Garraway Capital Management LLP : Garraway Financial Trends

Year-to-Date
2.27%
Mar Performance
5.63%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
14.00%
Sharpe (RFR=1%)
-0.02
CAROR
-0.25%
Assets
$ 46.2M
Worst DD
-22.29
S&P Correlation
-0.01

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
9/2012
Garraway Financial Trends 5.63 5.40 2.27 -2.72 -9.60 17.48 - -1.65
S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 - 102.41
+/- S&P 500 3.84 -7.67 -10.80 -10.04 -45.82 -32.37 - -104.06

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.

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
-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
Show More

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
10.86 2 6/1/2016 7/1/2016
8.51 2 3/1/2013 4/1/2013
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
0.73 1 5/1/2015 5/1/2015
Show More

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
-9.17 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
-0.48 1 12/1/2012 12/1/2012
-0.20 1 1/1/2017 1/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods79.0077.0074.0068.0062.0056.0044.0032.00
Percent Profitable45.5746.7548.6548.5358.0669.6468.1881.25
Average Period Return0.060.110.211.023.897.3112.0115.32
Average Gain3.435.597.3812.4814.7516.2222.0021.31
Average Loss-2.83-4.71-6.57-9.79-11.15-13.13-9.42-10.63
Best Period14.5924.3124.0635.9935.6037.9441.7737.15
Worst Period-9.50-14.32-16.81-20.66-19.49-20.42-20.28-17.20
Standard Deviation4.046.749.1113.8115.4016.3318.1915.20
Gain Standard Deviation3.135.117.1410.1210.0110.2112.508.95
Loss Standard Deviation2.053.564.265.615.775.654.546.12
Sharpe Ratio (1%)-0.01-0.02-0.030.000.150.320.490.74
Average Gain / Average Loss1.211.191.121.281.321.242.342.00
Profit / Loss Ratio1.041.041.061.201.832.835.018.69
Downside Deviation (10%)2.795.047.1711.4012.7913.4915.0115.27
Downside Deviation (5%)2.594.435.908.708.988.877.446.81
Downside Deviation (0%)2.544.295.598.068.107.845.865.20
Sortino Ratio (10%)-0.13-0.22-0.31-0.35-0.29-0.22-0.25-0.41
Sortino Ratio (5%)-0.01-0.03-0.050.000.270.601.211.65
Sortino Ratio (0%)0.020.030.040.130.480.932.052.95

Top Performer Badges

Index Award Type Rank Performance Period
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
Diversified Trader Index Month 9 9.20 6/2016
Systematic Trader Index Month 10 9.20 6/2016
Trend Following Strategy Index Month 8 9.20 6/2016
IASG CTA Index Month 9 9.20 6/2016
Trend Following Strategy Index Month 9 7.64 2/2016
IASG CTA Index Month 7 7.64 2/2016
Systematic Trader Index Month 7 10.76 1/2016
IASG CTA Index Month 5 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.