Global Wealth Analytics, Inc. : Arbitrage Program

archived programs
Year-to-Date
N / A
Oct Performance
-0.29%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.42%
Sharpe (RFR=0.50%)
-0.53
CAROR
-
Assets
$ 4.8M
Worst DD
-5.54
S&P Correlation
-0.13

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
3/2012
Arbitrage Program -0.29 -4.36 - - - - - -1.64
S&P 500 -1.98 2.38 - - - - - 0.26
+/- S&P 500 1.69 -6.74 - - - - - -1.91

Strategy Description

Summary

Fully systematic statistical arbitrage program that captures medium term divergence anomalies and exploits short term inefficiencies among related markets. The program trades currencies, energies, indices, financials, metals, foods, grains, and meats on domestic futures exchanges.... Read More

Account & Fees

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

Subscriptions

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

Trading

Trading Frequency
0 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
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Summary

Fully systematic statistical arbitrage program that captures medium term divergence anomalies and exploits short term inefficiencies among related markets. The program trades currencies, energies, indices, financials, metals, foods, grains, and meats on domestic futures exchanges.

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 pair trade.

   

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=0.50%)
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=0.50%)
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
-5.54 4 - 6/1/2012 10/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
4.12 4 3/1/2012 6/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.54 4 7/1/2012 10/1/2012
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable50.0050.00
Average Period Return-0.20-0.64
Average Gain1.022.49
Average Loss-1.41-3.77
Best Period2.323.77
Worst Period-2.71-5.26
Standard Deviation1.573.69
Gain Standard Deviation0.901.11
Loss Standard Deviation1.001.86
Sharpe Ratio (1%)-0.18-0.24
Average Gain / Average Loss0.720.66
Profit / Loss Ratio0.720.66
Downside Deviation (10%)1.423.69
Downside Deviation (5%)1.223.04
Downside Deviation (0%)1.172.87
Sortino Ratio (10%)-0.42-0.51
Sortino Ratio (5%)-0.23-0.29
Sortino Ratio (0%)-0.17-0.22

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.