Global Vista Advisors, LLC : Global Vista Indexes ("GVI")

archived programs
Year-to-Date
N / A
Jan Performance
-0.89%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.27%
Sharpe (RFR=1%)
0.32
CAROR
3.55%
Assets
$ 50k
Worst DD
-11.93
S&P Correlation
-0.21

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
1/2014
Global Vista Indexes ("GVI") -0.89 -2.49 - -2.29 5.33 - - 11.37
S&P 500 1.79 7.18 - 17.45 27.84 - - 27.84
+/- S&P 500 -2.68 -9.67 - -19.74 -22.51 - - -16.47

Strategy Description

Summary

The Global Vista Indexes (“GVI”) program seeks to maximize risk adjusted investment returns by extracting THETA (time value) from S&P 500 futures options. The program was designed with the objective of achieving top quartile, risk adjusted absolute returns, which are uncorrelated to... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10k
Trading Level Incremental Increase
$ 10k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$20.00
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
4800 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index 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

Stock Indices
100.00%
Composition Pie Chart

Summary

The Global Vista Indexes (“GVI”) program seeks to maximize risk adjusted investment returns by extracting THETA (time value) from S&P 500 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

GVI generates alpha both from volatility and market direction by selling covered options (skewed iron-condors) on the S&P 500 index futures with a typical maturity of 3 months. The strike prices are systematically calculated by a proprietary algorithm that provides the most probable price range for the S&P 500 index. The decision-making process is hybrid systematic / discretionary, where positions are constructed systematically but the exact timing of every new trade is discretionary. GVI attempts to predict the medium-term trading range of the S&P 500 index for a period of 3 months and NOT the exact price levels of the index, 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: 10%).

   

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
-11.93 4 - 7/1/2014 11/1/2014
-2.17 1 1 5/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
21.83 5 1/1/2014 5/1/2014
6.65 5 5/1/2015 9/1/2015
4.54 4 12/1/2014 3/1/2015
3.73 2 11/1/2015 12/1/2015
2.70 1 7/1/2014 7/1/2014
1.52 2 4/1/2016 5/1/2016
1.18 1 9/1/2014 9/1/2014
1.03 3 9/1/2016 11/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.80 2 10/1/2014 11/1/2014
-7.55 3 1/1/2016 3/1/2016
-4.56 1 8/1/2014 8/1/2014
-2.58 2 12/1/2016 1/1/2017
-2.47 1 10/1/2015 10/1/2015
-2.17 1 6/1/2014 6/1/2014
-0.59 3 6/1/2016 8/1/2016
-0.26 1 4/1/2015 4/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable62.1654.2953.1346.1565.0042.86
Average Period Return0.330.660.38-0.181.440.63
Average Gain1.803.895.214.104.346.99
Average Loss-2.25-3.17-5.10-3.85-3.94-4.13
Best Period6.3115.0819.1911.4713.6821.28
Worst Period-6.54-9.75-11.52-7.44-6.89-7.39
Standard Deviation2.675.176.745.045.207.55
Gain Standard Deviation1.724.165.113.863.877.47
Loss Standard Deviation2.173.323.202.201.892.32
Sharpe Ratio (1%)0.090.08-0.02-0.23-0.01-0.18
Average Gain / Average Loss0.801.221.021.061.101.69
Profit / Loss Ratio1.411.451.160.912.051.27
Downside Deviation (10%)2.013.695.646.967.8211.69
Downside Deviation (5%)1.863.184.383.893.394.95
Downside Deviation (0%)1.823.064.083.232.553.53
Sortino Ratio (10%)-0.04-0.15-0.37-0.74-0.79-0.82
Sortino Ratio (5%)0.130.13-0.03-0.30-0.02-0.28
Sortino Ratio (0%)0.180.220.09-0.060.570.18

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 2 1.45 4/2016
Option Strategy Index Month 3 1.45 4/2016
Systematic Trader Index Month 9 3.20 12/2015
Stock Index Trader Index Month 2 3.20 12/2015
Discretionary Trader Index Month 3 3.20 12/2015
Option Strategy Index Month 1 3.20 12/2015

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