Galaxy Asset Management (HK) Ltd : Galaxy Quantitative Fund

archived programs
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

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

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... 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
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%
Composition Pie Chart

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%.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable54.5554.7664.1057.5848.1580.95
Average Period Return-0.030.160.671.021.883.25
Average Gain2.113.174.395.377.134.44
Average Loss-2.60-3.49-5.98-4.87-3.00-1.84
Best Period6.5110.2011.2012.0314.1210.43
Worst Period-7.82-10.61-11.05-9.89-6.84-2.99
Standard Deviation3.074.515.845.866.213.83
Gain Standard Deviation1.802.742.952.874.533.18
Loss Standard Deviation2.163.403.032.822.221.06
Sharpe Ratio (1%)-0.04-0.020.030.000.060.32
Average Gain / Average Loss0.810.910.741.102.372.41
Profit / Loss Ratio0.981.101.311.502.2010.26
Downside Deviation (10%)2.483.885.396.778.147.94
Downside Deviation (5%)2.303.364.264.223.611.81
Downside Deviation (0%)2.263.243.993.642.650.90
Sortino Ratio (10%)-0.18-0.28-0.33-0.59-0.70-0.88
Sortino Ratio (5%)-0.05-0.030.040.010.100.68
Sortino Ratio (0%)-0.010.050.170.280.713.62

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.