Global Wealth Analytics, Inc. : Delta Arbitrage

archived programs
Year-to-Date
N / A
Feb Performance
-1.12%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
4.85%
Sharpe (RFR=1%)
-0.01
CAROR
-
Assets
$ 2.2M
Worst DD
-5.71
S&P Correlation
-0.23

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
9/2016
Delta Arbitrage -1.12 - - - -5.68 - - 1.29
S&P 500 -3.89 - - - 27.65 - - 59.79
+/- S&P 500 2.77 - - - -33.33 - - -58.50

Strategy Description

Summary

Market neutral program that balances long and short positions as a hedge with the goal to extract profits derived from delta differentials that occur during the intra-week movement (SHORT TERM HOLD) Trades deep liquid options and futures markets to enhance capacity, liquidity, and... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 0%
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 QEP
Lock-up Period 0

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 20%
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%
Strategy Pie Chart

Composition

Summary

Market neutral program that balances long and short positions as a hedge with the goal to extract profits derived from delta differentials that occur during the intra-week movement (SHORT TERM HOLD) Trades deep liquid options and futures markets to enhance capacity, liquidity, and gain precision price execution. Markets traded thus far are crude oil, natural gas, euro, treasury bonds, treasury notes, SP 500, and gold. 20% currency, inter rates, metals, and stock indicies

   

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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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
-5.71 7 - 7/1/2017 2/1/2018
-0.84 1 2 12/1/2016 1/1/2017
-0.41 2 1 4/1/2017 6/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
7.01 4 9/1/2016 12/1/2016
1.22 3 2/1/2017 4/1/2017
0.43 1 7/1/2017 7/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.71 7 8/1/2017 2/1/2018
-0.84 1 1/1/2017 1/1/2017
-0.41 2 5/1/2017 6/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable44.4462.5046.1542.86
Average Period Return0.080.080.040.16
Average Gain1.071.593.064.87
Average Loss-0.71-2.45-2.54-3.38
Best Period4.686.216.727.39
Worst Period-1.92-3.90-5.68-5.09
Standard Deviation1.402.823.775.00
Gain Standard Deviation1.512.302.793.61
Loss Standard Deviation0.601.422.241.56
Sharpe Ratio (1%)0.00-0.06-0.12-0.17
Average Gain / Average Loss1.510.651.201.44
Profit / Loss Ratio1.201.091.031.08
Downside Deviation (10%)0.942.454.046.61
Downside Deviation (5%)0.731.832.703.46
Downside Deviation (0%)0.681.692.412.75
Sortino Ratio (10%)-0.35-0.47-0.60-0.73
Sortino Ratio (5%)0.00-0.09-0.17-0.24
Sortino Ratio (0%)0.120.050.020.06

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.