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/ Garraway Capital Management LLP / Garraway Financial Trends

Garraway Capital Management LLP : Garraway Financial Trends

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Year-to-Date
N / A
Apr Performance
-4.58%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
14.36%
Sharpe (RFR=1%)
0.06
CAROR
0.88%
Assets
$ 53.2M
Worst DD
-22.29
S&P Correlation
-0.17
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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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
9/2012
Garraway Financial Trends -4.58 - - 0.00 5.61 -1.87 - 6.77
S&P 500 12.68 - - -1.14 20.91 38.23 - 196.59
+/- S&P 500 -17.26 - - 1.14 -15.30 -40.10 - -189.82

Strategy Description

Summary

Garraway Financial Trends is a medium term systematic trend follower trading a liquid portfolio of currencies, stock indices, and government bonds. It currently has 36 markets in the investment universe. Research is theory driven, not data driven and the strategy's key parameters are... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 600 RT/YR/$M
Avg. Margin-to-Equity 14%
Targeted Worst DD
Worst Peak-to-Trough 18.77%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Currency FX
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Composition Pie Chart

Summary

Garraway Financial Trends is a medium term systematic trend follower trading a liquid portfolio of currencies, stock indices, and government bonds. It currently has 36 markets in the investment universe. Research is theory driven, not data driven and the strategy's key parameters are re-optimised on a regular basis. Our research shows this helps the strategy to stay in tune with changes in market behaviour.

Investment Strategy

The Fund seeks to provide capital appreciation over the medium term with a target annualised volatility of 15%. It aims to perform independently of traditional stock and bond investments, thereby providing valuable diversification benefits and potentially improving the risk/reward profile of a traditional portfolio. The investment manager employs a systematic, proprietary, trend following strategy which trades across global UCITS eligible exchange traded financial futures.

Risk Management

Risk management is built into the strategy. Individual markets are constrained by risk rather than pre-determined sector or margin allocation. Stops are determined at the time a new position is opened and there is a 10 x notional gross exposure limit on the portfolio.

   

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

Monthly Annual
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Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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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
-22.29 28 - 7/1/2016 11/1/2018
-17.82 18 8 9/1/2012 3/1/2014
-12.88 10 2 2/1/2015 12/1/2015
-9.10 3 2 2/1/2016 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
26.08 4 11/1/2014 2/1/2015
19.22 2 1/1/2016 2/1/2016
14.39 6 4/1/2014 9/1/2014
14.10 2 7/1/2019 8/1/2019
10.86 2 6/1/2016 7/1/2016
8.51 2 3/1/2013 4/1/2013
6.90 1 5/1/2019 5/1/2019
6.40 1 3/1/2020 3/1/2020
6.07 3 10/1/2013 12/1/2013
5.70 2 10/1/2017 11/1/2017
5.63 1 3/1/2019 3/1/2019
5.15 1 12/1/2018 12/1/2018
3.93 1 12/1/2016 12/1/2016
3.85 1 1/1/2013 1/1/2013
3.71 1 9/1/2015 9/1/2015
3.09 1 1/1/2018 1/1/2018
2.24 1 8/1/2018 8/1/2018
1.94 1 7/1/2017 7/1/2017
1.12 1 6/1/2018 6/1/2018
1.11 1 7/1/2015 7/1/2015
1.09 1 9/1/2016 9/1/2016
1.03 1 11/1/2012 11/1/2012
0.86 1 4/1/2017 4/1/2017
0.85 1 2/1/2017 2/1/2017
0.75 1 11/1/2019 11/1/2019
0.73 1 5/1/2015 5/1/2015
0.61 1 1/1/2020 1/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.26 5 5/1/2013 9/1/2013
-16.07 4 2/1/2018 5/1/2018
-9.87 2 9/1/2019 10/1/2019
-9.17 3 10/1/2015 12/1/2015
-9.10 3 3/1/2016 5/1/2016
-7.48 3 9/1/2018 11/1/2018
-6.85 2 9/1/2012 10/1/2012
-5.99 3 1/1/2014 3/1/2014
-5.62 1 2/1/2013 2/1/2013
-5.12 1 10/1/2014 10/1/2014
-4.58 1 4/1/2020 4/1/2020
-4.27 2 10/1/2016 11/1/2016
-3.77 2 8/1/2017 9/1/2017
-3.75 1 8/1/2015 8/1/2015
-3.60 2 3/1/2015 4/1/2015
-3.18 2 1/1/2019 2/1/2019
-3.04 1 3/1/2017 3/1/2017
-2.82 2 5/1/2017 6/1/2017
-2.20 1 12/1/2017 12/1/2017
-2.13 1 6/1/2015 6/1/2015
-1.98 1 7/1/2018 7/1/2018
-1.80 1 8/1/2016 8/1/2016
-1.66 1 6/1/2019 6/1/2019
-1.06 1 2/1/2020 2/1/2020
-0.86 1 12/1/2019 12/1/2019
-0.53 1 4/1/2019 4/1/2019
-0.48 1 12/1/2012 12/1/2012
-0.20 1 1/1/2017 1/1/2017
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Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 6 4.97 7/2019
Trend Following Strategy Index Month 6 4.97 7/2019
Diversified Trader Index Month 7 4.97 7/2019
Systematic Trader Index Month 8 4.97 7/2019
Trend Following Strategy Index Month 8 5.15 12/2018
IASG CTA Index Annual 10 18.66 2016
Trend Following Strategy Index Month 7 3.93 12/2016
Diversified Trader Index Month 10 3.93 12/2016
Trend Following Strategy Index Month 8 1.09 9/2016
Trend Following Strategy Index Month 8 9.20 6/2016
IASG CTA Index Month 9 9.20 6/2016
Diversified Trader Index Month 9 9.20 6/2016
Systematic Trader Index Month 10 9.20 6/2016
Trend Following Strategy Index Month 9 7.64 2/2016
IASG CTA Index Month 7 7.64 2/2016
IASG CTA Index Month 5 10.76 1/2016
Systematic Trader Index Month 7 10.76 1/2016
Trend Following Strategy Index Month 6 10.76 1/2016
Diversified Trader Index Month 6 10.76 1/2016
Trend Following Strategy Index Month 10 14.59 11/2014
Diversified Trader Index Month 10 14.59 11/2014

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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