Global Wealth Analytics, Inc. : Arbitrage Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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=1%) -0.62 CAROR - Assets $ 4.8M Worst DD -5.54 S&P Correlation -0.13 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since3/2012 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 SummaryFully 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 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% Composition SummaryFully 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 ManagementStrict 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -5.54 4 - 6/1/2012 10/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 4.12 4 3/1/2012 6/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -5.54 4 7/1/2012 10/1/2012 Show More 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. x {{title}} x {{title}} Add Cancel