Global Wealth Analytics, Inc. : Triple M

archived programs
Year-to-Date
N / A
Nov Performance
-1.58%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
27.03%
Sharpe (RFR=1%)
0.28
CAROR
5.03%
Assets
$ 0k
Worst DD
-37.50
S&P Correlation
-0.26

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
6/2014
Triple M -1.58 -8.22 - -18.79 20.45 - - 24.69
S&P 500 1.79 -4.87 - 6.78 31.33 - - 39.39
+/- S&P 500 -3.37 -3.35 - -25.57 -10.88 - - -14.69

Strategy Description

Investment Strategy

Fully systematic pattern recognition program that captures short-term 1 to 2 day trend and counter trend movements. System harnesses short term ebb and flows of the market. After short term inflection points are identified it follows short term momentum and reversionary... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
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
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Agricultural 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

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Grains
50.00%
Softs
50.00%
Composition Pie Chart

Investment Strategy

Fully systematic pattern recognition program that captures short-term 1 to 2 day trend and counter trend movements. System harnesses short term ebb and flows of the market. After short term inflection points are identified it follows short term momentum and reversionary movements to capture profits when it achieves its price target. Trades only commodity futures. Trades are allocated mostly among grain and soft commodity groups. Markets traded thus far are coffee, wheat, corn, orange juice, natural gas, lumber, bean oil, and cocoa.

   

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
-37.50 13 4 6/1/2014 7/1/2015
-32.33 3 5 2/1/2016 5/1/2016
-20.54 11 - 12/1/2017 11/1/2018
-1.93 4 3 1/1/2017 5/1/2017
-1.38 1 2 8/1/2017 9/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
123.95 7 8/1/2015 2/1/2016
58.30 8 6/1/2016 1/1/2017
4.93 3 10/1/2017 12/1/2017
2.70 3 6/1/2017 8/1/2017
2.66 2 2/1/2015 3/1/2015
1.47 1 12/1/2014 12/1/2014
0.88 1 3/1/2017 3/1/2017
0.72 1 9/1/2014 9/1/2014
0.41 1 6/1/2014 6/1/2014
0.14 1 2/1/2018 2/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.70 4 4/1/2015 7/1/2015
-32.33 3 3/1/2016 5/1/2016
-20.05 9 3/1/2018 11/1/2018
-3.65 1 1/1/2015 1/1/2015
-1.51 2 7/1/2014 8/1/2014
-1.46 2 4/1/2017 5/1/2017
-1.38 1 9/1/2017 9/1/2017
-1.34 1 2/1/2017 2/1/2017
-0.84 2 10/1/2014 11/1/2014
-0.75 1 1/1/2018 1/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods54.0052.0049.0043.0037.0031.0019.00
Percent Profitable51.8544.2344.9069.7778.3887.10100.00
Average Period Return0.712.656.1713.7128.9740.3058.71
Average Gain5.3214.7424.4325.5039.1447.6058.71
Average Loss-4.62-6.94-8.72-13.49-7.88-9.02
Best Period25.9457.4392.1080.25139.91139.83126.95
Worst Period-19.95-34.09-35.01-36.75-15.55-16.8120.45
Standard Deviation7.8016.4524.8925.2934.5333.9422.91
Gain Standard Deviation6.5515.7626.2120.1532.0729.8922.91
Loss Standard Deviation5.879.108.7610.395.947.32
Sharpe Ratio (1%)0.080.150.230.500.801.132.43
Average Gain / Average Loss1.152.122.801.894.975.28
Profit / Loss Ratio1.341.692.284.3618.0035.64
Downside Deviation (10%)5.099.0510.4811.607.817.50
Downside Deviation (5%)4.958.579.369.675.074.58
Downside Deviation (0%)4.918.459.099.234.483.96
Sortino Ratio (10%)0.060.160.350.752.744.00
Sortino Ratio (5%)0.130.280.611.315.418.36
Sortino Ratio (0%)0.140.310.681.496.4610.18

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 5 2.20 12/2017
Agricultural Trader Index Month 6 1.83 11/2017
Agricultural Trader Index Month 6 0.83 10/2017
Agricultural Trader Index Month 6 0.75 8/2017
Agricultural Trader Index Month 8 0.88 3/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.