Global Vista Advisors, LLC : Global Vista Currencies ("GVC")

archived programs
Year-to-Date
N / A
Aug Performance
-0.23%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.48%
Sharpe (RFR=1%)
-0.77
CAROR
-
Assets
$ 0k
Worst DD
-6.34
S&P Correlation
0.53

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
5/2014
Global Vista Currencies ("GVC") -0.23 - - - - - - -2.74
S&P 500 3.77 - - - - - - 68.27
+/- S&P 500 -4.00 - - - - - - -71.00

Strategy Description

Summary

The Global Vista Currencies (“GVC”) program seeks to maximize risk adjusted investment returns by extracting THETA (time value) from currencies futures options. The program was designed with the objective of achieving top quartile, risk adjusted absolute returns, which are uncorrelated... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $22.00
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 7200 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

The Global Vista Currencies (“GVC”) program seeks to maximize risk adjusted investment returns by extracting THETA (time value) from currencies futures options. The program was designed with the objective of achieving top quartile, risk adjusted absolute returns, which are uncorrelated to CTA, Equity, Bond, and Hedge Fund indices, while providing value-added diversification to portfolios consisting of traditional assets.

Investment Strategy

GVC generates alpha by selling covered options (skewed iron-condors) on three currencies futures with a typical maturity of 4 months. The currencies pairs employed are the least correlated between AUD, CAD, CHF, EUR, GBP and JPY with equal allocation to each one. The strike prices are systematically calculated by a proprietary algorithm that provides the most probable price range for the underlying future contracts. The decision-making process is hybrid systematic/discretionary, where positions are constructed systematically but the exact timing of every new trade is discretionary, depending on market fundamentals and technical analysis. GVC attempts to predict the medium-term trading range of the selected currencies futures for a period of 4 months and NOT the exact price levels, and so relies less on timing the market and direction.

Risk Management

Portfolio rebalancing is always made at least 30 days before the options’ expiration to minimize portfolio risk. Portfolio risk is also constrained by the low leverage employed (average margin/equity: 15%).

   

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
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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
-6.34 3 - 5/1/2014 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
3.85 1 5/1/2014 5/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.34 3 6/1/2014 8/1/2014
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Time Windows Analysis

 1 Month
Number of Periods4.00
Percent Profitable25.00
Average Period Return-0.65
Average Gain3.85
Average Loss-2.15
Best Period3.85
Worst Period-3.57
Standard Deviation3.31
Gain Standard Deviation
Loss Standard Deviation1.73
Sharpe Ratio (1%)-0.22
Average Gain / Average Loss1.79
Profit / Loss Ratio0.60
Downside Deviation (10%)2.53
Downside Deviation (5%)2.29
Downside Deviation (0%)2.23
Sortino Ratio (10%)-0.42
Sortino Ratio (5%)-0.32
Sortino Ratio (0%)-0.29

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.