Garraway Capital Management LLP : Garraway Financial Trends

Year-to-Date: 0.46%
Feb Performance: -1.06%

Min Investment: $ 100k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 14.13%
Sharpe (RFR=1%): 0.05
CAROR: 0.67%

Assets: $ 49.5M
Worst DD: -22.29
S&P Correlation: -0.08

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Growth of 1,000 - VAMI

Monthly Performance

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	Feb	Qtr	YTD	1yr	3yr	5yr	10yr	Since 9/2012
Garraway Financial Trends	-1.06	-1.31	-0.46	12.95	-10.11	-6.48	-	5.17
S&P 500	-8.41	-5.95	-8.56	6.09	23.71	38.95	-	102.97
+/- S&P 500	7.35	4.63	8.10	6.86	-33.83	-45.43	-	-97.81

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%

Summary

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.

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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.

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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
-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

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
6.07	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

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
-4.27	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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	90.00	88.00	85.00	79.00	73.00	67.00	55.00	43.00	31.00
Percent Profitable	45.56	48.86	52.94	54.43	58.90	61.19	56.36	72.09	90.32
Average Period Return	0.14	0.49	1.14	2.44	3.51	5.24	8.25	11.49	12.03
Average Gain	3.55	5.89	7.97	12.52	13.62	15.59	21.34	18.95	13.74
Average Loss	-2.77	-4.66	-6.54	-9.60	-10.99	-11.08	-8.66	-7.80	-3.87
Best Period	14.59	24.31	26.03	35.99	35.60	37.94	41.77	37.15	26.92
Worst Period	-9.50	-14.32	-16.81	-20.66	-19.49	-20.42	-20.28	-17.20	-6.48
Standard Deviation	4.08	6.82	9.44	13.48	14.62	15.78	17.99	15.06	8.36
Gain Standard Deviation	3.16	5.01	7.25	9.08	9.55	10.36	12.83	9.94	6.78
Loss Standard Deviation	2.05	3.52	4.27	5.64	5.47	5.77	3.99	5.76	2.75
Sharpe Ratio (1%)	0.01	0.04	0.07	0.11	0.14	0.20	0.29	0.49	0.83
Average Gain / Average Loss	1.28	1.26	1.22	1.30	1.24	1.41	2.47	2.43	3.55
Profit / Loss Ratio	1.09	1.21	1.37	1.56	1.78	2.22	3.18	6.27	33.14
Downside Deviation (10%)	2.76	4.89	6.85	10.62	12.50	14.01	16.87	17.34	17.63
Downside Deviation (5%)	2.56	4.30	5.63	8.08	8.72	8.88	8.14	6.92	3.04
Downside Deviation (0%)	2.51	4.16	5.34	7.49	7.84	7.75	6.27	5.05	1.39
Sortino Ratio (10%)	-0.10	-0.15	-0.19	-0.24	-0.33	-0.36	-0.45	-0.58	-0.88
Sortino Ratio (5%)	0.02	0.06	0.11	0.18	0.23	0.36	0.64	1.07	2.28
Sortino Ratio (0%)	0.05	0.12	0.21	0.33	0.45	0.68	1.32	2.28	8.65

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	8	0.00	9/2019
Systematic Trader Index	Month	8	4.97	7/2019
Diversified Trader Index	Month	7	4.97	7/2019
IASG CTA Index	Month	6	4.97	7/2019
Trend Following Strategy Index	Month	6	4.97	7/2019
Trend Following Strategy Index	Month	8	5.15	12/2018
Trend Following Strategy Index	Month	7	3.93	12/2016
IASG CTA Index	Year Rolling	10	18.66	2015 - 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
Diversified Trader Index	Month	9	9.20	6/2016
IASG CTA 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
Diversified Trader Index	Month	10	14.59	11/2014
Trend Following Strategy 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.

^#8

Top Performer

TREND FOLLOWING STRATEGY INDEX

SEPTEMBER
2019

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Program Name	CAROR
Garraway Financial Trends	0.67%

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Garraway Capital Management LLP : Garraway Financial Trends

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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