex Currency Program
Compound RoR
4.92%
Average RoR
5.62%
Max Gain
29.54%
Gain Frequency
57.14%
Average Gain
14.15%
Gain Deviation
9.91%
Risk
Standard Deviation
12.93%
Worst Loss
-7.63%
Loss Frequency
42.86%
Average Loss
-5.76%
Loss Deviation
6.51%
Reward/Risk
Sharpe (RFR=1%)
0.36
Skewness
1.03
Kurtosis
1.29
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-27.50
42
—
7/2016
1/2020
-8.24
2
2
—
2/2014
-6.91
4
1
4/2014
8/2014
-5.72
5
2
10/2014
3/2015
-4.82
2
3
11/2015
1/2016
-1.23
1
1
8/2015
9/2015
-0.19
1
1
6/2015
7/2015
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
18.61
5
5/2020
9/2020
17.97
3
4/2015
6/2015
15.78
4
4/2016
7/2016
14.07
2
3/2014
4/2014
11.84
2
9/2014
10/2014
11.62
6
3/2017
8/2017
8.34
1
8/2015
8/2015
6.37
2
10/2015
11/2015
6.08
3
3/2018
5/2018
5.53
1
12/2019
12/2019
5.19
1
12/2020
12/2020
5.16
2
7/2019
8/2019
4.63
2
2/2020
3/2020
4.21
4
10/2017
1/2018
3.44
1
2/2016
2/2016
1.61
1
1/2015
1/2015
0.93
1
1/2017
1/2017
0.64
1
6/2014
6/2014
0.38
1
12/2018
12/2018
0.35
1
3/2019
3/2019
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-15.34
5
8/2016
12/2016
-13.25
6
6/2018
11/2018
-8.24
2
1/2014
2/2014
-6.58
2
1/2019
2/2019
-6.43
1
1/2020
1/2020
-6.35
1
5/2014
5/2014
-5.96
3
4/2019
6/2019
-5.56
3
9/2019
11/2019
-4.83
1
2/2017
2/2017
-4.82
2
12/2015
1/2016
-4.12
2
11/2014
12/2014
-3.69
1
9/2017
9/2017
-3.23
2
2/2015
3/2015
-2.84
2
10/2020
11/2020
-2.81
1
4/2020
4/2020
-1.23
1
9/2015
9/2015
-1.23
2
7/2014
8/2014
-0.35
1
2/2018
2/2018
-0.22
1
3/2016
3/2016
-0.19
1
7/2015
7/2015
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.