Gap Partners LLC : Gap

archived programs
Year-to-Date
N / A
Jun Performance
0.00%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
5.94%
Sharpe (RFR=0.50%)
0.46
CAROR
3.10%
Assets
$ 2.8M
Worst DD
-7.32
S&P Correlation
-0.39

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2009
Gap 0.00 -0.01 - -1.21 -0.11 - - 15.31
S&P 500 1.91 4.69 - 22.04 48.40 - - 78.88
+/- S&P 500 -1.91 -4.70 - -23.24 -48.51 - - -63.57

Strategy Description

Summary

Operating during US markets hours and holding no overnight positions, Gap’s computer-based models closely monitor market activity and automatically execute trades at statistically optimal points. The system’s models are optimized to do well in both trending and trading markets and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
20.00%
Average Commission
$3.00
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
5200 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
10.00%
Worst Peak-to-Trough
-3.60%
Sector Focus
Not Specified

Holding Periods

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

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Counter-trend
25.00%
Trend-following
75.00%
Strategy Pie Chart

Composition

Interest Rates
60.00%
Currency Futures
40.00%
Composition Pie Chart

Summary

Operating during US markets hours and holding no overnight positions, Gap’s computer-based models closely monitor market activity and automatically execute trades at statistically optimal points. The system’s models are optimized to do well in both trending and trading markets and are designed specifically not to be trend dependent; replicating traders’ behavioral patterns in the market through both long and short positions.

Investment Strategy

Gap’s strategies are highly selective and disciplined, acting on relatively few trades, with the objectives of riding winning trades while quickly exiting losing trades. The program incorporates dynamic money management techniques which include systematic profit-taking and stop losses when pre-set levels are achieved and also automated position sizing.

Risk Management

Risk Management features include: - Each trade has a pre-defined level of risk; position management and trading rules used by the system prescribe that a pre-set percent of equity (e.g. 1%) is risked on any given trade. - Trailing stops are used with the intent to exit losing trades quickly and to capture profitable trades at optimal points. - Amount of capital deployed based on liquidity and volatility. - Gap’s systems currently close all positions by end of session in an effort to reduce risk.

   

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=0.50%)
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=0.50%)
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
-7.32 8 5 8/1/2010 4/1/2011
-6.61 25 - 3/1/2012 4/1/2014
-3.72 2 2 2/1/2010 4/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
12.44 4 11/1/2009 2/1/2010
8.98 4 5/1/2010 8/1/2010
8.57 8 8/1/2011 3/1/2012
5.57 2 5/1/2011 6/1/2011
0.71 1 8/1/2013 8/1/2013
0.07 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.32 8 9/1/2010 4/1/2011
-3.72 2 3/1/2010 4/1/2010
-3.05 4 4/1/2012 7/1/2012
-3.04 11 9/1/2012 7/1/2013
-1.48 1 7/1/2011 7/1/2011
-1.42 10 9/1/2013 6/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable35.7135.1941.1846.6761.5466.6780.95
Average Period Return0.270.771.141.582.904.226.03
Average Gain1.774.305.426.076.898.217.57
Average Loss-0.60-1.15-1.87-2.34-3.49-3.75-0.52
Best Period6.0711.5812.9812.7314.3618.5419.35
Worst Period-4.22-6.58-7.00-4.32-5.63-6.60-0.98
Standard Deviation1.723.364.305.105.877.235.73
Gain Standard Deviation1.853.083.044.083.585.275.26
Loss Standard Deviation0.891.351.680.881.161.950.46
Sharpe Ratio (1%)0.110.160.150.110.240.310.52
Average Gain / Average Loss2.963.752.912.591.972.1914.59
Profit / Loss Ratio1.742.042.042.273.164.3861.99
Downside Deviation (10%)1.042.203.585.587.309.0111.18
Downside Deviation (5%)0.871.552.212.523.183.501.69
Downside Deviation (0%)0.831.421.911.822.272.420.29
Sortino Ratio (10%)-0.13-0.21-0.37-0.61-0.64-0.67-0.87
Sortino Ratio (5%)0.210.340.290.230.440.631.78
Sortino Ratio (0%)0.320.540.590.871.271.7521.08

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 0.17 6/2011
Trend Following Strategy Index Month 3 5.39 5/2011
Trend Following Strategy Index Month 9 6.07 6/2010
Trend Following Strategy Index Month 5 4.54 1/2010
Trend Following Strategy Index Month 7 2.66 12/2009

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