GCI Investment Singapore Pte Ltd : ORIX COMMODITIES Fund

archived programs
Year-to-Date
N / A
Feb Performance
1.21%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.24%
Sharpe (RFR=1%)
0.25
CAROR
3.26%
Assets
$ 56.5M
Worst DD
-11.91
S&P Correlation
-0.21

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
6/2010
ORIX COMMODITIES Fund 1.21 - - - - - 5.25 9.23
S&P 500 1.11 - - - - - 80.04 236.09
+/- S&P 500 0.10 - - - - - -74.79 -226.87

Strategy Description

Summary

Investment objective is to achieve absolute returns over the medium to long term using proprietary trading models to invest in exchange traded financial and commodity futures globally, with a material exposure to Japan and other Asian markets. The... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 700 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough
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

Composition

Summary

Investment objective is to achieve absolute returns over the medium to long term using proprietary trading models to invest in exchange traded financial and commodity futures globally, with a material exposure to Japan and other Asian markets. The Fund also seeks to achieve low correlation to traditional asset classes and many alternative investment strategies.

Investment Strategy

The Fund seeks to maximize diversification through identifying investment opportunities in a large number of futures on various underlying products across approximately 85 futures instruments globally, with a material exposure to Japan and other Asian markets.

   

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
-11.91 6 - 5/1/2012 11/1/2012
-9.44 11 2 4/1/2011 3/1/2012
-2.35 1 1 2/1/2011 3/1/2011
-1.26 1 2 1/1/0001 6/1/2010
-1.26 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
10.46 2 4/1/2012 5/1/2012
10.39 4 7/1/2010 10/1/2010
7.90 3 12/1/2012 2/1/2013
6.56 3 7/1/2011 9/1/2011
6.14 3 12/1/2010 2/1/2011
2.98 1 4/1/2011 4/1/2011
1.97 1 7/1/2012 7/1/2012
1.65 1 2/1/2012 2/1/2012
0.13 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.38 4 8/1/2012 11/1/2012
-6.57 2 5/1/2011 6/1/2011
-6.33 1 10/1/2011 10/1/2011
-5.71 1 6/1/2012 6/1/2012
-2.50 2 12/1/2011 1/1/2012
-2.35 1 3/1/2011 3/1/2011
-2.15 1 3/1/2012 3/1/2012
-1.26 1 11/1/2010 11/1/2010
-1.26 1 6/1/2010 6/1/2010
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Time Windows Analysis

 3 Year4 Year5 Year1 Month3 Month6 Month12 Month18 Month
Number of Periods156.00144.00132.00108.0033.0031.0028.0022.0016.00
Percent Profitable100.00100.00100.00100.0057.5854.8446.4345.4531.25
Average Period Return49.2869.3391.74146.330.320.770.59-0.09-1.11
Average Gain49.2869.3391.74146.332.494.735.995.715.86
Average Loss-2.63-4.05-4.09-4.92-4.28
Best Period100.41130.46154.57259.149.299.2912.7810.807.94
Worst Period12.1320.6539.5164.16-6.33-7.50-11.91-8.47-11.03
Standard Deviation22.0326.2627.3642.263.245.056.156.205.58
Gain Standard Deviation22.0326.2627.3642.262.172.683.693.802.22
Loss Standard Deviation1.772.133.282.353.07
Sharpe Ratio (1%)2.102.493.173.290.070.100.01-0.18-0.47
Average Gain / Average Loss0.951.171.461.161.37
Profit / Loss Ratio1.291.421.270.970.62
Downside Deviation (10%)0.440.072.273.815.347.6410.25
Downside Deviation (5%)2.093.204.084.685.38
Downside Deviation (0%)2.043.053.793.994.30
Sortino Ratio (10%)76.51638.71-0.04-0.12-0.35-0.67-0.85
Sortino Ratio (5%)0.110.160.02-0.23-0.49
Sortino Ratio (0%)0.160.250.16-0.02-0.26

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.