GaveKal Investments S.A. : Gavekal Dynamic Futures Euro Currency Fund

archived programs
Year-to-Date
N / A
Nov Performance
-0.34%
Min Investment
$ 20k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
13.03%
Sharpe (RFR=1%)
-0.73
CAROR
-8.95%
Assets
$ 33.4M
Worst DD
-29.34
S&P Correlation
0.72

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
Gavekal Dynamic Futures Euro Currency Fund -0.34 -2.07 - -28.16 - - - -19.03
S&P 500 0.05 5.49 - 0.62 - - - 23.66
+/- S&P 500 -0.39 -7.56 - -28.78 - - - -42.68

Strategy Description

Summary

GaveKal Dynamic Futures uses a systematic process exclusively investing in equity index futures. The process is based on an enhanced Trend Following System (TFS) notably with a dynamic investment horizon (short-to-medium term). Moreover, it also includes a combination of additional... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 20k
Trading Level Incremental Increase
$ 10k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

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
RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
25.00%
1-30 Days
75.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
20.00%
Pattern Recognition
20.00%
Trend-following
60.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

GaveKal Dynamic Futures uses a systematic process exclusively investing in equity index futures. The process is based on an enhanced Trend Following System (TFS) notably with a dynamic investment horizon (short-to-medium term). Moreover, it also includes a combination of additional proprietary components built to deal with the dynamic nature of the TFS. For instance, the Fund is able to handle reversals and trading ranges.

Investment Strategy

Use of a multi-disciplinary systematic approach (“The Model”) to achieving capital growth by taking exposures through equity indices futures listed or traded on recognized exchanges worldwide.

Risk Management

Active risk management included in the Model in terms of size exposure and stop loss strategy.

Passive Risk Management done by an external and independent risk manager

   

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
-29.34 10 - 11/1/2014 9/1/2015
-9.75 2 3 11/1/2013 1/1/2014
-1.39 2 1 8/1/2014 10/1/2014
-1.34 1 1 1/1/0001 9/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
19.69 7 2/1/2014 8/1/2014
5.25 2 10/1/2013 11/1/2013
3.18 1 2/1/2015 2/1/2015
2.02 1 10/1/2015 10/1/2015
1.90 1 11/1/2014 11/1/2014
1.32 1 7/1/2015 7/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.99 4 3/1/2015 6/1/2015
-12.38 2 12/1/2014 1/1/2015
-9.75 2 12/1/2013 1/1/2014
-9.26 2 8/1/2015 9/1/2015
-1.39 2 9/1/2014 10/1/2014
-1.34 1 9/1/2013 9/1/2013
-0.34 1 11/1/2015 11/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable48.1544.0045.4543.7510.00
Average Period Return-0.71-2.39-4.18-7.98-13.04
Average Gain2.464.056.617.891.90
Average Loss-3.66-7.44-13.17-20.33-14.70
Best Period7.5811.7316.6012.351.90
Worst Period-7.69-11.90-20.35-28.16-24.72
Standard Deviation3.766.6411.3415.788.80
Gain Standard Deviation1.933.424.983.90
Loss Standard Deviation2.333.145.607.977.49
Sharpe Ratio (1%)-0.21-0.40-0.41-0.57-1.65
Average Gain / Average Loss0.670.540.500.390.13
Profit / Loss Ratio0.630.430.420.300.01
Downside Deviation (10%)3.346.8712.2119.8422.26
Downside Deviation (5%)3.146.1810.8416.9616.77
Downside Deviation (0%)3.096.0110.5016.2515.47
Sortino Ratio (10%)-0.33-0.53-0.54-0.65-0.93
Sortino Ratio (5%)-0.25-0.43-0.43-0.53-0.87
Sortino Ratio (0%)-0.23-0.40-0.40-0.49-0.84

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.