GlobalReach Securities : GlobalReach Macro Program

archived programs
Year-to-Date
N / A
Sep Performance
1.01%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.68%
Sharpe (RFR=1%)
0.39
CAROR
-
Assets
$ 40.0M
Worst DD
-3.92
S&P Correlation
-0.16

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2007
GlobalReach Macro Program 1.01 - - - - - - 3.90
S&P 500 -9.08 - - - - - - 126.32
+/- S&P 500 10.09 - - - - - - -122.42

Strategy Description

Summary

-An innovative CTA strategy combining the trading experience of two established industry professionals The GLOBALREACH MACRO PROGRAM IS an actively managed discretionary CTA strategy that invests only in the most liquid global financial futures markets. Targeting a return of 7% to... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $9.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 650 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-An innovative CTA strategy combining the trading experience of two established industry professionals The GLOBALREACH MACRO PROGRAM IS an actively managed discretionary CTA strategy that invests only in the most liquid global financial futures markets. Targeting a return of 7% to 10% per annum the firm?s strategy is to produce a stream of consistent returns uncorrelated to systematic and trend-following managed futures programs in addition to industry indices. Risk management is fundamental to the success of the Program and is actively managed through the use of strictly controlled risk limits overlayed with stop losses on individual positions. Efficient monitoring of capital utilised ensures a margin to equity ratio below 5% with volatility averaging 5%. Hence an investor may significantly increase the volatility of an investment in the Program while maintaining a low downside risk. & &With over 20 years trading experience the Program Managers have a proven track record with both having extensive fund management and market knowledge. This background enables the Program to benefit from their: expertise identifying and exploiting macro-economic trends and market mis-pricing opportunities &experienced risk management skills, facilitating calculation of trade size, stop-loss, and profit target objectives &skill at valuing market prices and volatility& &The Program trades global financial markets - currencies, bonds and stock indices in the ratio 40:40:20. Instruments traded are financial futures and options.We feel that the Program is unique amongst other CTAs as we are a discretionary manager trading only financial futures with a combination of both short term opportunistic and medium term research driven styles. Portfolio diversification is achieved by the uncorrelated risk-return profiles of the trading strategies with each employing diverse leverage, position size and asset selection strategies.The GlobalReach Macro Program is a discretionary CTA strategy managed actively investing in global financial markets Managers for the Program, David Tease and Martin O?Sullivan, each have over 20 years trading experience& nbsp;

   

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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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
-3.92 3 - 2/1/2008 5/1/2008
-1.59 1 2 1/1/0001 5/1/2007
-0.70 2 1 9/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
7.28 4 6/1/2007 9/1/2007
1.97 3 12/1/2007 2/1/2008
1.01 1 9/1/2008 9/1/2008
0.16 2 6/1/2008 7/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.92 3 3/1/2008 5/1/2008
-1.59 1 5/1/2007 5/1/2007
-0.70 2 10/1/2007 11/1/2007
-0.01 1 8/1/2008 8/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable58.8273.3350.00
Average Period Return0.230.801.22
Average Gain1.022.085.01
Average Loss-0.89-2.69-2.57
Best Period3.605.966.53
Worst Period-2.04-3.92-3.77
Standard Deviation1.352.814.26
Gain Standard Deviation1.041.982.05
Loss Standard Deviation0.851.261.08
Sharpe Ratio (1%)0.110.200.17
Average Gain / Average Loss1.150.771.95
Profit / Loss Ratio1.642.121.95
Downside Deviation (10%)0.982.153.66
Downside Deviation (5%)0.801.622.28
Downside Deviation (0%)0.761.501.95
Sortino Ratio (10%)-0.18-0.20-0.34
Sortino Ratio (5%)0.190.340.32
Sortino Ratio (0%)0.310.540.63

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.