GCM : GCM Alpha Fund A

archived programs
Year-to-Date
N / A
May Performance
9.70%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
26.56%
Sharpe (RFR=1%)
0.04
CAROR
-1.24%
Assets
$ 8.0M
Worst DD
-27.41
S&P Correlation
-0.10

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
5/2008
GCM Alpha Fund A 9.70 - - - - - -4.53 -4.95
S&P 500 -6.27 - - - - - 22.77 147.37
+/- S&P 500 15.97 - - - - - -27.30 -152.32

Strategy Description

Summary

-The GCM Alpha Fund aims to achieve substantial long term capital appreciation through compound growth. It is designed to provide exposure to trends in the global foreign exchange markets. This is achieved by trading a diversified portfolio of currency forwards using advanced systematic... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 10.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Trend-following
75.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

-The GCM Alpha Fund aims to achieve substantial long term capital appreciation through compound growth. It is designed to provide exposure to trends in the global foreign exchange markets. This is achieved by trading a diversified portfolio of currency forwards using advanced systematic trading models based on statistically-derived algorithms. Short-term trades and long-term trend following are combined using both multiple time frames and systems. The success of the program does not rely on favorable conditions in any particular market or on general appreciation of asset values.

   

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
-27.41 12 - 5/1/2009 5/1/2010
-23.43 3 3 1/1/0001 7/1/2008
-4.14 1 1 10/1/2008 11/1/2008
-2.12 1 1 3/1/2009 4/1/2009
-2.05 1 1 1/1/2009 2/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
28.85 1 8/1/2008 8/1/2008
18.41 2 6/1/2010 7/1/2010
18.37 1 9/1/2011 9/1/2011
15.73 1 10/1/2008 10/1/2008
9.70 1 5/1/2012 5/1/2012
8.24 1 4/1/2011 4/1/2011
6.33 2 12/1/2008 1/1/2009
6.19 1 1/1/2011 1/1/2011
4.07 1 5/1/2009 5/1/2009
3.50 2 9/1/2009 10/1/2009
3.20 1 2/1/2012 2/1/2012
3.10 1 3/1/2009 3/1/2009
2.89 1 12/1/2009 12/1/2009
1.01 1 2/1/2010 2/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.43 3 5/1/2008 7/1/2008
-17.08 3 6/1/2009 8/1/2009
-15.45 3 3/1/2010 5/1/2010
-13.77 4 10/1/2011 1/1/2012
-12.88 4 5/1/2011 8/1/2011
-8.19 5 8/1/2010 12/1/2010
-6.02 2 3/1/2012 4/1/2012
-4.44 2 2/1/2011 3/1/2011
-4.14 1 11/1/2008 11/1/2008
-3.19 1 9/1/2008 9/1/2008
-2.57 1 1/1/2010 1/1/2010
-2.12 1 4/1/2009 4/1/2009
-2.05 1 2/1/2009 2/1/2009
-1.20 1 11/1/2009 11/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable34.6951.0650.0034.2134.3826.9235.71
Average Period Return0.170.150.32-1.90-4.13-6.31-8.13
Average Gain7.608.098.9512.168.777.875.76
Average Loss-3.78-8.13-8.32-9.21-10.89-11.54-15.84
Best Period28.8544.3647.1537.0128.6630.1116.14
Worst Period-16.88-23.43-15.33-27.41-23.82-18.43-22.20
Standard Deviation7.6711.3311.9212.9112.2210.8912.09
Gain Standard Deviation7.859.5310.379.669.2710.686.69
Loss Standard Deviation3.585.755.196.886.984.455.27
Sharpe Ratio (1%)0.01-0.01-0.02-0.22-0.46-0.76-0.92
Average Gain / Average Loss2.010.991.081.320.810.680.36
Profit / Loss Ratio1.071.041.080.690.420.250.20
Downside Deviation (10%)4.427.648.4612.7716.1619.3126.58
Downside Deviation (5%)4.237.067.199.9311.4612.1615.68
Downside Deviation (0%)4.186.926.899.2610.4010.5313.31
Sortino Ratio (10%)-0.05-0.14-0.25-0.54-0.73-0.86-0.90
Sortino Ratio (5%)0.02-0.01-0.03-0.29-0.49-0.68-0.71
Sortino Ratio (0%)0.040.020.05-0.21-0.40-0.60-0.61

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.