Galico Capital Management : DCS Program

archived programs
Year-to-Date
N / A
Oct Performance
-26.90%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
44.97%
Sharpe (RFR=1%)
-1.22
CAROR
-
Assets
$ 148k
Worst DD
-53.97
S&P Correlation
-0.08

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
9/2010
DCS Program -26.90 - - - - - -51.39 -53.97
S&P 500 10.77 - - - - - 18.25 214.07
+/- S&P 500 -37.67 - - - - - -69.64 -268.04

Strategy Description

Summary

The DCS utilizes several different proprietary futures and options trading strategies in an attempt to achieve consistent profitable returns while diversifying a traditional asset portfolio. Major strategies include: i) Long‐Term Trend Following; ii) Calendar‐Based Trading; iii)... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
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 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 7000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 5.00%
1-30 Days 85.00%
Intraday 10.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Composition

Energy
20.00%
Precious Metals
15.00%
Grains
15.00%
Currency Futures
10.00%
Industrial Metals
10.00%
Livestock
10.00%
Softs
10.00%
Interest Rates
5.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

The DCS utilizes several different proprietary futures and options trading strategies in an attempt to achieve consistent profitable returns while diversifying a traditional asset portfolio. Major strategies include: i) Long‐Term Trend Following; ii) Calendar‐Based Trading; iii) Intra-Day Scalping; iv) Spread Trading; v) Delta Neutral Strategies, vi) Swing Trading. The DCS is a purely discretionary strategy, though it incorporates processes to help manage risk by using various techniques combining volatility measures, flow of funds, price target stops and timing stops. The DCS implements various short and long futures/options to create an overall position that is buffered from increases in volatility. Furthermore, positions are strategically placed across different calendar months providing an overall net long volatility position. These core elements combined with strict adherence to risk parameters result in a balanced strategy. The DCS uses both options and futures and a mix of short and long term trades hoping to achieve a strategy that can be profitable in flat or volatile market conditions. Stop-limits derived as a function of account value and real-time monitoring of positions are the primary risk controls. The program primarily trades a combination of futures and options on United States regulated exchanges, but the DCS may in some instances trade either futures or options in isolation depending on market conditions. Galico analyzes most commodity futures markets in the United States but focuses the trading of the DCS on currencies, financials, soft commodities, metals, grains, meats, agricultural products and stock indices. The DCS evaluates and may trade in approximately 60 different domestic commodity interests. Galico currently does not trade on international exchanges and does not trade FOREX. Although the program is primarily technical and rule based, Galico does give consideration to available fundamental data in order to give the best risk/reward possible and therefore, will exercise a certain level of fundamental-inspired discretion over the program. Decisions on whether or not to act upon a trade signal depends upon a combination of technical timing, fundamental considerations and potential risk points associated with trades.

Risk Management

General Investment Risk: All investments in futures and other financial instruments involves substantial risk of volatility (potentially resulting in rapid declines in market prices and significant losses) arising from any number of factors that are beyond the control of Galico, such as: changing market sentiment; changes in industrial conditions, competition and technology; changes in inflation, exchange or interest rates; changing domestic or international economic or political conditions or events; changes in tax laws and governmental regulation; and changes in trade, fiscal, monetary or exchange control programs or policies of governments or their agencies (including their central banks). Changes such as these, as well as innumerable other factors, are often unpredictable and unforeseeable, rendering it difficult or impossible to predict or foresee future market movements. Unexpected volatility or illiquidity in the markets in which DCS directly or indirectly holds positions could impair its ability to achieve its objective and cause it to incur losses. Although Galico believes that DCS should mitigate the risk of loss through a careful selection and monitoring of the strategy’s positions, an investment in DCS is nevertheless subject to loss, including possible loss of the entire amount invested. No guarantee or representation is made that DCS’s investments will be successful, and investment results may vary substantially over time.

   

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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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
-53.97 -1 - 1/1/0001 10/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
18.42 2 4/1/2011 5/1/2011
10.91 2 7/1/2011 8/1/2011
6.80 2 11/1/2010 12/1/2010
0.06 1 2/1/2011 2/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-48.93 2 9/1/2011 10/1/2011
-18.74 1 6/1/2011 6/1/2011
-9.93 1 1/1/2011 1/1/2011
-8.11 2 9/1/2010 10/1/2010
-4.53 1 3/1/2011 3/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable50.0016.6722.22
Average Period Return-4.50-8.31-12.82
Average Gain5.078.133.74
Average Loss-14.07-11.59-17.55
Best Period15.7113.055.59
Worst Period-30.13-45.33-46.73
Standard Deviation12.9814.5215.81
Gain Standard Deviation5.136.962.61
Loss Standard Deviation11.1913.4214.65
Sharpe Ratio (1%)-0.35-0.59-0.84
Average Gain / Average Loss0.360.700.21
Profit / Loss Ratio0.360.140.06
Downside Deviation (10%)12.5916.5021.33
Downside Deviation (5%)12.4015.8719.91
Downside Deviation (0%)12.3615.7219.56
Sortino Ratio (10%)-0.39-0.58-0.72
Sortino Ratio (5%)-0.37-0.54-0.67
Sortino Ratio (0%)-0.36-0.53-0.66

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.