Global Wealth Analytics, Inc. : Systematic Program

archived programs
Year-to-Date
N / A
Jun Performance
-0.19%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.36%
Sharpe (RFR=1%)
-0.04
CAROR
-
Assets
$ 199k
Worst DD
-20.21
S&P Correlation
-0.37

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2013
Systematic Program -0.19 - - - - - - -1.90
S&P 500 1.91 - - - - - - 101.50
+/- S&P 500 -2.10 - - - - - - -103.40

Strategy Description

Investment Strategy

Fully systematic global macro program designed to capitalize on major global trends across all major market groups. The driving technology comes from the blending of our original class b directional acceleration methodology with the mean reversion and short term momentum... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
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 10%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 25.00%
1-3 Months 25.00%
1-30 Days 50.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
40.00%
Trend-following
60.00%
Strategy Pie Chart

Composition

Grains
30.00%
Softs
30.00%
Energy
10.00%
Currency Futures
5.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Interest Rates
5.00%
Livestock
5.00%
Stock Indices
5.00%
Composition Pie Chart

Investment Strategy

Fully systematic global macro program designed to capitalize on major global trends across all major market groups. The driving technology comes from the blending of our original class b directional acceleration methodology with the mean reversion and short term momentum trading style from our short term programs. The unique blend of trend anticipatory models with mean reversion strategies significantly reduces the volatility associated with capturing major market trends. The program trades indicies, financials, currencies, and commodities domestic and foreign.

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 position.

   

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:
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Risk
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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:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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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
-20.21 4 - 7/1/2013 11/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
14.17 2 12/1/2013 1/1/2014
11.11 2 6/1/2013 7/1/2013
7.17 1 3/1/2014 3/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.21 4 8/1/2013 11/1/2013
-6.44 3 4/1/2014 6/1/2014
-3.34 1 2/1/2014 2/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods13.0011.008.00
Percent Profitable38.4645.4550.00
Average Period Return0.01-1.63-2.77
Average Gain6.376.654.63
Average Loss-3.97-8.54-10.16
Best Period9.2410.3510.86
Worst Period-8.17-17.74-11.34
Standard Deviation5.889.388.48
Gain Standard Deviation3.123.744.54
Loss Standard Deviation2.586.231.27
Sharpe Ratio (1%)-0.01-0.20-0.38
Average Gain / Average Loss1.610.780.46
Profit / Loss Ratio1.000.650.46
Downside Deviation (10%)3.928.358.98
Downside Deviation (5%)3.707.737.57
Downside Deviation (0%)3.647.587.22
Sortino Ratio (10%)-0.10-0.34-0.58
Sortino Ratio (5%)-0.02-0.24-0.43
Sortino Ratio (0%)0.00-0.22-0.38

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.