Global Advisory Partners Zurich LLC : International Algo Trading

archived programs
Year-to-Date
N / A
Jan Performance
4.09%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
33.00%
Annualized Vol
28.64%
Sharpe (RFR=1%)
0.49
CAROR
11.69%
Assets
$ 802k
Worst DD
-49.41
S&P Correlation
0.02

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/2009
International Algo Trading 4.09 4.50 - -19.84 -34.98 -11.45 - 125.01
S&P 500 1.79 7.18 - 17.45 27.84 73.64 - 128.07
+/- S&P 500 2.30 -2.69 - -37.29 -62.82 -85.09 - -3.06

Strategy Description

Summary

GAP Zurich LLC International Algo Trading Program trades in most of the liquid U.S. futures and options markets like stock indices, bonds and notes, currencies, energies, grains, softs and other liquid commodities.

The investment programs employed in our GAP Zurich LLC... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
33.00%
Average Commission
$5.20
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
22000 RT/YR/$M
Avg. Margin-to-Equity
80%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
32.12%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
50.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
80.00%
Systematic
20.00%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Grains
14.00%
Softs
14.00%
Currency Futures
12.00%
Industrial Metals
12.00%
Precious Metals
12.00%
Energy
12.00%
Interest Rates
12.00%
Livestock
12.00%
Composition Pie Chart

Summary

GAP Zurich LLC International Algo Trading Program trades in most of the liquid U.S. futures and options markets like stock indices, bonds and notes, currencies, energies, grains, softs and other liquid commodities.

The investment programs employed in our GAP Zurich LLC International Algo Trading Program strategy are discretionary, and revolve around various options writing strategies, both long and short. The implementation of this program depends on both technical and fundamental analysis.

This performance has been pro forma adjusted to account for the maximum fees to be charged by GAP Zurich LLC. The performance has been pro forma adjusted to account for a yearly management fee of 2% and a monthly incentive of 33%, which represents also the maximum fee to be charged by GAP Zurich LLC.

The presentation make reference to different CTA Indices (the "Index"). Only CTA's submitting their performance to Provider are included in the Indices. The performance of the Index in no way purports to be representative of the entire universe of CTAs. Be advised that an individual cannot invest in the Index itself and the actual rates of return for an individual program may significantly differ and be more volatile than the index.

Investment Strategy

The trading program involves a strategy utilizing an average of two to six week trade durations within given price range levels while relying on charting techniques to identify trading ranges of one month to one-year durations. Support and resistance levels for various time durations are also evaluated.

This trading program is not dependent on market moves and is therefore suited to all types of market conditions.

The trading program continuously monitors over 60 very liquid U.S. and global futures and options- markets, identifying potential trades with the best risk/reward ratios. The portfolio is always well diversified and usually carries 20+ of different positions- and markets in a given month.

The approach is approximately 75 percent technical and 25 percent fundamental. Moreover, the program is about 20 percent systematic and 80 percent discretionary. That the program is mostly discretionary is also seen in the high negative correlation to CTA indices. Because of this negative correlation the program could potentially be an excellent diversification to any CTA portfolio and/or an excellent standalone investment.

Risk Management

The trading strategies have pre-defined profit goals and risk exposure. Stop loss measures are utilized and market conditions are monitored 7/24 for liquidity, range of movement and implied volatility measured against historical volatility. Stop loss points are determined at the time a trade is initiated. Please note that stop loss orders become market orders when activated and therefore, there is no guarantee that such orders will be filled at the stop loss points. Further, stop loss orders may not necessarily limit losses to the determined amounts in the event that market conditions make it impossible to execute such orders. Futures trading is speculative and may result in losses. Past results are not necessarily indicative of future results.

   

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
-49.41 41 - 3/1/2013 8/1/2016
-32.11 4 5 8/1/2010 12/1/2010
-31.34 2 4 6/1/2011 8/1/2011
-6.31 2 2 10/1/2012 12/1/2012
-1.36 1 1 10/1/2009 11/1/2009
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
193.20 14 9/1/2011 10/1/2012
73.77 9 12/1/2009 8/1/2010
51.36 2 5/1/2011 6/1/2011
22.15 1 1/1/2011 1/1/2011
13.10 4 11/1/2014 2/1/2015
11.86 4 7/1/2013 10/1/2013
11.56 1 3/1/2011 3/1/2011
9.67 3 7/1/2014 9/1/2014
7.88 2 4/1/2014 5/1/2014
7.60 3 1/1/2013 3/1/2013
4.50 2 12/1/2016 1/1/2017
3.32 1 9/1/2016 9/1/2016
2.24 1 12/1/2013 12/1/2013
1.40 1 9/1/2015 9/1/2015
1.13 1 10/1/2009 10/1/2009
0.49 1 7/1/2016 7/1/2016
0.10 1 7/1/2015 7/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-32.11 4 9/1/2010 12/1/2010
-31.43 9 10/1/2015 6/1/2016
-31.34 2 7/1/2011 8/1/2011
-18.86 3 1/1/2014 3/1/2014
-13.91 3 4/1/2013 6/1/2013
-11.91 1 2/1/2011 2/1/2011
-10.27 1 8/1/2015 8/1/2015
-9.99 1 8/1/2016 8/1/2016
-7.58 1 10/1/2014 10/1/2014
-6.31 2 11/1/2012 12/1/2012
-6.28 4 3/1/2015 6/1/2015
-3.99 1 4/1/2011 4/1/2011
-1.82 1 11/1/2013 11/1/2013
-1.48 1 6/1/2014 6/1/2014
-1.36 1 11/1/2009 11/1/2009
-1.10 2 10/1/2016 11/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods88.0086.0083.0077.0071.0065.0053.0041.0029.00
Percent Profitable57.9553.4949.4055.8457.7560.0066.0473.1796.55
Average Period Return1.254.057.8116.8732.1049.0182.1999.92118.89
Average Gain6.1616.0828.5644.8570.6595.93140.87148.23123.20
Average Loss-5.52-9.78-12.46-18.52-20.58-21.37-31.93-31.86-1.62
Best Period39.8449.7881.58149.57204.71229.01310.74296.68280.83
Worst Period-18.89-28.43-29.10-37.55-47.06-43.44-46.32-47.61-1.62
Standard Deviation8.2716.7526.2745.6565.0978.14105.23102.3382.76
Gain Standard Deviation6.6812.8621.8242.8160.3267.0880.1073.2080.90
Loss Standard Deviation4.677.358.0112.4915.3414.3712.5615.61
Sharpe Ratio (1%)0.140.230.280.350.470.600.750.941.38
Average Gain / Average Loss1.121.642.292.423.434.494.414.6575.84
Profit / Loss Ratio1.541.892.243.064.696.738.5812.692123.56
Downside Deviation (10%)4.879.0012.0217.6620.7921.9628.6928.778.60
Downside Deviation (5%)4.708.4410.8015.3317.3817.2621.5820.141.52
Downside Deviation (0%)4.668.3110.5014.7716.5816.1919.9218.220.30
Sortino Ratio (10%)0.170.310.440.671.181.762.322.7210.62
Sortino Ratio (5%)0.250.450.681.041.762.723.674.7675.06
Sortino Ratio (0%)0.270.490.741.141.943.034.135.48394.15

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 1 3.32 9/2016
Discretionary Trader Index Month 6 3.32 9/2016
Diversified Trader Index Month 9 3.32 9/2016
IASG CTA Index 5 Year Rolling 4 161.46 2010 - 2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.