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AFX   M

AFX M seeks to provide clients with the unparalleled option of targeting aggressively consistent returns trading currencies on the foreign exchange through a combination of strategies, systems and predictive modeling developed by institutional traders at the InterBank level.

 

Annual Returns

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

31.84%

19.58%

32.72%

13.76%

16.07%

8.07%

22.03%

32.27%

23.65%

22.03%

Performance vs. S&P 500

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Return Statistics

Year To Date:

12.81%

Highest 12 Month Return:

39.53%

Lowest 12 Month Return:

1.68%

Average Annual Return:

22.06%

Average Monthly Return:

1.75%

Highest Monthly Return:

7.33%

Lowest Monthly Return:

-5.46%

Average Gain:

3.79%

 Average Loss:

-2.15%

Profitable Percentage:

65.60%

Compounded Monthly Return:

1.70%

Longest Losing Streak:

4 mo.

Maximum Drawdown:

-8.49%

 

Quantitative Statistics

Sharpe Ratio (Rolling 12):

2.04

Sharpe Ratio (Annualized):

1.48

Std. Dev. (Monthly):

3.14%

Std. Dev. (Rolling 12):

8.37%

Beta:

0.04

Alpha:

1.70

R:

0.06

R Squared:

0.00

Returns by Month

 

 


 

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

Jan

6.53%

5.03%

7.23%

-3.57%

-3.07%

1.63%

-2.27%

5.63%

4.73%

5.63%

-0.78%

Feb

4.44%

2.79%

5.07%

-1.00%

-2.03%

-3.21%

2.29%

4.29%

3.95%

3.82%

2.90%

Mar

-2.04%

-2.66%

4.11%

2.55%

-0.81%

-5.46%

4.43%

5.66%

-0.98%

5.41%

2.64%

Apr

4.24%

2.94%

-2.77%

3.61%

3.44%

2.41%

5.20%

2.24%

3.55%

-1.67%

4.64%

May

3.54%

-2.79%

4.43%

-2.13%

7.33%

6.24%

2.94%

-2.09%

2.28%

2.26%

2.88%

Jun

-3.39%

1.22%

3.15%

4.77%

6.35%

-3.71%

-2.09%

1.13%

-1.83%

2.90%

0.78%

Jul

-2.52%

0.88%

-1.85%

4.83%

2.68%

3.53%

-1.27%

-2.71%

-1.61%

-1.39%

-

Aug

5.40%

-0.81%

-1.97%

-1.91%

-3.78%

2.22%

0.54%

-1.82%

-1.01%

4.44%

-

Sep

6.42%

5.76%

6.20%

3.48%

3.08%

3.63%

6.18%

4.54%

4.17%

3.36%

-

Oct

4.28%

3.82%

3.75%

2.05%

2.45%

4.77%

3.43%

5.02%

3.41%

-1.98%

-

Nov

-2.18%

4.27%