GCM : GCM Alpha Fund B Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A May Performance 9.61% Min Investment $ 125k Mgmt. Fee 2.00% Perf. Fee 10.00% Annualized Vol 24.77% Sharpe (RFR=1%) 0.24 CAROR 4.13% Assets $ 2.3M Worst DD -28.12 S&P Correlation -0.16 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 May Qtr YTD 1yr 3yr 5yr 10yr Since8/2008 GCM Alpha Fund B 9.61 - - - - - 1.21 16.76 S&P 500 -6.27 - - - - - 22.77 216.44 +/- S&P 500 15.88 - - - - - -21.56 -199.68 Strategy Description SummaryThe 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 $ 125k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 10.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency RT/YR/$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% Composition Currency FX 100.00% SummaryThe 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. 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 -28.12 12 - 5/1/2009 5/1/2010 -4.21 1 1 10/1/2008 11/1/2008 -3.27 1 1 8/1/2008 9/1/2008 -2.20 1 1 3/1/2009 4/1/2009 -2.13 1 1 1/1/2009 2/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 25.88 1 8/1/2008 8/1/2008 18.27 1 9/1/2011 9/1/2011 18.22 2 6/1/2010 7/1/2010 15.51 1 10/1/2008 10/1/2008 9.61 1 5/1/2012 5/1/2012 8.15 1 4/1/2011 4/1/2011 6.18 2 12/1/2008 1/1/2009 6.10 1 1/1/2011 1/1/2011 4.00 1 5/1/2009 5/1/2009 3.32 2 9/1/2009 10/1/2009 3.12 1 2/1/2012 2/1/2012 3.03 1 3/1/2009 3/1/2009 2.80 1 12/1/2009 12/1/2009 0.94 1 2/1/2010 2/1/2010 Show More Consecutive Losses Run-up Length (Mos.) Start End -17.28 3 6/1/2009 8/1/2009 -15.67 3 3/1/2010 5/1/2010 -14.07 4 10/1/2011 1/1/2012 -13.17 4 5/1/2011 8/1/2011 -8.57 5 8/1/2010 12/1/2010 -6.18 2 3/1/2012 4/1/2012 -4.61 2 2/1/2011 3/1/2011 -4.21 1 11/1/2008 11/1/2008 -3.27 1 9/1/2008 9/1/2008 -2.65 1 1/1/2010 1/1/2010 -2.20 1 4/1/2009 4/1/2009 -2.13 1 2/1/2009 2/1/2009 -1.28 1 11/1/2009 11/1/2009 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods46.0044.0041.0035.0029.0023.00 Percent Profitable36.9652.2739.0228.5720.6917.39 Average Period Return0.570.29-1.17-4.39-6.35-7.47 Average Gain7.347.869.119.9011.609.88 Average Loss-3.40-7.99-7.75-10.11-11.03-11.12 Best Period25.8840.6543.0532.5923.8924.67 Worst Period-12.67-17.28-15.75-28.12-24.88-20.02 Standard Deviation7.1510.8011.3111.9712.0610.60 Gain Standard Deviation7.379.1110.3110.028.6910.72 Loss Standard Deviation2.654.655.586.807.576.10 Sharpe Ratio (1%)0.070.00-0.15-0.45-0.65-0.89 Average Gain / Average Loss2.160.981.170.981.050.89 Profit / Loss Ratio1.271.080.750.390.270.19 Downside Deviation (10%)3.667.109.0713.9917.9020.31 Downside Deviation (5%)3.456.507.7310.9512.9713.10 Downside Deviation (0%)3.406.357.4110.2311.8311.46 Sortino Ratio (10%)0.04-0.13-0.40-0.67-0.78-0.87 Sortino Ratio (5%)0.140.01-0.22-0.49-0.61-0.72 Sortino Ratio (0%)0.170.05-0.16-0.43-0.54-0.65 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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