Core Global Capital, LLC : Core Global Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since1/2007 Core Global Diversified Program -2.06 - - - - - - 28.86 S&P 500 9.39 - - - - - - 158.46 +/- S&P 500 -11.45 - - - - - - -129.60 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%. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel