Core Global Capital, LLC : Core Global Diversified Program

archived programs
Year-to-Date
N / A
Apr Performance
-2.06%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
27.10%
Sharpe (RFR=1%)
0.49
CAROR
11.48%
Assets
$ 1.6M
Worst DD
-26.61
S&P Correlation
-0.21

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
Core Global Diversified Program -2.06 - - - - - - 28.86
S&P 500 9.39 - - - - - - 140.86
+/- S&P 500 -11.45 - - - - - - -112.00

Strategy Description

Summary

-The Core Global Diversified Program is a systematic, diversified, long-term trend follower. The program is very long term in nature and takes positions in an internationally diversified basket of commodity and financial futures markets. The program is designed to provide investors... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 850 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The Core Global Diversified Program is a systematic, diversified, long-term trend follower. The program is very long term in nature and takes positions in an internationally diversified basket of commodity and financial futures markets. The program is designed to provide investors with exposure to markets, maximize opportunities while managing risk, and minimize trading system risk. It is our philosophy that markets are volatile in nature, and efforts to optimize volatility out of a trading program, in effect, make the system more unstable. The Core Global Diversified system is designed upon the principles of robustness, employing a very elegant and streamlined parameter set to enter and exit markets. Average holding periods on winning trades exceed one year and require the system to ride out the inherent volatility of such moves. Managing risk is critical, and the program evaluates risk at all levels, from individual markets, to sectors, and across the entire portfolio. The program seeks to primarily manage risk on the front end, limiting the amount of exposure that will be assumed in any given sector. We feel this approach is more prudent than assuming more exposure and waiting for filters or thresholds to manage the risk. Given enough time, markets have the tendency to find loopholes in such efforts. The Core Global Diversified Program targets average annual returns between 17-20%, with annualized volatility of 25%.

   

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
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Sharpe Ratio: (RF=1%)
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Reward
Compound RoR:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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 (Mos.) Recovery (Mos.) Peak Valley
-26.61 3 - 6/1/2008 9/1/2008
-15.18 2 2 6/1/2007 8/1/2007
-5.96 3 2 1/1/0001 3/1/2007
-5.49 2 2 2/1/2008 4/1/2008
-2.64 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
34.11 3 12/1/2007 2/1/2008
25.91 2 9/1/2007 10/1/2007
14.28 3 4/1/2007 6/1/2007
12.23 2 5/1/2008 6/1/2008
10.95 2 10/1/2008 11/1/2008
3.82 2 1/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.61 3 7/1/2008 9/1/2008
-15.18 2 7/1/2007 8/1/2007
-5.96 3 1/1/2007 3/1/2007
-5.49 2 3/1/2008 4/1/2008
-3.56 2 3/1/2009 4/1/2009
-2.64 1 11/1/2007 11/1/2007
-0.56 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable50.0061.5465.2282.35100.00
Average Period Return1.204.249.4122.2030.78
Average Gain6.9012.0020.0528.9030.78
Average Loss-4.51-8.19-10.53-9.09
Best Period21.9934.1164.4056.0458.96
Worst Period-14.94-26.61-19.88-10.8512.27
Standard Deviation7.8212.9920.2621.2713.07
Gain Standard Deviation6.078.6216.3716.7913.07
Loss Standard Deviation4.498.127.621.72
Sharpe Ratio (1%)0.140.310.441.002.24
Average Gain / Average Loss1.531.471.903.18
Profit / Loss Ratio1.532.353.5714.83
Downside Deviation (10%)4.637.548.745.95
Downside Deviation (5%)4.467.097.744.28
Downside Deviation (0%)4.426.977.503.87
Sortino Ratio (10%)0.170.400.792.89
Sortino Ratio (5%)0.250.561.154.95
Sortino Ratio (0%)0.270.611.265.74

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.