Global Advisors Jersey Limited : Global Commodity Systematic

archived programs
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

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
7/2005
Global Commodity Systematic 0.74 - - - - - -17.80 55.89
S&P 500 4.31 - - - - - 62.38 162.21
+/- S&P 500 -3.57 - - - - - -80.18 -106.32

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%
Strategy Pie Chart

Composition

Energy
35.00%
Industrial Metals
20.00%
Precious Metals
20.00%
Grains
10.00%
Softs
10.00%
Livestock
5.00%
Composition Pie Chart

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 Strategy

Global 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.

   

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
-27.46 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
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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
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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
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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.