Global Trend Capital Corp : Purus Index

archived programs
Year-to-Date
N / A
Dec Performance
-1.22%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
11.92%
Sharpe (RFR=1%)
-0.32
CAROR
-
Assets
$ 1.1M
Worst DD
-18.38
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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
3/2009
Purus Index -1.22 - - - - - -3.43 -6.10
S&P 500 6.53 - - - - - -4.74 334.17
+/- S&P 500 -7.75 - - - - - 1.31 -340.28

Strategy Description

Summary

Market conditions dictate frequency of strategies applied in index and currency markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 5.00%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 100.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Option-spreads
10.00%
Other
50.00%
Strategy Pie Chart

Composition

Currency Futures
50.00%
Stock Indices
50.00%
Composition Pie Chart

Summary

Market conditions dictate frequency of strategies applied in index and currency markets.

Investment Strategy

Dependent on market conditons. Momentum,mean reversion both applied.

Risk Management

Built into strategies.

   

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
-18.38 12 - 4/1/2009 4/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
9.21 1 7/1/2010 7/1/2010
8.65 2 3/1/2009 4/1/2009
2.44 2 10/1/2010 11/1/2010
2.07 1 5/1/2010 5/1/2010
1.21 1 6/1/2009 6/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.22 10 7/1/2009 4/1/2010
-5.36 2 8/1/2010 9/1/2010
-1.40 1 5/1/2009 5/1/2009
-1.22 1 12/1/2010 12/1/2010
-0.81 1 6/1/2010 6/1/2010
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods22.0020.0017.0011.00
Percent Profitable31.8235.0041.1818.18
Average Period Return-0.23-1.21-3.04-7.96
Average Gain3.365.414.571.64
Average Loss-1.90-4.78-8.36-10.09
Best Period9.2110.575.892.15
Worst Period-5.47-7.89-14.37-18.38
Standard Deviation3.445.667.447.05
Gain Standard Deviation3.473.621.660.72
Loss Standard Deviation1.792.174.505.82
Sharpe Ratio (1%)-0.09-0.26-0.47-1.27
Average Gain / Average Loss1.761.130.550.16
Profit / Loss Ratio0.820.610.380.04
Downside Deviation (10%)2.385.138.9314.60
Downside Deviation (5%)2.174.397.5411.19
Downside Deviation (0%)2.124.217.2010.39
Sortino Ratio (10%)-0.27-0.48-0.62-0.89
Sortino Ratio (5%)-0.14-0.33-0.47-0.80
Sortino Ratio (0%)-0.11-0.29-0.42-0.77

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.