Global Wealth Analytics, Inc. : Global Wealth STP

archived programs
Year-to-Date
N / A
Dec Performance
1.92%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
27.05%
Sharpe (RFR=1%)
0.27
CAROR
4.90%
Assets
$ 1.5M
Worst DD
-14.57
S&P Correlation
-0.09

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
3/2009
Global Wealth STP 1.92 - - - - - -2.67 14.53
S&P 500 0.85 - - - - - 9.52 334.17
+/- S&P 500 1.07 - - - - - -12.19 -319.64

Strategy Description

Summary

Fully systematic pattern recognition program that captures short-term 1 to 2 day trend and counter trend movements. The STP program trades currencies, energies, indices, financials, metals, foods, grains, meats, wood and fibers both foreign and domestic futures markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
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 14000 RT/YR/$M
Avg. Margin-to-Equity 7%
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 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Stock Indices
12.00%
Currency Futures
11.00%
Industrial Metals
11.00%
Precious Metals
11.00%
Energy
11.00%
Grains
11.00%
Interest Rates
11.00%
Livestock
11.00%
Softs
11.00%
Composition Pie Chart

Summary

Fully systematic pattern recognition program that captures short-term 1 to 2 day trend and counter trend movements. The STP program trades currencies, energies, indices, financials, metals, foods, grains, meats, wood and fibers both foreign and domestic futures markets.

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. From time to time depending on the correlation among individual markets, individual market exposure can range from .25 to 1%.

   

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
-14.57 7 - 4/1/2011 11/1/2011
-14.36 2 2 1/1/0001 4/1/2009
-12.43 5 8 12/1/2009 5/1/2010
-10.98 2 2 6/1/2009 8/1/2009
-6.06 1 1 1/1/2011 2/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
33.19 4 9/1/2009 12/1/2009
25.28 2 5/1/2009 6/1/2009
16.49 2 12/1/2010 1/1/2011
13.79 1 6/1/2010 6/1/2010
6.66 2 3/1/2011 4/1/2011
5.08 1 9/1/2010 9/1/2010
3.84 2 7/1/2011 8/1/2011
3.14 2 3/1/2010 4/1/2010
1.92 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.36 2 3/1/2009 4/1/2009
-14.10 2 5/1/2011 6/1/2011
-11.29 2 1/1/2010 2/1/2010
-10.98 2 7/1/2009 8/1/2009
-8.86 2 10/1/2010 11/1/2010
-7.18 2 7/1/2010 8/1/2010
-6.06 1 2/1/2011 2/1/2011
-4.29 1 5/1/2010 5/1/2010
-4.23 3 9/1/2011 11/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods34.0032.0029.0023.0017.00
Percent Profitable50.0050.0062.0760.8770.59
Average Period Return0.682.744.658.5312.69
Average Gain6.2111.1111.4717.5920.73
Average Loss-4.84-5.63-6.50-5.57-6.61
Best Period21.8630.5038.7135.9143.86
Worst Period-14.05-13.96-13.75-10.87-11.18
Standard Deviation7.8111.3612.7414.2218.16
Gain Standard Deviation6.599.8211.1710.4215.33
Loss Standard Deviation4.174.544.713.463.73
Sharpe Ratio (1%)0.080.220.330.530.62
Average Gain / Average Loss1.281.971.763.163.14
Profit / Loss Ratio1.281.972.884.917.53
Downside Deviation (10%)4.695.776.196.968.32
Downside Deviation (5%)4.515.195.124.594.77
Downside Deviation (0%)4.465.054.874.044.01
Sortino Ratio (10%)0.060.260.350.510.61
Sortino Ratio (5%)0.130.480.811.642.34
Sortino Ratio (0%)0.150.540.962.113.16

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.