Future Gate Capital Management : Future Gate Investment Fund, L.P.

archived programs
Year-to-Date
N / A
Apr Performance
4.07%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.15%
Sharpe (RFR=1%)
0.37
CAROR
7.18%
Assets
$ 5.9M
Worst DD
-34.01
S&P Correlation
0.32

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
2/2008
Future Gate Investment Fund, L.P. 4.07 - - - - - 4.88 34.30
S&P 500 -0.75 - - - - - 29.78 160.34
+/- S&P 500 4.82 - - - - - -24.90 -126.04

Strategy Description

Summary

Future Gate Capital Management's mission is to create and compound wealth, improve the risk-adjusted returns of existing portfolios and preserve capital for its individual and institutional investors in a variety of market environments. We achieve this through the implementation of... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 25.00%
4-12 Months 25.00%
1-3 Months 25.00%
1-30 Days 25.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Seasonal/cyclical
25.00%
Trend-following
25.00%
Other
25.00%
Strategy Pie Chart

Composition

Currency Futures
10.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Other
10.00%
Composition Pie Chart

Summary

Future Gate Capital Management's mission is to create and compound wealth, improve the risk-adjusted returns of existing portfolios and preserve capital for its individual and institutional investors in a variety of market environments. We achieve this through the implementation of Energetic State Analysis™ (ESA), a unique proprietary systematic investment program with over 12 years of research and development, that applies advanced analytical technology. ESA uses an integrated multi-strategy approach to identify, monitor, and capitalize on global investment opportunities arising from non-random price movements in futures, commodity, and forward markets. Continuous and highly integrated risk management approach monitors and controls risk at multiple levels. Our commitment to continuous research and innovation coupled with the integrity of our team, endeavors to develop systems that are ahead of the curve, and adapt to the rapid changes in global market conditions.

Investment Strategy

Energetic State Analysis (ESA) is a method of market analysis, pattern recognition, and strategy development created, developed and enhanced by Future Gate Capital Management throughout more than 12 years. The program manages multi-strategy portfolios across approximately 100 global markets (Interest Rates, Currencies, Energy, Equities, Metals, and Agriculture). Energetic State Analysis™ (ESA) is engineered to exploit inefficiencies by analyzing and deciphering complex price motions and continuously tracks changes in market behavior, and then systematically re-allocates resources to multiple trading strategies such as, trend-following, mean reversion, counter trend, and momentum, which continue to present superior reward/risk attributes over time. Trading opportunities are identified by targeting only those markets that are exhibiting a favorable state. Market entry and exit points depend dynamically on changes in market conditions, rather than on pre-set price stop levels. Energetic State Analysis (ESA) utilizes continuous and highly integrated approaches to monitor and control risk at multiple levels (market, strategy, time-frame, and portfolio).

Risk Management

Energetic State Analysis (ESA) utilizes continuous and highly integrated approaches to monitor and control risk at multiple levels (market, strategy, time-frame, and portfolio).Five levels of risk control are fully integrated into the ESA model:1) Energetic State Monitoring (as market conditions change, the system systematically rebalances exposures); 2) Volatility Controls (as volatility in each market increases, position size is systematically reduced); 3) Correlation Cluster Monitoring (as correlation among markets increases, position sizes are rebalanced in order to return to the original risk/reward target); 4) Portfolio Volatility Targeting (as overall portfolio volatility increases, aggregate position sizes in each market are reduced proportionally); 5) Model Diversification (combining short, medium and long term trading models that are uncorrelated to each other further reduces drawdowns and volatility while improving overall performance).

   

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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Risk
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
-34.01 11 - 4/1/2011 3/1/2012
-16.29 1 4 4/1/2010 5/1/2010
-11.02 3 2 4/1/2009 7/1/2009
-6.63 1 1 9/1/2009 10/1/2009
-3.58 1 1 10/1/2010 11/1/2010
-2.51 1 1 2/1/2011 3/1/2011
-2.12 1 1 12/1/2009 1/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
36.39 5 6/1/2010 10/1/2010
23.82 3 12/1/2010 2/1/2011
21.26 2 8/1/2009 9/1/2009
19.00 2 11/1/2009 12/1/2009
16.82 3 2/1/2010 4/1/2010
11.55 2 7/1/2011 8/1/2011
7.34 1 4/1/2011 4/1/2011
4.07 1 4/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.68 7 9/1/2011 3/1/2012
-16.29 1 5/1/2010 5/1/2010
-14.66 2 5/1/2011 6/1/2011
-11.02 18 2/1/2008 7/1/2009
-6.63 1 10/1/2009 10/1/2009
-3.58 1 11/1/2010 11/1/2010
-2.51 1 3/1/2011 3/1/2011
-2.12 1 1/1/2010 1/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods51.0049.0046.0040.0034.0028.0016.00
Percent Profitable37.2536.7343.4862.5088.2492.86100.00
Average Period Return0.802.386.0516.8132.2545.8663.29
Average Gain6.9914.3222.4832.5637.8449.5263.29
Average Loss-5.41-7.85-10.70-12.89-9.74-1.68
Best Period17.8128.0250.4764.1898.86104.7695.55
Worst Period-16.29-20.37-26.25-31.32-14.20-2.0429.04
Standard Deviation6.6811.2318.6325.3629.9431.5422.18
Gain Standard Deviation4.737.6514.8416.6427.2429.6522.18
Loss Standard Deviation5.225.628.8511.824.760.51
Sharpe Ratio (1%)0.110.190.300.621.031.392.72
Average Gain / Average Loss1.291.822.102.533.8929.50
Profit / Loss Ratio1.441.822.635.7429.15383.55
Downside Deviation (10%)4.466.459.3411.226.223.19
Downside Deviation (5%)4.325.928.329.394.110.99
Downside Deviation (0%)4.285.808.098.983.630.46
Sortino Ratio (10%)0.090.180.381.053.9611.17
Sortino Ratio (5%)0.170.360.671.687.4844.28
Sortino Ratio (0%)0.190.410.751.878.8999.99

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.