Global Advisors Jersey Limited : Global Commodity Systematic

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	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

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 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.

Compare to:

{{result.name}} {{result.description}}

Index: Chart Type:

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:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	104.00	102.00	99.00	93.00	87.00	81.00	69.00	57.00	45.00
Percent Profitable	54.81	59.80	58.59	60.22	59.77	60.49	57.97	66.67	71.11
Average Period Return	0.47	1.37	2.63	5.13	7.68	10.89	17.07	21.29	26.21
Average Gain	2.37	4.65	8.04	13.18	18.68	24.20	36.81	38.60	41.85
Average Loss	-1.84	-3.51	-5.01	-7.06	-8.67	-9.48	-10.16	-13.32	-12.28
Best Period	10.47	17.02	29.79	33.67	39.20	51.90	82.00	90.37	79.57
Worst Period	-6.64	-9.50	-11.60	-14.91	-17.77	-18.74	-24.48	-23.55	-21.23
Standard Deviation	2.96	5.32	8.53	12.67	16.65	21.00	29.09	32.46	31.82
Gain Standard Deviation	2.39	3.87	6.75	9.61	12.14	15.93	22.15	25.59	23.38
Loss Standard Deviation	1.64	2.86	3.29	3.92	4.48	6.10	6.84	5.97	6.67
Sharpe Ratio (1%)	0.13	0.21	0.25	0.33	0.37	0.42	0.48	0.53	0.66
Average Gain / Average Loss	1.29	1.33	1.60	1.87	2.16	2.55	3.62	2.90	3.41
Profit / Loss Ratio	1.57	1.97	2.27	2.82	3.20	3.91	5.00	5.80	8.39
Downside Deviation (10%)	1.86	3.51	5.29	8.05	10.82	13.33	17.67	21.37	22.59
Downside Deviation (5%)	1.69	2.98	4.12	5.64	7.03	8.16	9.60	10.60	9.96
Downside Deviation (0%)	1.65	2.86	3.85	5.08	6.17	7.05	7.90	8.39	7.44
Sortino Ratio (10%)	0.03	0.04	0.03	0.02	0.01	0.05	0.07	-0.01	-0.06
Sortino Ratio (5%)	0.23	0.38	0.52	0.73	0.88	1.09	1.46	1.63	2.12
Sortino Ratio (0%)	0.29	0.48	0.68	1.01	1.24	1.54	2.16	2.54	3.52

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.

Get Free Research Report on This CTA

Get additional information on Global Advisors Jersey Limited, including performance, charts, statistics, ratios, and more.

First Name is required.

Last Name is required.

Email is required. This is not a valid email.

Phone is required.

* Required fields

More Programs by Global Advisors Jersey Limited

Program Name	CAROR

IASG Activity

Blends 16
Portfolios 10
Watchlists 20

Find the right managed futures programs for you with our comprehensive free CTA database.

Global Advisors Jersey Limited : Global Commodity Systematic

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

Connect With Us for Latest CTA News & Rankings

Account Log In

Reset Password

Register for an Account

Thank You

Find the right managed futures programs for you with our comprehensive free CTA database.

Global Advisors Jersey Limited : Global Commodity Systematic

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

{{title}}

{{title}}

Connect With Us for Latest CTA News & Rankings

Get the Full Picture

Register now to access our complete CTA database: