Global Vista Advisors, LLC : Global Vista Options ("GVO")

archived programs
Year-to-Date
N / A
Jan Performance
5.73%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
30.00%
Sharpe (RFR=1%)
-0.01
CAROR
-3.77%
Assets
$ 50k
Worst DD
-71.08
S&P Correlation
0.22

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
10/2010
Global Vista Options ("GVO") 5.73 1.53 - 12.30 -58.18 -61.80 - -21.58
S&P 500 1.79 7.18 - 17.45 27.84 73.64 - 92.56
+/- S&P 500 3.94 -5.65 - -5.15 -86.02 -135.44 - -114.14

Strategy Description

Summary

The Global Vista Options (“GVO”) program seeks to maximize investment returns by extracting THETA (time value) from futures options in a diversified market portfolio. 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
$ 50k
Trading Level Incremental Increase
$ 25k
CTA Max Funding Factor
1.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$22.00
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
8500 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
20.00%
1-3 Months
80.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Precious Metals
20.00%
Energy
20.00%
Currency Futures
10.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

The Global Vista Options (“GVO”) program seeks to maximize investment returns by extracting THETA (time value) from futures options in a diversified market portfolio. 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

"The Global Vista Managed Futures/CTA strategy program aims to achieve non-correlated returns by extracting THETA from futures options in a diversified market portfolio. The strategy is based on selling (writing) options. The maturity of the options is 2-5 months. A proprietary trading system which was designed as a risk management tool, signals at any given time during the trading hours the option offering the highest probability of expiring worthless with the highest premium attached (risk-return analysis). The market volatility determines the contract size (quota) and the market distance. Both technical and fundamental aspects are evaluated. The aims of the Investment Manager and the strategy are to maintain an average margin allocation of 50% of the fund's total assets. Margin allocation is a critical aspect of the funds risk control and position management procedures. Most positions are covered (vertical credit spreads and calendar spreads) but by using liquid products, deep out of the money strikes and tight exit rules, some strangles and naked positions are also included to enhance performance. Extra deep out of the money long positions (especially puts) are used to mitigate risk and reduce drawdowns during extremely volatile periods and market meltdowns. If conditions prevail synthetic long positions may also be taken. Diversification among different categories such as energies, metals, grains, softs, meats, currencies, GVO generates alpha both from volatility and market direction by selling covered options contracts (no naked) with a typical maturity of 2-5 months. It employs a hybrid systematic / discretionary decision-making process, while using strict proprietary systematic Risk Management procedures, based on a Three-Tier approach. GVO attempts to predict where the market will NOT go rather than WHERE and WHEN it will go, and rely less on timing the market and direction.

Risk Management

Strict use of risk management (RM) procedures developed by our research team. A Three-Tier RM approach is applied :

1st-Tier (position level):
Position risk is monitored on real time basis and software generated alerts & triggers lead to the activation of exit signals (stop loss that limit position risk to 2%-4% of portfolio’s valuation. Please note that there is no guarantee that any stop loss order will be executed at the stop price. Therefore, there can be no guarantee that placing a stop order will limit losses or protect profits. 2nd-Tier (position level)
Each position has an initially defined maximum risk limit (vertical spreads instead of naked positions) Limits portfolio drawdowns due to improbable ‘price gaps’ of a single underline asset to acceptable predefined levels (10%-20%)
3rd-Tier (portfolio level)
Specially designed extra hedges (calendar, back ratio spreads and synthetic puts) are always present to mitigate volatility spikes and markets’ meltdowns (“black swan” events)

   

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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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:
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Sharpe Ratio: (RF=1%)
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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
-71.08 45 - 2/1/2013 11/1/2016
-26.79 3 4 4/1/2012 7/1/2012
-14.24 1 1 8/1/2011 9/1/2011
-7.19 2 1 1/1/0001 11/1/2010
-4.28 1 1 3/1/2011 4/1/2011
-2.57 1 1 11/1/2011 12/1/2011
-2.48 1 1 11/1/2012 12/1/2012
-2.37 1 1 5/1/2011 6/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
49.87 4 12/1/2010 3/1/2011
36.59 4 8/1/2012 11/1/2012
29.51 2 7/1/2011 8/1/2011
21.77 2 10/1/2011 11/1/2011
21.13 4 1/1/2012 4/1/2012
14.62 2 12/1/2016 1/1/2017
12.41 1 12/1/2013 12/1/2013
10.55 2 3/1/2014 4/1/2014
10.45 2 1/1/2013 2/1/2013
9.25 1 9/1/2013 9/1/2013
8.76 1 2/1/2015 2/1/2015
8.45 3 2/1/2016 4/1/2016
7.79 1 6/1/2015 6/1/2015
5.88 1 5/1/2011 5/1/2011
5.67 1 9/1/2015 9/1/2015
4.44 1 7/1/2016 7/1/2016
2.82 2 11/1/2015 12/1/2015
2.32 1 11/1/2014 11/1/2014
1.75 2 9/1/2016 10/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.75 6 5/1/2014 10/1/2014
-32.49 2 1/1/2014 2/1/2014
-28.62 6 3/1/2013 8/1/2013
-26.79 3 5/1/2012 7/1/2012
-16.22 1 1/1/2016 1/1/2016
-15.73 2 7/1/2015 8/1/2015
-14.61 2 12/1/2014 1/1/2015
-14.24 1 9/1/2011 9/1/2011
-11.42 1 11/1/2016 11/1/2016
-7.28 3 3/1/2015 5/1/2015
-7.19 2 10/1/2010 11/1/2010
-5.46 2 10/1/2013 11/1/2013
-4.28 1 4/1/2011 4/1/2011
-3.66 2 5/1/2016 6/1/2016
-2.57 1 12/1/2011 12/1/2011
-2.48 1 12/1/2012 12/1/2012
-2.37 1 6/1/2011 6/1/2011
-1.14 1 10/1/2015 10/1/2015
-0.38 1 8/1/2016 8/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods76.0074.0071.0065.0059.0053.0041.0029.00
Percent Profitable48.6851.3540.8533.8530.5124.5317.076.90
Average Period Return0.06-0.06-0.94-3.98-8.84-14.40-32.37-46.07
Average Gain6.7511.2920.8234.4748.1364.8854.7210.82
Average Loss-6.28-12.03-15.96-23.65-33.85-40.16-50.30-50.28
Best Period21.2346.1751.89100.55123.92136.7087.9414.76
Worst Period-29.40-28.67-36.32-54.82-55.83-63.69-70.28-68.86
Standard Deviation8.6614.8221.8634.2944.9051.3445.9222.50
Gain Standard Deviation5.5110.1315.3128.1436.7336.2736.675.57
Loss Standard Deviation5.867.909.4715.0215.7518.2819.2716.64
Sharpe Ratio (1%)0.00-0.02-0.07-0.15-0.23-0.32-0.77-2.23
Average Gain / Average Loss1.070.941.301.461.421.621.090.22
Profit / Loss Ratio1.020.990.900.750.620.520.220.02
Downside Deviation (10%)6.3410.7315.9026.2536.9046.5262.6571.14
Downside Deviation (5%)6.1610.1414.5623.4132.2039.8551.5554.75
Downside Deviation (0%)6.1210.0014.2322.7131.0638.2548.9651.01
Sortino Ratio (10%)-0.05-0.12-0.21-0.34-0.45-0.53-0.77-0.95
Sortino Ratio (5%)0.00-0.03-0.10-0.21-0.32-0.41-0.69-0.92
Sortino Ratio (0%)0.01-0.01-0.07-0.18-0.28-0.38-0.66-0.90

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 2 1.55 4/2016
Discretionary Trader Index Month 1 6.06 3/2016
Option Strategy Index Month 1 6.06 3/2016
IASG CTA Index Month 5 6.06 3/2016
Diversified Trader Index Month 7 6.06 3/2016
Systematic Trader Index Month 9 6.06 3/2016
Option Strategy Index Month 9 0.69 2/2016
Option Strategy Index Month 6 1.08 12/2015
Option Strategy Index Month 5 1.72 11/2015
Option Strategy Index Month 4 5.67 9/2015
Discretionary Trader Index Month 7 5.67 9/2015
Option Strategy Index Month 2 7.79 6/2015
Diversified Trader Index Month 3 7.79 6/2015
IASG CTA Index Month 4 7.79 6/2015
Systematic Trader Index Month 1 7.79 6/2015
Discretionary Trader Index Month 5 7.79 6/2015
Option Strategy Index Month 9 -0.46 7/2014
Diversified Trader Index Month 10 4.64 4/2014
Option Strategy Index Month 2 4.64 4/2014
Discretionary Trader Index Month 4 4.64 4/2014
Option Strategy Index Month 2 5.65 3/2014
Discretionary Trader Index Month 3 5.65 3/2014
Systematic Trader Index Month 7 5.65 3/2014
Diversified Trader Index Month 6 5.65 3/2014
IASG CTA Index Month 8 5.65 3/2014
IASG CTA Index Month 3 12.41 12/2013
Diversified Trader Index Month 2 12.41 12/2013
Systematic Trader Index Month 2 12.41 12/2013
Discretionary Trader Index Month 2 12.41 12/2013
Option Strategy Index Month 1 12.41 12/2013
Option Strategy Index Month 2 9.25 9/2013
Discretionary Trader Index Month 4 9.25 9/2013
Diversified Trader Index Month 3 9.25 9/2013
Systematic Trader Index Month 4 9.25 9/2013
IASG CTA Index Month 7 9.25 9/2013
Discretionary Trader Index Month 3 8.89 1/2013
Option Strategy Index Month 1 8.89 1/2013
Diversified Trader Index Month 10 8.89 1/2013
Option Strategy Index Month 1 11.90 11/2012
Discretionary Trader Index Month 1 11.90 11/2012
Systematic Trader Index Month 3 11.90 11/2012
IASG CTA Index Month 3 11.90 11/2012
Diversified Trader Index Month 3 11.90 11/2012
Diversified Trader Index Month 2 13.76 9/2012
Discretionary Trader Index Month 1 13.76 9/2012
IASG CTA Index Month 1 13.76 9/2012
Option Strategy Index Month 1 13.76 9/2012
Systematic Trader Index Month 2 13.76 9/2012
Option Strategy Index Month 8 4.84 8/2012
Systematic Trader Index Month 9 4.84 8/2012
Diversified Trader Index Month 9 4.84 8/2012
Discretionary Trader Index Month 2 13.21 1/2012
Diversified Trader Index Month 2 13.21 1/2012
Option Strategy Index Month 1 13.21 1/2012
Systematic Trader Index Month 3 13.21 1/2012
IASG CTA Index Month 4 13.21 1/2012
IASG CTA Index Year Rolling 6 61.18 2010 - 2011
Option Strategy Index Month 1 19.53 10/2011
IASG CTA Index Month 2 19.53 10/2011
Discretionary Trader Index Month 2 19.53 10/2011
Systematic Trader Index Month 1 19.53 10/2011
Diversified Trader Index Month 1 19.53 10/2011
Discretionary Trader Index Month 1 15.70 8/2011
Option Strategy Index Month 1 15.70 8/2011
Diversified Trader Index Month 6 15.70 8/2011
IASG CTA Index Month 10 15.70 8/2011
Systematic Trader Index Month 10 15.70 8/2011
Discretionary Trader Index Month 7 11.94 7/2011
Option Strategy Index Month 1 11.94 7/2011
Systematic Trader Index Month 7 5.88 5/2011
Discretionary Trader Index Month 6 5.88 5/2011
Diversified Trader Index Month 6 5.88 5/2011
Option Strategy Index Month 3 5.88 5/2011
Option Strategy Index Month 10 2.53 3/2011
Option Strategy Index Month 2 5.10 2/2011
Option Strategy Index Month 1 14.72 1/2011
Diversified Trader Index Month 1 14.72 1/2011
IASG CTA Index Month 1 14.72 1/2011
Systematic Trader Index Month 1 14.72 1/2011
Discretionary Trader Index Month 1 14.72 1/2011
Option Strategy Index Month 1 21.23 12/2010
Discretionary Trader Index Month 4 21.23 12/2010
Systematic Trader Index Month 5 21.23 12/2010
Diversified Trader Index Month 6 21.23 12/2010
IASG CTA Index Month 8 21.23 12/2010

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