Global Domain Partners, LLC : Global Domain Vector Fund - Series A Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Apr Performance 0.06% Min Investment $ 500k Mgmt. Fee 1.50% Perf. Fee 20.00% Annualized Vol 7.48% Sharpe (RFR=1%) 0.20 CAROR 2.22% Assets $ 3.2M Worst DD -14.60 S&P Correlation 0.12 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 Apr Qtr 2020 1yr 3yr 5yr 10yr Since1/2006 Global Domain Vector Fund - Series A 0.06 - - - - - -7.25 20.09 S&P 500 0.62 - - - - - 70.11 190.39 +/- S&P 500 -0.56 - - - - - -77.36 -170.30 Strategy Description SummaryThe goal of Series A is to construct a diversified portfolio with minimal correlation to equity and fixed income markets, while maximizing returns given a stable volatility. It aims to improve the risk adjusted returns of any diversified asset portfolio. Additionally, Sigma strives... Read More Account & Fees Type Fund Minimum Investment $ 500k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.50% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 900 RT/YR/$M Avg. Margin-to-Equity 9% Targeted Worst DD Worst Peak-to-Trough 8.70% Sector Focus Diversified Traders Holding Periods Over 12 Months 51.00% 4-12 Months 49.00% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Other 100.00% Composition Currency Futures 24.00% Stock Indices 24.00% Energy 18.00% Grains 9.00% Livestock 9.00% Softs 7.00% Industrial Metals 5.00% Precious Metals 4.00% SummaryThe goal of Series A is to construct a diversified portfolio with minimal correlation to equity and fixed income markets, while maximizing returns given a stable volatility. It aims to improve the risk adjusted returns of any diversified asset portfolio. Additionally, Sigma strives to achieve these goals by basing trading decisions exclusively on the output of mathematical algorithms, eliminating any subjectivity from the daily process. To accomplish this, it converts ideas like "diversified portfolio" and "minimal correlation" into quantitative statements and optimization procedures that can be explicitly (back-) tested and simulated. The result is a unique quantitative fund with roughly 0 historical correlation to equity and fixed income benchmarks while producing consistently positive net excess returns (above 3 month t-bills) with stable volatility. In addition, the unique strategy offered by Series A demonstrates a low correlation to the managed futures asset class. The transparent strategy offers both a fund structure as well as separate accounts which can provide up to daily liqudity.Investment StrategyThe Global Domain Vector Fund Series A is a systematic medium-term signal generating strategy that trades FX, Equity Indices and Commodities market sectors using futures contracts. The Strategy uses a combination of over 1,500 indicators and 500 proprietary indicators from which multiple models are generated each day, with a limited life span, to collectively produce a buy or sell decision for each market traded. This allows the Strategy to adapt and respond to constantly changing market environments. 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 -14.60 25 - 8/1/2011 9/1/2013 -8.71 10 3 10/1/2007 8/1/2008 -6.38 2 2 6/1/2007 8/1/2007 -6.12 2 7 4/1/2006 6/1/2006 -4.62 2 5 12/1/2009 2/1/2010 -4.07 5 5 1/1/2009 6/1/2009 -3.00 2 1 4/1/2011 6/1/2011 -1.97 1 1 10/1/2010 11/1/2010 -1.03 2 1 1/1/2007 3/1/2007 -0.31 1 1 12/1/2010 1/1/2011 -0.20 1 1 7/1/2010 8/1/2010 -0.17 1 1 11/1/2008 12/1/2008 Show More Consecutive Gains Run-up Length (Mos.) Start End 11.38 4 1/1/2006 4/1/2006 9.98 2 9/1/2007 10/1/2007 9.66 3 9/1/2008 11/1/2008 5.86 4 2/1/2008 5/1/2008 5.54 2 7/1/2011 8/1/2011 5.13 4 10/1/2006 1/1/2007 5.08 3 2/1/2011 4/1/2011 4.71 2 9/1/2010 10/1/2010 4.02 3 4/1/2007 6/1/2007 3.74 3 7/1/2009 9/1/2009 3.64 3 3/1/2010 5/1/2010 3.36 2 7/1/2006 8/1/2006 3.17 2 1/1/2012 2/1/2012 3.16 1 12/1/2010 12/1/2010 2.51 1 7/1/2010 7/1/2010 2.22 3 12/1/2012 2/1/2013 2.14 2 1/1/2014 2/1/2014 2.13 2 7/1/2012 8/1/2012 2.08 1 1/1/2009 1/1/2009 1.85 1 11/1/2011 11/1/2011 1.44 1 10/1/2013 10/1/2013 1.34 2 11/1/2009 12/1/2009 1.11 1 4/1/2012 4/1/2012 0.80 1 8/1/2013 8/1/2013 0.67 1 3/1/2009 3/1/2009 0.10 1 5/1/2009 5/1/2009 0.06 1 4/1/2014 4/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -7.49 3 6/1/2008 8/1/2008 -6.78 3 11/1/2007 1/1/2008 -6.38 2 7/1/2007 8/1/2007 -6.12 2 5/1/2006 6/1/2006 -6.03 2 9/1/2011 10/1/2011 -5.55 2 5/1/2012 6/1/2012 -4.80 5 3/1/2013 7/1/2013 -4.62 2 1/1/2010 2/1/2010 -3.98 3 9/1/2012 11/1/2012 -3.00 2 5/1/2011 6/1/2011 -2.89 1 9/1/2013 9/1/2013 -2.55 1 12/1/2011 12/1/2011 -1.97 1 11/1/2010 11/1/2010 -1.75 1 6/1/2009 6/1/2009 -1.72 1 4/1/2009 4/1/2009 -1.41 1 2/1/2009 2/1/2009 -1.34 1 3/1/2014 3/1/2014 -1.12 1 9/1/2006 9/1/2006 -1.03 2 2/1/2007 3/1/2007 -0.99 2 11/1/2013 12/1/2013 -0.72 1 6/1/2010 6/1/2010 -0.60 1 10/1/2009 10/1/2009 -0.54 1 3/1/2012 3/1/2012 -0.31 1 1/1/2011 1/1/2011 -0.20 1 8/1/2010 8/1/2010 -0.17 1 12/1/2008 12/1/2008 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods100.0098.0095.0089.0083.0077.0065.0053.0041.00 Percent Profitable56.0064.2953.6864.0471.0875.3284.6294.3495.12 Average Period Return0.210.580.931.943.004.167.9111.0913.97 Average Gain1.702.623.905.316.497.7810.4211.8714.71 Average Loss-1.70-3.09-2.50-4.07-5.59-6.88-5.86-1.98-0.44 Best Period6.309.6610.1713.5619.5417.4927.7328.2430.52 Worst Period-5.50-7.49-6.66-7.18-10.78-12.16-11.46-2.21-0.46 Standard Deviation2.163.393.875.586.687.537.687.049.25 Gain Standard Deviation1.342.062.503.884.124.135.166.448.87 Loss Standard Deviation1.341.851.731.722.853.763.320.210.03 Sharpe Ratio (1%)0.060.100.110.170.220.290.641.000.96 Average Gain / Average Loss1.000.851.561.301.161.131.786.0133.16 Profit / Loss Ratio1.281.521.812.322.853.459.79100.17646.63 Downside Deviation (10%)1.652.823.635.817.769.5210.7812.5416.43 Downside Deviation (5%)1.472.282.353.214.114.793.701.681.84 Downside Deviation (0%)1.432.152.062.643.363.872.610.470.10 Sortino Ratio (10%)-0.12-0.23-0.42-0.53-0.59-0.64-0.73-0.83-0.83 Sortino Ratio (5%)0.080.140.190.290.360.451.324.184.81 Sortino Ratio (0%)0.140.270.450.730.891.073.0423.51142.46 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