Lyncestis LLP
FX Quant 11 - Currency Trading Program
Report Start Date: Jan-2013 | End Date: Nov-2025
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Set Risk-Free ROR for the Sharpe Ratio:    Set Minimum Acceptable ROR for the Sortino:    Omega Threshold:
Current Return: +0.27%
YTD Return: +0.82%
Annualized Return: +2.31%
AUM: $ 30,000
Trading Strategy

Quantitative Analysis / FX

Program Description

FX QUANT 11 is a trading program based on quantitative analysis, statistical arbitrage and position size management. Through these methods, it trades currencies of developed countries (EUR, GBP, CHF, CAD, AUD, NZD, SEK, NOK and SGD) 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. The strategy identifies relatively strong and weak currencies and gives specific trading signals for each currency, which are then implemented against the 8 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 weights are adjusted daily. Leverage is applied in line with client's preferred risk tolerance level.

Program Statistics
Peak-to-Valley Drawdown (2) -7.27%
    From Nov 2019 to Mar 2020
Worst Month (Mar 2020) -6.92%
Current Losing Streak 0%
Average Monthly Return 0.2%
Monthly Std. Deviation 0.97%
Gain Deviation (111 months) 0.47%
Loss Deviation (44 months) 1.14%
Gain to Loss Ratio 0.72
Omega Ratio (5% Threshold) 0.47
Annualized Performance
Compound ROR (1) 2.31%
Standard Deviation3.37%
Downside Deviation2.6%
Sharpe Ratio (3) 2% RF ROR 0.57
Sortino Ratio (4) 5% MAR 0.86
Calmar Ratio (5)0.76
Sterling Ratio (6) 0.2
Gain Deviation1.62%
Loss Deviation3.93%
Profit Loss Ratio1.82
Investment Information
Program Start Date Jan-2013
Percent Systematic 100%
Currency Denomination - US Dollar
Minimum Investment $100,000
Management Fee 0.00%
Incentive Fee 0.00
Margin 5%
Round Turns per Million 1,000
NFA No: #Non NFA-Member
Non-US Investors Only
Performance Since January 2013 | Track Record Compiled By: Lyncestis LLP
JanFebMarAprMayJunJulAugSepOctNovDecROR Max DD
20250.37%0.03%-3.09%2.16%0.63%0.04%0.59%0.02%-0.48%0.36%0.27%–0.82%-3.09%
20240.81%0.31%-0.39%0.26%0.11%0.33%-1.32%0.99%0.39%0.60%0.64%0.15%2.89%-1.32%
20231.21%0.73%0.43%-0.11%0.27%0.51%0.05%0.40%-0.72%0.35%0.15%-0.16%3.14%-0.72%
20220.09%0.78%-0.21%0.19%0.62%0.77%0.84%0.66%-1.31%1.89%0.39%0.18%4.96%-1.31%
20210.62%0.02%-0.12%0.79%0.49%0.54%0.91%0.53%0.29%-0.33%-0.39%0.85%4.27%-0.71%
2020-0.65%0.35%-6.92%0.71%-0.33%0.58%0.10%0.30%0.25%1.00%0.03%0.94%-3.85%-7.19%
20190.57%0.31%0.91%0.07%-0.40%0.10%-0.21%0.24%0.60%0.52%0.43%-0.09%3.09%-0.51%
20180.23%0.39%-0.17%-1.11%0.28%0.78%0.79%-0.90%0.86%0.56%-2.15%0.01%-0.46%-2.15%
20171.04%0.23%-0.71%-1.40%1.19%-0.07%-1.37%-1.23%0.89%0.23%0.71%1.38%0.83%-3.56%
20160.97%1.90%1.13%-0.02%0.43%0.59%0.35%-0.04%0.09%-1.48%0.22%0.27%4.45%-1.48%
20151.19%1.17%1.06%0.55%-0.85%-1.19%2.26%0.39%1.37%-1.76%0.79%-0.24%4.76%-2.02%
20141.65%0.77%0.14%0.35%0.15%-1.00%-0.07%-0.34%-0.51%1.74%0.44%-1.12%2.18%-1.90%
20130.05%1.25%-0.17%0.73%-0.58%0.62%0.67%0.96%-0.05%1.03%-0.60%-0.77%3.15%-1.36%
   Monthly Return and $1,000 VAMI

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Lyncestis LLP
FX Quant 11 - Currency Trading Program
Report Start Date: Jan-2013 | End Date: Nov-2025
Print to PDF
HYPOTHETICAL PERFORMANCE DISCLAIMER - 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.

Time Window Analysis
Length Best Average Worst
1 mo 2.3% 0.2% -6.9%
3 mo 4.1% 0.6% -7.2%
6 mo 5.1% 1.2% -6.9%
12 mo 8% 2.3% -6%
18 mo 10.1% 3.4% -5.9%
24 mo 11.7% 4.6% -5.2%
36 mo 16.1% 6.8% -4.5%
Drawdowns and Recoveries
Start End Drawdown Recovery
Dec-19Sep-21-7.27%18 mo
Mar-17Feb-18-3.56%6 mo
Mar-25Jul-25-3.09%4 mo
Nov-18Sep-19-2.14%10 mo
May-15Jul-15-2.02%1 mo
Jun-14Nov-14-1.90%2 mo
Drawdown Periods Since Jan 2013
Distribution of Monthly Returns
Statistical Comparisons Lyncestis LLP
FX Quant 11 - Currency Trading Program		 AutumnGold
AG CTA Index
Remove		 S&P 500
SP 500 TR
Remove
Annualized Compound ROR (1)2.31%2.84%14.99%
Cumulative Return34.34%43.57%507.53%
Cumulative VAMI(7)1,3431,4366,075
Best Monthly Return2.26%2.99%12.82%
Worst Monthly Return-6.92%-5.53%-12.35%
Annual Standard Deviation3.37%3.99%14.22%
Profit Loss Ratio1.821.762.16
Correlation—-0.150.23
Last Month0.27%1.96%0.25%
Last 12 Months0.96%4.54%15.01%
Last 36 Months7.18%13.22%75.29%
Growth of $1,000 VAMI Comparison

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Lyncestis LLP
FX Quant 11 - Currency Trading Program
Report Start Date: Jan-2013 | End Date: Nov-2025
Print to PDF
Other Fees

No

An Important Note on the Start Date and End Date of this Report

If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. Performance Results reported or amended subsequent to Monday December 8, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries

The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Qualified Eligible Persons

THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:

    1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
    2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.


HYPOTHETICAL PERFORMANCE DISCLAIMER - 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.
Statistical Footnotes
1. The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2. Peak to Valley Drawdown = worst % loss between Jan-2013 and Nov-2025
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak

Benchmark Descriptions

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
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