Global Advisors Jersey Limited : Global Commodity Systematic Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Feb Performance 0.74% Min Investment $ 2,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 10.24% Sharpe (RFR=1%) 0.45 CAROR 5.26% Assets $ 12.1M Worst DD -27.46 S&P Correlation 0.00 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since7/2005 Global Commodity Systematic 0.74 - - - - - -22.42 55.89 S&P 500 4.31 - - - - - 62.38 215.53 +/- S&P 500 -3.57 - - - - - -84.80 -159.63 Strategy Description Summary-Global Commodity Systematic program is a quantitative approach that has been developed specifically for the commodity futures markets. The suite of models has been designed to offer diversification within the commodity niche by trading inter- and intra-commodity spreads as well as... Read More Account & Fees Type Managed Account Minimum Investment $ 2,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1000 RT/YR/$M Avg. Margin-to-Equity 5% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Energy 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 Counter-trend 10.00% Fundamental 25.00% Momentum 10.00% Spreading/hedging 10.00% Trend-following 45.00% Composition Energy 35.00% Industrial Metals 20.00% Precious Metals 20.00% Grains 10.00% Softs 10.00% Livestock 5.00% Summary-Global Commodity Systematic program is a quantitative approach that has been developed specifically for the commodity futures markets. The suite of models has been designed to offer diversification within the commodity niche by trading inter- and intra-commodity spreads as well as outright commodities. Market sectors traded include energy, base metals, precious metals, agricultural markets and commodity indices. Strictly no financial futures are traded.Investment StrategyGlobal Advisors operates a systematic quantitative trade and portfolio management tool that has been developed specifically for the commodity futures markets. This tool has been designed to offer diversification within the commodity niche by trading inter- and intra-commodity spreads as well as outright commodities. Trades are structured to minimize the effects of transaction costs and to increase capacity within its markets. More...The system’s core trading style can be described as “breakout follower.” Comparisons with pure diversified trend-following approaches suggest relatively low positive correlation between the two. 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 -27.46 30 - 4/1/2011 10/1/2013 -10.19 9 4 11/1/2009 8/1/2010 -5.45 2 2 6/1/2008 8/1/2008 -4.65 1 1 7/1/2007 8/1/2007 -3.74 1 2 2/1/2008 3/1/2008 -2.21 1 1 1/1/0001 7/1/2005 -1.85 3 1 5/1/2006 8/1/2006 -1.44 2 4 2/1/2009 4/1/2009 -1.40 1 1 10/1/2007 11/1/2007 -1.33 1 2 4/1/2007 5/1/2007 -1.16 1 1 1/1/2006 2/1/2006 -0.97 1 2 11/1/2006 12/1/2006 -0.97 2 1 8/1/2009 10/1/2009 -0.62 1 1 2/1/2011 3/1/2011 -0.58 1 1 2/1/2007 3/1/2007 -0.13 1 1 12/1/2008 1/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 21.14 6 8/1/2005 1/1/2006 17.02 3 12/1/2007 2/1/2008 16.06 6 9/1/2010 2/1/2011 13.55 3 3/1/2006 5/1/2006 12.50 2 9/1/2007 10/1/2007 9.26 4 9/1/2008 12/1/2008 6.30 3 4/1/2008 6/1/2008 6.15 4 11/1/2013 2/1/2014 5.73 2 7/1/2012 8/1/2012 5.20 3 9/1/2006 11/1/2006 3.80 2 3/1/2010 4/1/2010 2.96 2 6/1/2007 7/1/2007 2.83 1 11/1/2009 11/1/2009 2.68 2 1/1/2007 2/1/2007 2.58 1 1/1/2013 1/1/2013 1.93 1 4/1/2007 4/1/2007 1.73 2 2/1/2012 3/1/2012 1.69 1 8/1/2009 8/1/2009 1.38 1 4/1/2011 4/1/2011 1.34 1 11/1/2011 11/1/2011 1.25 1 5/1/2009 5/1/2009 0.93 1 6/1/2013 6/1/2013 0.49 1 9/1/2011 9/1/2011 0.38 1 2/1/2009 2/1/2009 0.34 1 3/1/2013 3/1/2013 0.29 1 5/1/2012 5/1/2012 0.11 1 7/1/2011 7/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -11.47 4 9/1/2012 12/1/2012 -9.96 4 7/1/2013 10/1/2013 -9.60 2 5/1/2011 6/1/2011 -8.91 4 5/1/2010 8/1/2010 -5.45 2 7/1/2008 8/1/2008 -5.01 3 12/1/2009 2/1/2010 -4.65 1 8/1/2007 8/1/2007 -3.74 1 3/1/2008 3/1/2008 -3.29 2 4/1/2013 5/1/2013 -3.18 2 12/1/2011 1/1/2012 -2.99 1 6/1/2012 6/1/2012 -2.21 1 7/1/2005 7/1/2005 -1.85 3 6/1/2006 8/1/2006 -1.83 1 8/1/2011 8/1/2011 -1.44 2 3/1/2009 4/1/2009 -1.40 1 11/1/2007 11/1/2007 -1.33 1 5/1/2007 5/1/2007 -1.16 1 2/1/2006 2/1/2006 -1.03 2 6/1/2009 7/1/2009 -0.99 1 10/1/2011 10/1/2011 -0.97 1 12/1/2006 12/1/2006 -0.97 2 9/1/2009 10/1/2009 -0.62 1 3/1/2011 3/1/2011 -0.58 1 3/1/2007 3/1/2007 -0.18 1 2/1/2013 2/1/2013 -0.13 1 1/1/2009 1/1/2009 -0.01 1 4/1/2012 4/1/2012 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods104.00102.0099.0093.0087.0081.0069.0057.0045.00 Percent Profitable54.8159.8058.5960.2259.7760.4957.9766.6771.11 Average Period Return0.471.372.635.137.6810.8917.0721.2926.21 Average Gain2.374.658.0413.1818.6824.2036.8138.6041.85 Average Loss-1.84-3.51-5.01-7.06-8.67-9.48-10.16-13.32-12.28 Best Period10.4717.0229.7933.6739.2051.9082.0090.3779.57 Worst Period-6.64-9.50-11.60-14.91-17.77-18.74-24.48-23.55-21.23 Standard Deviation2.965.328.5312.6716.6521.0029.0932.4631.82 Gain Standard Deviation2.393.876.759.6112.1415.9322.1525.5923.38 Loss Standard Deviation1.642.863.293.924.486.106.845.976.67 Sharpe Ratio (1%)0.130.210.250.330.370.420.480.530.66 Average Gain / Average Loss1.291.331.601.872.162.553.622.903.41 Profit / Loss Ratio1.571.972.272.823.203.915.005.808.39 Downside Deviation (10%)1.863.515.298.0510.8213.3317.6721.3722.59 Downside Deviation (5%)1.692.984.125.647.038.169.6010.609.96 Downside Deviation (0%)1.652.863.855.086.177.057.908.397.44 Sortino Ratio (10%)0.030.040.030.020.010.050.07-0.01-0.06 Sortino Ratio (5%)0.230.380.520.730.881.091.461.632.12 Sortino Ratio (0%)0.290.480.681.011.241.542.162.543.52 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. x {{title}} x {{title}} Add Cancel