Gables Capital Management, Inc. : GCM Global FX

archived programs
Year-to-Date
N / A
Oct Performance
-4.95%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.51%
Sharpe (RFR=1%)
0.07
CAROR
1.25%
Assets
$ 36.0M
Worst DD
-18.82
S&P Correlation
-0.07

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
1/2009
GCM Global FX -4.95 -7.17 - -12.46 9.78 1.46 - 7.49
S&P 500 2.32 4.53 - 14.89 61.01 94.72 - 144.31
+/- S&P 500 -7.27 -11.69 - -27.35 -51.22 -93.27 - -136.82

Strategy Description

Investment Strategy

GCM Global FX's objective is to achieve uncorrelated absolute returns through discretionary short term trading in the global foreign exchange markets.
-Time frame for each trade varies but on average 50% of trades are less than 24 hours, 50% are 1-3 days in duration.
-Markets... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
-8.00%
Worst Peak-to-Trough
3.47%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
80.00%
Intraday
20.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Counter-trend
20.00%
Fundamental
60.00%
Seasonal/cyclical
10.00%
Technical
10.00%
Strategy Pie Chart

Composition

Currency FX
90.00%
Currency Futures
10.00%
Composition Pie Chart

Investment Strategy

GCM Global FX's objective is to achieve uncorrelated absolute returns through discretionary short term trading in the global foreign exchange markets.
-Time frame for each trade varies but on average 50% of trades are less than 24 hours, 50% are 1-3 days in duration.
-Markets traded: FX currency markets, 95% G-10 countries 5% highly liquid emerging markets. Maximum EM exposure is 20% of NAV.

• Trading decisions are all discretionary, driven by monitoring market sentiment and positioning, the global macro environment, historical correlations, changes in global interest rate spreads, central bank policy and economic data.

• Positions are taken in those currencies which the investment manager anticipates the highest risk to reward profit opportunities.

• GCM Global FX targets annual returns of +16% net of all fee’s and expenses. Ideal environment is elevated volatility (VIX between 18 and 50).

• Managers past returns are uncorrelated with equity and bond markets.

   

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
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
-18.82 24 7 12/1/2010 12/1/2012
-13.75 9 - 1/1/2014 10/1/2014
-6.55 2 9 6/1/2009 8/1/2009
-3.64 1 2 9/1/2010 10/1/2010
-2.33 1 2 3/1/2009 4/1/2009
-1.39 1 3 8/1/2013 9/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
18.59 4 5/1/2013 8/1/2013
16.17 3 1/1/2013 3/1/2013
13.71 6 4/1/2010 9/1/2010
6.44 2 11/1/2010 12/1/2010
5.96 3 1/1/2009 3/1/2009
5.86 2 9/1/2009 10/1/2009
5.39 2 7/1/2014 8/1/2014
3.89 6 3/1/2012 8/1/2012
3.48 2 5/1/2009 6/1/2009
3.00 1 5/1/2014 5/1/2014
3.00 1 2/1/2010 2/1/2010
1.94 2 10/1/2012 11/1/2012
1.80 4 10/1/2013 1/1/2014
1.76 1 12/1/2009 12/1/2009
0.96 2 12/1/2011 1/1/2012
0.71 1 5/1/2011 5/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.41 3 2/1/2014 4/1/2014
-10.06 6 6/1/2011 11/1/2011
-10.05 2 9/1/2014 10/1/2014
-9.72 4 1/1/2011 4/1/2011
-6.55 2 7/1/2009 8/1/2009
-6.29 1 4/1/2013 4/1/2013
-3.92 1 9/1/2012 9/1/2012
-3.89 1 3/1/2010 3/1/2010
-3.64 1 10/1/2010 10/1/2010
-2.84 1 11/1/2009 11/1/2009
-2.33 1 4/1/2009 4/1/2009
-2.04 1 1/1/2010 1/1/2010
-1.93 1 12/1/2012 12/1/2012
-1.48 1 2/1/2012 2/1/2012
-1.40 1 6/1/2014 6/1/2014
-1.39 1 9/1/2013 9/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable60.0052.9449.2357.6366.0455.3257.1486.96
Average Period Return0.150.641.293.345.454.732.529.08
Average Gain2.144.347.6811.5113.6915.347.8910.91
Average Loss-2.84-3.52-4.91-7.78-10.58-8.40-4.63-3.12
Best Period9.4316.4421.6929.4028.8327.8218.3524.04
Worst Period-6.29-10.41-10.74-17.76-16.36-18.82-8.69-3.84
Standard Deviation3.035.098.0312.2013.6513.917.128.75
Gain Standard Deviation2.043.746.188.828.318.513.837.85
Loss Standard Deviation1.352.523.395.404.485.242.700.91
Sharpe Ratio (1%)0.020.080.100.190.290.20-0.070.57
Average Gain / Average Loss0.751.231.561.481.291.831.703.50
Profit / Loss Ratio1.131.391.522.012.522.262.2723.33
Downside Deviation (10%)2.223.685.799.0811.0913.1814.9815.12
Downside Deviation (5%)2.033.104.536.677.497.755.322.84
Downside Deviation (0%)1.982.964.236.136.676.573.481.16
Sortino Ratio (10%)-0.12-0.16-0.20-0.18-0.19-0.42-0.88-0.82
Sortino Ratio (5%)0.030.130.170.350.530.35-0.101.77
Sortino Ratio (0%)0.070.220.300.540.820.720.737.85

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 5.33 7/2013
Discretionary Trader Index Month 2 9.43 5/2013
IASG CTA Index Month 4 9.43 5/2013
Discretionary Trader Index Month 1 6.50 3/2013
IASG CTA Index Month 8 6.50 3/2013
Discretionary Trader Index Month 9 4.72 2/2013
Discretionary Trader Index Month 9 4.16 1/2013
IASG CTA Index Month 9 3.68 11/2010
Discretionary Trader Index Month 3 3.68 11/2010
Discretionary Trader Index Month 8 4.59 10/2009
Discretionary Trader Index Month 10 3.61 3/2009

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