Global Wealth Analytics, Inc. : ALPHA Program

archived programs
Year-to-Date
N / A
Oct Performance
-6.55%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.30%
Sharpe (RFR=1%)
-0.63
CAROR
-
Assets
$ 1.5M
Worst DD
-8.22
S&P Correlation
0.41

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2011
ALPHA Program -6.55 -6.61 - -7.20 - - - -5.60
S&P 500 -1.98 2.38 - 12.67 - - - 12.67
+/- S&P 500 -4.57 -8.99 - -19.86 - - - -18.27

Strategy Description

Summary

Strategy- Fully systematic pattern recognition program that captures short-term 1 to 7 day trend and counter trend movements. The driving technology comes from the blending of our original class b directional acceleration methodology with the mean reversion and short term momentum... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
8000 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Softs
30.00%
Grains
20.00%
Energy
15.00%
Precious Metals
15.00%
Livestock
10.00%
Currency Futures
5.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

Strategy- Fully systematic pattern recognition program that captures short-term 1 to 7 day trend and counter trend movements. The driving technology comes from the blending of our original class b directional acceleration methodology with the mean reversion and short term momentum trading style from our STP program. We have removed the beta components of each strategy and only trade during preferred market environments. Utilizing only the alpha components of each program, we only execute trades that meet a much more stringent risk to reward ratio standard then the stand alone class b and STP programs.

Investment Strategy

“Alpha” is a hybrid program of Global Wealth Class B and STP. It attempts to remove the beta component of each program and capture just the alpha. The result is that the program only trades on a select basis, usually under perceived optimal risk-reward conditions in preferred market environments. The average hold period will be approximately 7 days. Minimum Nominal Investment is $200,000, including up to $100,000 in notional funds. (Minimum investment and or larger notional funding exceptions can be made on a case by case basis with permission from Global Wealth Analytics, Inc.). Execution of the programs will rely solely upon the judgment and expertise of Global Wealth Analytics, Inc. The trading approach used is the evolutionary product of Mr. Stanley’s 14 plus years of research and experience in the futures industry. Global Wealth Analytics, Inc uses several proprietary computer programs to develop entry and exit signals for trading in order to profit from predicted price movements over predetermined time-periods. Each program reserves the right to trade any commodity futures markets at its sole discretion. Trades are entered with pre-determined loss targets. On occasion, trades will be exited when the market behaves disorderly or different from expectations. A variety of computer generated parameters (trend strength, momentum indicators, volume/open interest calculations) graphic tools and chart interpretation are also employed for market timing. However, it should be noted that trade initiation is at the sole discretion of Global Wealth Analytics, Inc. The strategy attempts to detect trends in price movements for the commodity interests monitored, and normally seeks to establish and maintain such positions while the particular market moves in favor of the position and to exit markets and/or establish reverse positions when the favorable trend either reverses or does not materialize.

Risk Management

Strict risk parameters are used to allocate defined amounts of capital to each market based on current market correlation and volatility. The targeted amount of leverage for this program is to risk 1% per market group.

   

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
-8.22 4 - 6/1/2012 10/1/2012
-2.90 1 2 3/1/2012 4/1/2012
-1.43 2 2 11/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
3.28 1 9/1/2012 9/1/2012
3.06 2 5/1/2012 6/1/2012
2.39 2 2/1/2012 3/1/2012
1.84 2 10/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.55 1 10/1/2012 10/1/2012
-4.90 2 7/1/2012 8/1/2012
-2.90 1 4/1/2012 4/1/2012
-1.43 2 12/1/2011 1/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods13.0011.008.00
Percent Profitable53.8536.3637.50
Average Period Return-0.41-0.92-1.12
Average Gain1.511.031.73
Average Loss-2.64-2.04-2.83
Best Period3.281.642.78
Worst Period-6.55-6.61-5.41
Standard Deviation2.682.312.75
Gain Standard Deviation1.070.681.04
Loss Standard Deviation2.192.161.71
Sharpe Ratio (1%)-0.18-0.51-0.59
Average Gain / Average Loss0.570.500.61
Profit / Loss Ratio0.660.290.37
Downside Deviation (10%)2.483.084.42
Downside Deviation (5%)2.302.432.90
Downside Deviation (0%)2.252.282.55
Sortino Ratio (10%)-0.33-0.70-0.81
Sortino Ratio (5%)-0.21-0.48-0.56
Sortino Ratio (0%)-0.18-0.41-0.44

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.