GHR Investment Management Company Ltd. : GMASS-Prop

archived programs
Year-to-Date
N / A
Feb Performance
-2.50%
Min Investment
$ 1,500k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
9.17%
Sharpe (RFR=1%)
-0.05
CAROR
0.14%
Assets
$ 1.0M
Worst DD
-17.58
S&P Correlation
-0.20

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
9/2013
GMASS-Prop -2.50 - - - -0.84 -13.35 - 0.77
S&P 500 2.97 - - - 42.65 48.24 - 113.18
+/- S&P 500 -5.47 - - - -43.49 -61.59 - -112.42

Strategy Description

Summary

GMASS (GLOBAL MULTI ASSET SYSTEMATIC STRATEGY) is a proprietary systematic approach across multiple set of highly liquid exchange traded futures (equity, currency, fixed income and commodity). We trade globally 24 hours a day, and we are diversified across multiple time frames and... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 9.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 9.00%
1-3 Months 11.00%
1-30 Days 80.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
20.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Energy
5.00%
Grains
5.00%
Softs
5.00%
Composition Pie Chart

Summary

GMASS (GLOBAL MULTI ASSET SYSTEMATIC STRATEGY) is a proprietary systematic approach across multiple set of highly liquid exchange traded futures (equity, currency, fixed income and commodity). We trade globally 24 hours a day, and we are diversified across multiple time frames and strategies. We are domiciled in Seoul, South Korea.

Investment Strategy

The philosophy behind our trading strategy is a blend of trend following and pattern recognition. We have no direction bias and take long and short positions according to market signals generated through our proprietary algorithms.

Risk Management

The architecture of our business infrastructure has been designed to focus on risk at every level of our operations: from portfolio construction, data reliability, 24 hour monitoring to disaster recovery protocols. Portfolio construction is designed with risk management in mind, with uncorrelated asset classes and systematic position sizing providing a natural diversifying effect and limiting portfolio drawdowns. All trades have 100% systematic and pre-specified stops that varies according to market volatility.

   

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
-17.58 36 - 2/1/2016 2/1/2019
-7.87 3 8 12/1/2013 3/1/2014
-5.43 2 2 10/1/2015 12/1/2015
-3.60 4 2 4/1/2015 8/1/2015
-2.70 1 2 1/1/2015 2/1/2015
-0.31 1 1 1/1/0001 9/1/2013
-0.22 1 1 10/1/2013 11/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
22.92 7 7/1/2014 1/1/2015
10.54 2 1/1/2016 2/1/2016
7.15 2 6/1/2016 7/1/2016
5.40 1 12/1/2018 12/1/2018
4.98 5 2/1/2018 6/1/2018
4.29 2 9/1/2015 10/1/2015
3.48 2 3/1/2015 4/1/2015
2.35 1 7/1/2015 7/1/2015
1.69 2 4/1/2014 5/1/2014
1.50 1 2/1/2017 2/1/2017
1.40 1 10/1/2018 10/1/2018
1.18 1 12/1/2013 12/1/2013
0.66 1 10/1/2013 10/1/2013
0.65 2 9/1/2017 10/1/2017
0.50 1 5/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.88 6 8/1/2016 1/1/2017
-8.39 3 3/1/2016 5/1/2016
-7.87 3 1/1/2014 3/1/2014
-6.50 2 1/1/2019 2/1/2019
-5.43 2 11/1/2015 12/1/2015
-4.63 3 7/1/2018 9/1/2018
-3.35 2 5/1/2015 6/1/2015
-3.08 3 11/1/2017 1/1/2018
-2.70 1 2/1/2015 2/1/2015
-2.55 1 8/1/2015 8/1/2015
-2.25 3 6/1/2017 8/1/2017
-2.00 2 3/1/2017 4/1/2017
-0.96 1 6/1/2014 6/1/2014
-0.31 1 9/1/2013 9/1/2013
-0.22 1 11/1/2013 11/1/2013
-0.10 1 11/1/2018 11/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods66.0064.0061.0055.0049.0043.0031.0019.00
Percent Profitable46.9746.8837.7049.0942.8641.8648.3978.95
Average Period Return0.050.270.511.872.051.17-0.183.25
Average Gain2.143.927.089.4914.3615.739.705.79
Average Loss-1.92-2.94-3.46-5.48-7.19-9.31-9.43-6.26
Best Period7.9415.1222.3323.8424.5129.4517.6912.59
Worst Period-4.90-8.39-11.88-13.89-16.00-15.65-17.58-10.55
Standard Deviation2.654.416.629.8612.2713.9410.406.58
Gain Standard Deviation2.063.275.858.157.538.963.814.18
Loss Standard Deviation1.412.232.754.054.373.133.705.02
Sharpe Ratio (1%)-0.010.010.000.090.04-0.06-0.31-0.12
Average Gain / Average Loss1.121.332.041.732.001.691.030.93
Profit / Loss Ratio1.051.181.241.671.501.220.963.47
Downside Deviation (10%)1.923.445.178.1511.7315.2918.9319.38
Downside Deviation (5%)1.732.823.795.437.338.959.325.30
Downside Deviation (0%)1.682.673.474.836.337.477.253.50
Sortino Ratio (10%)-0.19-0.28-0.38-0.38-0.47-0.59-0.84-0.94
Sortino Ratio (5%)-0.020.010.000.160.07-0.09-0.34-0.15
Sortino Ratio (0%)0.030.100.150.390.320.16-0.020.93

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.