Equilibrium Asset Management ltd. : Galstar

archived programsClosed to new investments
Year-to-Date
N / A
Oct Performance
-4.61%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.34%
Sharpe (RFR=1%)
0.61
CAROR
10.13%
Assets
$ 3.6M
Worst DD
-17.54
S&P Correlation
-0.05

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
4/2007
Galstar -4.61 - - - - - 24.28 55.61
S&P 500 10.77 - - - - - 18.25 133.69
+/- S&P 500 -15.38 - - - - - 6.03 -78.08

Strategy Description

Summary

So what could possibly be unique about another CTA trend follower? Our asset management model seeks to emulate the way natural life has resolved the problems of uncertainty, risk management, growth, and adaptability. Uncertainty is solved at the level of individual autonomous... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1300 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 22.00%
1-3 Months 78.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

So what could possibly be unique about another CTA trend follower? Our asset management model seeks to emulate the way natural life has resolved the problems of uncertainty, risk management, growth, and adaptability. Uncertainty is solved at the level of individual autonomous agents – each life form or animal is equipped with a body, resources (energy) and behavior (strategy) that enables it to survive and procreate. Each species’ survival is proof positive that its strategies are successful. Risk management is solved through multiplication of autonomous agents and diversification of survival strategies. Although every species’ strives to grow – maximize its biomass – this is not done by infinite growth of individuals (no tree grows to the sky) but by multiplication of individuals that remain at a certain (probably optimal) size. Finally, as the conditions in the habitat change, life adapts by varying the genetic make-up in successive generations. In this sense, even with perishable individuals and extinguishable species life has achieved infinite sustainability; To emulate life and create a sustainable approach to investing, we built a knowledge framework within which we can formulate a nearly infinite number and variety of trading strategies. Each strategy represents an autonomous agent equipped with a limited risk budget. We envision managing assets by deploying hundreds or thousands of trading strategies, each in charge of a small quantity of risk. Our trading model is applicable to all liquid financial or commodities markets. Currently we trade in 36 markets using 91 trading strategies. Our performance has been on par with the world’s leading CTAs as tracked by Credit Suisse/Tremont index of blue chip managed futures hedge funds. A white paper detailing our investment philosophy, technology and track record is available. We currently manage a small “friends and family” portfolio and are looking for a seeding partner. We’d also consider bringing our model to an organization that could do better justice to its considerable potential. The model is technically superb and is entirely glitch-free. I mention this because model risk can have very material impact on long-term performance. I borrow Michael Maboussin’s words from his last research piece: “in evaluating a portfolio manager, it is much less important to see how she has done recently than it is to assess the process by which she did her job. A good process provides the best chance for agreeable long-term outcomes.” I would attest without hesitation, that the quality of our process / technology is superb and beautiful.

Investment Strategy

Systematic trend-following in liquid financial and commodity futures markets. I-System technology allows us to define trends either as short-term, medium-term, or long-term events, enabling a very wide variety of decision-making behaviors. The effect of this approach is that with larger AUM and correspondingly larger position limits, we are able to use multiple strategies in each market traded, considerably lowering the volatility of returns.

Risk Management

Risk management considerations ALWAYS precede performance considerations. Risk management is based on the following key considerations: 1. TRADING DECISIONS: Quality of the trading decisions is the key element of our risk management framework. All market exposure is taken exclusively in accordance with I-System strategies. This measure prevents problems related to distraction, emotional trading and departure from the original strategies due to loss-aversion. 2. STOP-LOSS TRIGGERS: Stop-loss triggers are integral to each trading strategy. A decision to exit a trade can occur for two reasons: to take profits after a favorable price move, or to cut losses in case of an unfavorable price change. The triggers are expressed in terms of price fluctuation dynamics, never as a fixed percentage of the strategy’s risk budget or portfolio assets. 3. DIVERSIFICATION: In order to reduce the volatility of any one strategy’s performance, fund assets are allocated to multiple strategies in a large number of different markets (ideally at least 30, up to 100). 4. BALANCE: To avoid over-concentration in a single market or market group, portfolio allocation must take into account the following rules: • Maximum of 35% of total portfolio assets per market group • Maximum of 10% of total portfolio assets per individual market 5. POSITION LIMITS: Each strategy is limited to trading a fixed number of contracts determined to strike the desired balance between risk and performance. These limits are set according to market volatility and the performance history of each strategy. 6. LIQUIDITY: To avoid losses through wide bid-ask spreads and illiquid markets, only high volume futures markets are traded so that the full extent of our portfolio’s exposure in each market represents only a small fraction of the market’s volume and open interest.

   

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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Compound RoR:
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Risk
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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
-17.54 6 - 4/1/2011 10/1/2011
-15.93 8 3 11/1/2009 7/1/2010
-11.25 6 2 2/1/2008 8/1/2008
-8.68 5 5 1/1/2009 6/1/2009
-2.61 2 1 6/1/2007 8/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
51.92 9 8/1/2010 4/1/2011
28.50 6 9/1/2007 2/1/2008
24.49 5 9/1/2008 1/1/2009
11.77 5 7/1/2009 11/1/2009
5.18 1 7/1/2011 7/1/2011
4.70 3 4/1/2007 6/1/2007
4.08 2 5/1/2008 6/1/2008
3.09 1 5/1/2009 5/1/2009
0.72 1 6/1/2010 6/1/2010
0.54 1 3/1/2010 3/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.00 2 5/1/2011 6/1/2011
-9.40 2 3/1/2008 4/1/2008
-8.84 3 8/1/2011 10/1/2011
-8.20 3 12/1/2009 2/1/2010
-8.20 1 6/1/2009 6/1/2009
-6.73 2 4/1/2010 5/1/2010
-5.88 2 7/1/2008 8/1/2008
-3.51 3 2/1/2009 4/1/2009
-3.04 1 7/1/2010 7/1/2010
-2.61 2 7/1/2007 8/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods55.0053.0050.0044.0038.0032.0020.00
Percent Profitable61.8258.4964.0079.5586.84100.00100.00
Average Period Return0.913.136.8313.6817.6220.9735.47
Average Gain3.598.8414.4418.7021.8220.9735.47
Average Loss-3.58-4.92-6.68-5.83-10.17
Best Period12.9324.6340.6538.3841.0641.7058.97
Worst Period-8.20-9.54-17.54-11.67-14.203.5316.00
Standard Deviation4.729.0113.6313.6714.7311.6611.01
Gain Standard Deviation3.587.3210.7810.3710.4911.6611.01
Loss Standard Deviation2.632.894.622.963.98
Sharpe Ratio (1%)0.180.320.460.931.091.632.95
Average Gain / Average Loss1.001.802.163.212.15
Profit / Loss Ratio1.702.533.8412.4814.17
Downside Deviation (10%)2.864.376.125.136.702.21
Downside Deviation (5%)2.703.805.083.344.43
Downside Deviation (0%)2.653.664.832.923.91
Sortino Ratio (10%)0.180.430.711.691.504.84
Sortino Ratio (5%)0.310.761.253.803.64
Sortino Ratio (0%)0.340.861.424.684.51

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.