Global Wealth Analytics, Inc. : Global Wealth Class B

archived programs
Year-to-Date
N / A
Jul Performance
4.80%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
46.52%
Sharpe (RFR=1%)
0.44
CAROR
11.79%
Assets
$ 840k
Worst DD
-44.75
S&P Correlation
0.03

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
7/2005
Global Wealth Class B 4.80 - - - - - -37.05 96.98
S&P 500 -2.15 - - - - - 6.69 162.21
+/- S&P 500 6.95 - - - - - -43.73 -65.23

Strategy Description

Summary

Fully systematic program consists of 5 computer models utilizing a core methodology called directional acceleration. Directional acceleration is an original and proprietary method of calculating directionality that is weighted by changes in market speed. The program focuses in on market... Read More

Account & Fees

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

Subscriptions

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

Trading

Trading Frequency 2000 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 20.00%
1-3 Months 60.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Softs
26.00%
Grains
20.00%
Precious Metals
11.00%
Currency Futures
10.00%
Industrial Metals
10.00%
Energy
8.00%
Interest Rates
8.00%
Stock Indices
5.00%
Livestock
2.00%
Composition Pie Chart

Summary

Fully systematic program consists of 5 computer models utilizing a core methodology called directional acceleration. Directional acceleration is an original and proprietary method of calculating directionality that is weighted by changes in market speed. The program focuses in on market dynamics that normally precede a trend by identifying significant disruptions in the market equilibrium. When equilibrium is broken it takes positions based on the new directional flow of the market. The program trades currencies, energies, indices, financials, metals, foods, grains, meats, wood and fibers both foreign and domestic.

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 2-3% per market group with exception for agricultural markets. Agricultural markets may have significant non-correlation among individual markets in which individual market exposure can range from 1-3%.

   

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=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
-44.75 4 - 2/1/2011 6/1/2011
-43.11 5 3 2/1/2008 7/1/2008
-36.61 6 4 12/1/2009 6/1/2010
-16.53 1 4 5/1/2009 6/1/2009
-13.28 3 2 12/1/2008 3/1/2009
-9.98 4 2 11/1/2006 3/1/2007
-9.84 5 3 6/1/2007 11/1/2007
-4.80 1 1 9/1/2006 10/1/2006
-4.45 1 1 1/1/2006 2/1/2006
-3.91 2 1 1/1/0001 8/1/2005
-3.17 2 1 6/1/2006 8/1/2006
-2.54 1 1 10/1/2010 11/1/2010
-0.08 1 1 4/1/2006 5/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
103.90 5 8/1/2008 12/1/2008
69.63 4 7/1/2010 10/1/2010
64.40 1 2/1/2008 2/1/2008
24.36 2 4/1/2009 5/1/2009
23.93 5 9/1/2005 1/1/2006
22.70 2 5/1/2008 6/1/2008
16.40 2 7/1/2009 8/1/2009
14.70 3 10/1/2009 12/1/2009
14.41 3 4/1/2007 6/1/2007
11.92 2 3/1/2010 4/1/2010
11.56 3 12/1/2010 2/1/2011
8.10 2 3/1/2006 4/1/2006
6.60 1 11/1/2006 11/1/2006
5.61 1 6/1/2006 6/1/2006
4.85 1 9/1/2006 9/1/2006
4.84 1 12/1/2007 12/1/2007
4.80 1 7/1/2011 7/1/2011
3.01 1 4/1/2011 4/1/2011
0.51 1 8/1/2007 8/1/2007
0.36 1 10/1/2007 10/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-42.70 2 5/1/2011 6/1/2011
-38.58 2 3/1/2008 4/1/2008
-32.83 2 5/1/2010 6/1/2010
-24.51 1 7/1/2008 7/1/2008
-16.53 1 6/1/2009 6/1/2009
-15.68 2 1/1/2010 2/1/2010
-13.28 3 1/1/2009 3/1/2009
-9.98 4 12/1/2006 3/1/2007
-6.40 1 3/1/2011 3/1/2011
-4.90 1 11/1/2007 11/1/2007
-4.82 1 7/1/2007 7/1/2007
-4.80 1 10/1/2006 10/1/2006
-4.45 1 2/1/2006 2/1/2006
-3.91 2 7/1/2005 8/1/2005
-3.17 2 7/1/2006 8/1/2006
-2.54 1 11/1/2010 11/1/2010
-1.62 1 1/1/2008 1/1/2008
-1.25 1 9/1/2007 9/1/2007
-0.88 1 9/1/2009 9/1/2009
-0.08 1 5/1/2006 5/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable57.5363.3875.0080.6585.7192.00100.00100.00
Average Period Return1.785.2611.8822.9335.5351.8996.26122.60
Average Gain8.9214.8821.0030.1643.9157.3996.26122.60
Average Loss-7.89-11.39-15.47-7.20-14.72-11.32
Best Period64.4090.9898.46106.19123.77133.64162.50166.36
Worst Period-36.31-40.97-42.80-18.53-35.41-20.2618.4336.46
Standard Deviation13.4321.2327.0529.7838.7038.8035.1640.82
Gain Standard Deviation11.4719.1423.9228.6335.0235.3535.1640.82
Loss Standard Deviation9.2112.7314.736.2312.707.39
Sharpe Ratio (1%)0.130.240.420.740.881.292.652.90
Average Gain / Average Loss1.131.311.364.192.985.07
Profit / Loss Ratio1.532.264.0717.4517.9058.30
Downside Deviation (10%)8.0110.7411.476.029.746.42
Downside Deviation (5%)7.8710.3310.714.467.604.18
Downside Deviation (0%)7.8310.2310.534.117.153.68
Sortino Ratio (10%)0.170.380.822.982.876.49
Sortino Ratio (5%)0.220.491.064.924.4811.93
Sortino Ratio (0%)0.230.511.135.584.9714.11

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.