GHR Investment Management Company Ltd. : Korea

archived programs
Year-to-Date
N / A
Oct Performance
0.00%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
9.15%
Sharpe (RFR=1%)
0.57
CAROR
6.00%
Assets
$ 500k
Worst DD
-5.92
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
Korea 0.00 - - - 0.00 7.21 - 27.47
S&P 500 1.34 - - - 26.32 80.52 - 106.04
+/- S&P 500 -1.34 - - - -26.32 -73.31 - -78.57

Strategy Description

Summary

Systematic Trend Following Strategy distinctly using 3 Korean Markets: KOSPI, KRW and KTB... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.00
Management Fee 0%
Performance Fee 20.00%
Average Commission $2.50
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 250 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -10.00%
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

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

Composition

Stock Indices
34.00%
Currency Futures
33.00%
Interest Rates
33.00%
Composition Pie Chart

Summary

Systematic Trend Following Strategy distinctly using 3 Korean Markets: KOSPI, KRW and KTB

Investment Strategy

Trend following and Pattern Recognition

Risk Management

Volatility Targeting, Margin-to-Equity Management. Systematic Stops at product level, leverage control at the portfolio level.

   

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
-5.92 2 2 10/1/2015 12/1/2015
-5.68 3 1 11/1/2014 2/1/2015
-5.50 4 7 11/1/2013 3/1/2014
-5.50 3 2 2/1/2016 5/1/2016
-4.35 4 - 7/1/2016 11/1/2016
-3.49 2 1 4/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
18.25 4 7/1/2015 10/1/2015
8.88 2 1/1/2016 2/1/2016
8.46 2 6/1/2016 7/1/2016
8.02 2 3/1/2015 4/1/2015
6.70 2 10/1/2014 11/1/2014
3.84 2 4/1/2014 5/1/2014
3.63 3 9/1/2013 11/1/2013
1.50 1 1/1/2015 1/1/2015
1.21 4 12/1/2016 3/1/2017
1.10 1 7/1/2014 7/1/2014
0.30 1 6/1/2017 6/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.92 2 11/1/2015 12/1/2015
-5.50 4 12/1/2013 3/1/2014
-5.50 3 3/1/2016 5/1/2016
-4.35 4 8/1/2016 11/1/2016
-3.90 1 2/1/2015 2/1/2015
-3.49 2 5/1/2015 6/1/2015
-3.30 1 12/1/2014 12/1/2014
-1.00 2 4/1/2017 5/1/2017
-0.60 2 8/1/2014 9/1/2014
-0.30 4 7/1/2017 10/1/2017
-0.10 1 6/1/2014 6/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods50.0048.0045.0039.0033.0027.0015.00
Percent Profitable48.0060.4268.8989.7493.94100.00100.00
Average Period Return0.521.523.197.7513.2619.8026.19
Average Gain2.514.095.348.8614.1919.8026.19
Average Loss-1.63-2.53-1.55-2.03-1.12
Best Period7.7017.3115.7126.2828.3230.9031.47
Worst Period-4.20-5.68-4.14-4.15-1.760.6321.81
Standard Deviation2.644.655.007.609.197.632.98
Gain Standard Deviation2.244.044.547.208.697.632.98
Loss Standard Deviation1.272.031.361.720.91
Sharpe Ratio (1%)0.170.270.540.891.282.337.78
Average Gain / Average Loss1.541.623.434.3712.72
Profit / Loss Ratio1.762.607.6038.25197.23
Downside Deviation (10%)1.562.622.483.003.082.58
Downside Deviation (5%)1.372.091.361.100.660.29
Downside Deviation (0%)1.331.971.140.810.32
Sortino Ratio (10%)0.070.110.290.911.843.70
Sortino Ratio (5%)0.320.611.986.1217.7161.70
Sortino Ratio (0%)0.390.772.819.6041.78

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.