Global Domain Partners, LLC : Global Domain Vector Fund - Series Sigma

archived programs
Year-to-Date
N / A
Jan Performance
8.64%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
12.75%
Sharpe (RFR=0.50%)
0.23
CAROR
2.68%
Assets
$ 1.9M
Worst DD
-23.51
S&P Correlation
0.20

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
4/2009
Global Domain Vector Fund - Series Sigma 8.64 11.53 - 7.83 -5.18 20.80 - 16.66
S&P 500 -3.10 -1.14 - 11.92 52.01 85.74 - 128.53
+/- S&P 500 11.74 12.67 - -4.09 -57.19 -64.94 - -111.87

Strategy Description

Summary

The goal of Series Sigma 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
N/A
Worst Peak-to-Trough
13.70%
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%
Strategy Pie Chart

Composition

Stock Indices
24.00%
Currency Futures
24.00%
Energy
18.00%
Livestock
9.00%
Grains
9.00%
Softs
7.00%
Industrial Metals
5.00%
Precious Metals
4.00%
Composition Pie Chart

Summary

The goal of Series Sigma 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 consistenly positive net excess returns (above 3 month t-bills) with stable volatility. In addition, the unique strategy offered by Sigma 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 Strategy

The Global Domain Vector Fund Series Sigma is a systematic medium-term signal generating strategy that trades FX, Equity Indices and Commodities market sectors using future 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.

   

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=0.50%)
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=0.50%)
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
-23.51 25 - 8/1/2011 9/1/2013
-8.77 2 5 12/1/2009 2/1/2010
-6.94 3 3 1/1/0001 6/1/2009
-5.50 2 1 4/1/2011 6/1/2011
-4.04 1 1 10/1/2010 11/1/2010
-1.09 1 1 9/1/2009 10/1/2009
-0.26 1 1 7/1/2010 8/1/2010
-0.11 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
11.56 2 7/1/2011 8/1/2011
11.53 3 11/1/2014 1/1/2015
10.46 3 2/1/2011 4/1/2011
10.09 2 9/1/2010 10/1/2010
8.60 3 7/1/2009 9/1/2009
7.37 3 3/1/2010 5/1/2010
6.84 2 1/1/2012 2/1/2012
6.29 1 12/1/2010 12/1/2010
5.43 3 12/1/2012 2/1/2013
4.85 1 7/1/2010 7/1/2010
4.54 2 7/1/2012 8/1/2012
3.93 1 11/1/2011 11/1/2011
3.67 2 8/1/2014 9/1/2014
3.38 2 4/1/2014 5/1/2014
2.81 1 10/1/2013 10/1/2013
2.75 1 1/1/2014 1/1/2014
2.57 2 11/1/2009 12/1/2009
2.17 1 4/1/2012 4/1/2012
1.74 1 8/1/2013 8/1/2013
0.32 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.46 2 9/1/2011 10/1/2011
-10.95 2 5/1/2012 6/1/2012
-8.77 2 1/1/2010 2/1/2010
-7.68 5 3/1/2013 7/1/2013
-7.40 3 9/1/2012 11/1/2012
-5.50 2 5/1/2011 6/1/2011
-5.18 1 9/1/2013 9/1/2013
-4.92 1 12/1/2011 12/1/2011
-4.04 1 11/1/2010 11/1/2010
-3.96 1 4/1/2009 4/1/2009
-3.67 2 2/1/2014 3/1/2014
-3.46 2 6/1/2014 7/1/2014
-3.41 1 6/1/2009 6/1/2009
-3.01 1 10/1/2014 10/1/2014
-1.34 2 11/1/2013 12/1/2013
-1.09 1 10/1/2009 10/1/2009
-1.08 1 6/1/2010 6/1/2010
-1.06 1 3/1/2012 3/1/2012
-0.26 1 8/1/2010 8/1/2010
-0.11 1 1/1/2011 1/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable52.8661.7649.2347.4645.2844.6851.4378.26
Average Period Return0.290.701.322.463.874.503.056.61
Average Gain2.964.267.3212.5019.2322.0717.159.65
Average Loss-2.79-5.05-4.50-6.60-8.85-9.69-11.87-4.37
Best Period10.0211.8517.4330.6245.0841.6733.5321.14
Worst Period-10.79-10.22-12.41-12.03-17.30-19.60-22.77-8.56
Standard Deviation3.685.477.4411.8216.0518.2616.218.51
Gain Standard Deviation2.353.065.569.4910.5411.697.956.72
Loss Standard Deviation2.333.043.133.204.145.965.573.70
Sharpe Ratio (1%)0.060.080.110.120.150.140.000.30
Average Gain / Average Loss1.060.841.631.892.172.281.442.21
Profit / Loss Ratio1.221.361.581.711.801.841.537.96
Downside Deviation (10%)2.664.305.468.7512.5915.6019.9117.10
Downside Deviation (5%)2.493.764.185.968.239.7311.054.38
Downside Deviation (0%)2.443.633.885.307.208.429.092.56
Sortino Ratio (10%)-0.05-0.12-0.21-0.29-0.30-0.37-0.64-0.87
Sortino Ratio (5%)0.080.120.200.250.290.260.000.58
Sortino Ratio (0%)0.120.190.340.460.540.530.342.58

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.