Galaxy Asset Management (HK) Ltd : Galaxy Quantitative Fund

Year-to-Date: N / A
Dec Performance: -5.57%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 10.64%
Sharpe (RFR=1%): -0.13
CAROR: -0.90%

Assets: $ 0k
Worst DD: -13.48
S&P Correlation: -0.12

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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	Dec	Qtr	YTD	1yr	3yr	5yr	10yr	Since 5/2011
Galaxy Quantitative Fund	-5.57	-10.61	-	-8.58	-7.71	-	-	-3.26
S&P 500	-0.42	4.39	-	11.39	63.72	-	-	53.02
+/- S&P 500	-5.15	-15.00	-	-19.97	-71.42	-	-	-56.28

Strategy Description

Summary

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: 7-14 Days
Redemption Frequency: 7-14 Days
Investor Requirements: Any Investor
Lock-up Period: 0

Trading

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

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 0%
Intraday: 100.00%

Decision-Making

Discretionary: 0%
Systematic: 100.00%

Strategy

Composition

Stock Indices: 90.00%
Energy: 10.00%

Summary

Galaxy Quantitative Fund is predominantly a quantitative, systematic, medium to high frequency trading program that invests into liquid diversified investment instruments. It utilizes directional and arbitrage strategies and are executed within a systematic and strict risk management framework. The portfolio's exposure is systematically adjusted to reflect changes in the risk(volatility), return and liquidity of individual markets. Together with a system of stop-losses, the risk of the portfolio is well contained in all market conditions.

Investment Strategy

Core Strategies: -short-term trend following: intraday directional systems that profit from the intraday trends in different markets; -short-term reversal: counter-trend systems that are triggered by a change in the price action and market sentiment, as well as important support and resistance levels that are determined by the proprietary quantitative models, to determine entry and exit levels for each position; -pattern detection systems: strategies that will try to identify short-term market events, market inefficiencies and event-driven opportunities; -medium-term delta neutral positions taking: non-directional long-short positions as a result of short-term market inefficiencies and arbitrage opportunities.

Risk Management

The managers are targeting a >20% annual return, and volatility of less than 15%.

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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.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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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
-13.48	9	-	3/1/2012	12/1/2012
-4.32	2	1	6/1/2011	8/1/2011
-1.72	1	1	11/1/2011	12/1/2011
-0.12	1	1	1/1/2012	2/1/2012

Consecutive Gains

Run-up	Length (Mos.)	Start	End
10.20	3	9/1/2011	11/1/2011
9.94	5	1/1/2013	5/1/2013
9.01	4	11/1/2013	2/1/2014
5.37	1	9/1/2014	9/1/2014
2.99	1	7/1/2012	7/1/2012
2.80	1	1/1/2012	1/1/2012
2.37	1	9/1/2012	9/1/2012
2.32	1	7/1/2013	7/1/2013
1.44	1	3/1/2012	3/1/2012
1.15	2	5/1/2011	6/1/2011
1.13	1	11/1/2012	11/1/2012
1.09	1	5/1/2012	5/1/2012
1.07	1	4/1/2014	4/1/2014
0.62	1	6/1/2014	6/1/2014

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-10.61	3	10/1/2014	12/1/2014
-7.82	1	6/1/2012	6/1/2012
-5.83	1	8/1/2012	8/1/2012
-5.79	3	8/1/2013	10/1/2013
-4.72	2	7/1/2014	8/1/2014
-4.43	1	12/1/2012	12/1/2012
-4.32	2	7/1/2011	8/1/2011
-2.97	1	4/1/2012	4/1/2012
-1.85	1	3/1/2014	3/1/2014
-1.72	1	12/1/2011	12/1/2011
-1.02	1	5/1/2014	5/1/2014
-0.28	1	10/1/2012	10/1/2012
-0.12	1	2/1/2012	2/1/2012
-0.01	1	6/1/2013	6/1/2013

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	44.00	42.00	39.00	33.00	27.00	21.00
Percent Profitable	54.55	54.76	64.10	57.58	48.15	80.95
Average Period Return	-0.03	0.16	0.67	1.02	1.88	3.25
Average Gain	2.11	3.17	4.39	5.37	7.13	4.44
Average Loss	-2.60	-3.49	-5.98	-4.87	-3.00	-1.84
Best Period	6.51	10.20	11.20	12.03	14.12	10.43
Worst Period	-7.82	-10.61	-11.05	-9.89	-6.84	-2.99
Standard Deviation	3.07	4.51	5.84	5.86	6.21	3.83
Gain Standard Deviation	1.80	2.74	2.95	2.87	4.53	3.18
Loss Standard Deviation	2.16	3.40	3.03	2.82	2.22	1.06
Sharpe Ratio (1%)	-0.04	-0.02	0.03	0.00	0.06	0.32
Average Gain / Average Loss	0.81	0.91	0.74	1.10	2.37	2.41
Profit / Loss Ratio	0.98	1.10	1.31	1.50	2.20	10.26
Downside Deviation (10%)	2.48	3.88	5.39	6.77	8.14	7.94
Downside Deviation (5%)	2.30	3.36	4.26	4.22	3.61	1.81
Downside Deviation (0%)	2.26	3.24	3.99	3.64	2.65	0.90
Sortino Ratio (10%)	-0.18	-0.28	-0.33	-0.59	-0.70	-0.88
Sortino Ratio (5%)	-0.05	-0.03	0.04	0.01	0.10	0.68
Sortino Ratio (0%)	-0.01	0.05	0.17	0.28	0.71	3.62

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.

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Galaxy Asset Management (HK) Ltd : Galaxy Quantitative Fund

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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