Managed Futures Database, Resource & Tools

Program Details

PDFPermalink

Insch Capital Management SA 

INSCH - Kintillo (ICP) x3 Leveraged Net

Manager: Christopher Cruden

Address: Via Pelli 13, Lugano, 6900, Switzerland

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:Forex
Inception Date:Jan 7, 2000
AUM:$52,133,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:426.46%60.81%
Annual ROR:10.26%2.83%
YTD:0.00%5.53%
1 Year:-4.16%14.40%
Alpha:0.17
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:4.97%4830.77%
Average Monthly Loss:-3.48%-2.69%
Winning Months:108173
Losing Months:9631
Current DD:25.530.00
Max DD:33.9652.56
Sharpe Ratio (RF 1%):0.44
Annualized Std Dev:20.83

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong Term
---------------------------
Trend Following:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20161.62-0.30-3.171.62-2.25-2.69-0.801.01-2.741.383.36-1.34-4.46
2015-3.08-1.375.930.66-1.84-2.23-0.552.21-4.08-0.924.681.450.36
2014-7.15-1.72-1.60-1.06-1.630.35-0.37-0.573.58-1.24-0.810.54-11.37
20135.45-2.280.81-0.46-0.090.20-3.30-0.582.58-0.931.46-2.340.21
20122.422.25-4.35-0.2613.14-2.81-1.451.08-0.51-2.100.456.0913.59
2011-1.861.220.775.40-0.41-3.641.790.564.060.454.28-2.5310.11
20103.48-4.460.93-7.9712.81-1.72-6.24-2.762.820.640.061.15-2.78
2009-3.71-7.05-9.06-1.577.60-7.034.33-11.18-0.221.16-2.56-1.54-28.08
20088.37-2.472.45-6.48-5.85-0.21-6.1410.30-0.2321.32-1.165.0523.79
2007-3.92-6.791.462.31-3.210.763.93-0.774.461.541.130.871.17
20060.092.91-2.155.711.38-4.63-3.291.95-4.63-1.503.092.951.26
2005-3.591.660.102.95-3.592.621.878.262.08-9.804.2715.9122.64
20042.0810.365.87-9.745.98-11.004.48-6.832.92-1.523.3713.6917.74
200310.278.051.57-5.4511.38-3.5414.140.195.08-5.60-3.8013.2251.89
2002-9.6515.9110.32-1.797.064.197.24-6.593.57-0.893.220.7635.35
2001-8.72-3.7114.40-14.6315.19-10.94-5.57-2.782.921.7813.0018.9713.85
20007.63-1.2213.99-3.744.270.10-2.152.2311.86-0.11-3.5025.6064.95

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The currencies traded in the Kintillo system are selected according to their ability to display "memory" or serial-correlation. Currently, the portfolio consists of 7 currencies: United States Dollar, British Pound, Euro, Japanese Yen, Canadian Dollar, Swiss Franc and Australian Dollar. Sixteen of the twenty one potential crosses in the matrix are traded.

Buy and sell signals are generated based upon price breakout, volatility and other proprietary measures. Price is the most heavily weighted factor. Stop and reverse signals are taken as long as volatility constraints have not been exceeded and positions are maintained until the price level triggers an exit signal. At instigation, each position is equivalent as to the percentage of the portfolio and the volatility of the price trend.

Risk management is enhanced by the diversification offered by trading seven geographically and economically separate currencies and by incorporating volatility into the trading decision to determine the acceptability of a trade as well as position size. Every position has a trailing stop based on time and volatility. Trade execution is supervised by an experienced trader. Operational risk is managed through the use of an offsite facility.

Note: Performance figures are shown net of fees at 2% / 20%, without the credit of interest and at 3 x leverage.

Company Info

Insch Capital Management SA is based in Lugano, Switzerland and is headed by Christopher L. Cruden. The firm was established in 2004 and is regulated in Switzerland as a discretionary asset manager and Fiduciary company. Details regarding the firm and its investment strategy can be found at: www.inschinvest.com

Manager Info

Christopher Cruden
Christopher L. Cruden attended University in the USA and also attended The Royal Military Academy, Sandhurst. He was subsequently commissioned into The Gordon Highlanders. His business career began in 1980 with a merchant bank in South Africa. In 1983 he joined Dean Witter, Reynolds Inc. as a securities salesman based in the US. It was during this period that he became involved with alternative investment products. In 1988 Mr. Cruden returned to the UK and become a Director of Adam, Harding and Lueck Asset Management Ltd (AHL). After the sale of this firm, he became Head of Managed Futures and Options for a major U.S. investment bank in London and with the ASH Group of Prudential Securities in New York.
Mr. Cruden joined Tamiso & Company, in New York, in 1993 and was appointed Managing Director in September 1994 with responsibility for product development and client liaison. During this period he built the firm's interbank currency management activities and co-developed the Currency Overlay Program. Between March 2002 and June 2003, he was Head of Managed Investment Products at IFX Ltd in London where he was responsible for the development, structuring and management of all Alternative Investment products at the firm.
In April 2004, he established Insch Capital Management AG in Switzerland. Serving institutional clients, Insch is an alternative investment consultancy, asset manager and advisory boutique. In all, Mr Cruden has been actively and continually involved in the alternative investment industry for nearly two decades.