GaveKal Investments S.A. : GaveKal Dynamic Futures Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Nov Performance -0.80% Min Investment $ 20k Mgmt. Fee 0% Perf. Fee 20.00% Annualized Vol 13.21% Sharpe (RFR=1%) 0.00 CAROR 0.18% Assets $ 6.6M Worst DD -29.61 S&P Correlation 0.66 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since2/2013 GaveKal Dynamic Futures Fund -0.80 - - - - -2.97 - 0.52 S&P 500 0.05 - - - - 76.19 - 128.74 +/- S&P 500 -0.85 - - - - -79.17 - -128.22 Strategy Description SummaryGaveKal 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% Composition Stock Indices 100.00% SummaryGaveKal 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 StrategyUse 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 ManagementActive 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 Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -29.61 10 - 11/1/2014 9/1/2015 -9.84 2 3 11/1/2013 1/1/2014 -1.71 2 1 8/1/2014 10/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 30.80 10 2/1/2013 11/1/2013 19.66 7 2/1/2014 8/1/2014 3.14 1 2/1/2015 2/1/2015 1.97 1 11/1/2014 11/1/2014 1.78 1 10/1/2015 10/1/2015 1.23 1 7/1/2015 7/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -15.11 4 3/1/2015 6/1/2015 -12.25 2 12/1/2014 1/1/2015 -9.84 2 12/1/2013 1/1/2014 -9.50 2 8/1/2015 9/1/2015 -1.71 2 9/1/2014 10/1/2014 -0.80 1 11/1/2015 11/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods34.0032.0029.0023.0017.00 Percent Profitable61.7656.2555.1760.8747.06 Average Period Return0.090.230.320.332.92 Average Gain2.576.3110.8813.8323.23 Average Loss-3.92-7.59-12.67-20.67-15.12 Best Period7.6614.7922.7626.3740.46 Worst Period-7.50-11.98-20.33-28.93-25.74 Standard Deviation3.818.0113.7018.8122.81 Gain Standard Deviation2.044.557.577.5215.16 Loss Standard Deviation2.212.985.908.097.77 Sharpe Ratio (1%)0.000.00-0.01-0.040.06 Average Gain / Average Loss0.650.830.860.671.54 Profit / Loss Ratio1.061.071.061.041.37 Downside Deviation (10%)2.986.1410.8216.7817.46 Downside Deviation (5%)2.805.529.6014.3713.22 Downside Deviation (0%)2.765.379.2913.7912.23 Sortino Ratio (10%)-0.11-0.16-0.20-0.28-0.27 Sortino Ratio (5%)0.000.00-0.02-0.050.11 Sortino Ratio (0%)0.030.040.030.020.24 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 10 3.14 2/2015 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel