GLOBIVEST LLC : Alpha Program

archived programs
Year-to-Date
N / A
Aug Performance
4.63%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
11.21%
Sharpe (RFR=1%)
1.07
CAROR
13.07%
Assets
$ 4.9M
Worst DD
-9.80
S&P Correlation
0.33

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
4/2009
Alpha Program 4.63 -4.96 - 7.40 18.20 60.63 - 94.49
S&P 500 3.77 4.15 - 22.68 64.34 96.26 - 129.49
+/- S&P 500 0.86 -9.11 - -15.29 -46.14 -35.62 - -35.00

Strategy Description

Summary

The Alpha Program is an absolute return managed futures program designed primarily for individual and institutional investors. The objective of the program is to generate a consistent monthly return for an annualized target of 25% to 35%.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
100.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
25.00%
Systematic
75.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Energy
50.00%
Stock Indices
30.00%
Currency Futures
10.00%
Interest Rates
10.00%
Composition Pie Chart

Summary

The Alpha Program is an absolute return managed futures program designed primarily for individual and institutional investors. The objective of the program is to generate a consistent monthly return for an annualized target of 25% to 35%.

Investment Strategy

The program establishes option positions that are designed to take advantage of time and direction of the underlying market. That direction could be up, down, or sideways. Option positions are taken primarily on the E-mini S&P 500, Crude Oil, and 30 Year U.S. T-Bond futures. The program will also establish option positions in Currencies, Metals, and Agricultures from time to time when opportunities arise. Trading decisions are made by employing a systematic trading approach that is based on both technical and fundamental analysis. Options on futures may be used on both a covered basis and an uncovered basis. Most of the time, positions will not be covered by the underlying futures contract. Both put and call options will be traded. Basically, the program is designed toward premium capture strategies with the flexibility to be converted into directional trades.

Risk Management

Risk control is achieved through a variety of means which should in most market conditions, help minimize the impact of draw downs. The first is portfolio diversification such as the use of hedged positions across many different underlying assets. Second is through controlling leverage by managing position size. Third are stops, or position adjustments based on our money management rules. Risk management is an ongoing process and is necessary throughout the life of the position taken on the underlying. Positions may be adjusted by either entering into new positions which hedge the existing position, liquidating existing positions in order to reduce market exposure, or reset a position at different strike prices or contract expirations.

   

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
-9.80 2 2 8/1/2011 10/1/2011
-9.42 1 - 6/1/2014 7/1/2014
-7.86 5 3 3/1/2013 8/1/2013
-5.29 2 3 3/1/2010 5/1/2010
-4.31 1 4 12/1/2013 1/1/2014
-4.28 2 3 5/1/2012 7/1/2012
-3.79 1 5 12/1/2010 1/1/2011
-2.55 1 1 6/1/2011 7/1/2011
-0.48 1 1 11/1/2012 12/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
49.30 12 4/1/2009 3/1/2010
27.43 7 11/1/2011 5/1/2012
13.67 7 6/1/2010 12/1/2010
11.75 4 9/1/2013 12/1/2013
5.25 3 4/1/2014 6/1/2014
4.63 1 8/1/2014 8/1/2014
4.51 1 8/1/2011 8/1/2011
4.48 5 2/1/2011 6/1/2011
3.72 3 1/1/2013 3/1/2013
3.29 1 8/1/2012 8/1/2012
3.15 2 6/1/2013 7/1/2013
2.49 2 10/1/2012 11/1/2012
1.74 1 2/1/2014 2/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.80 2 9/1/2011 10/1/2011
-9.42 1 7/1/2014 7/1/2014
-6.35 1 8/1/2013 8/1/2013
-5.29 2 4/1/2010 5/1/2010
-4.62 2 4/1/2013 5/1/2013
-4.31 1 1/1/2014 1/1/2014
-4.28 2 6/1/2012 7/1/2012
-3.79 1 1/1/2011 1/1/2011
-2.55 1 7/1/2011 7/1/2011
-1.04 1 3/1/2014 3/1/2014
-0.65 1 9/1/2012 9/1/2012
-0.48 1 12/1/2012 12/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods65.0063.0060.0054.0048.0042.0030.0018.00
Percent Profitable75.3868.2585.0088.8993.75100.00100.00100.00
Average Period Return1.083.096.0511.3016.4922.2936.5549.31
Average Gain2.515.987.6713.0017.7022.2936.5549.31
Average Loss-3.31-3.13-3.13-2.32-1.62
Best Period8.4617.1927.3949.3053.2756.4576.7596.55
Worst Period-9.42-5.99-7.67-4.43-3.782.6718.0626.35
Standard Deviation3.245.517.9210.7011.8111.0016.2618.32
Gain Standard Deviation1.864.027.4310.1111.1811.0016.2618.32
Loss Standard Deviation2.531.862.441.701.90
Sharpe Ratio (1%)0.310.520.700.961.271.842.062.47
Average Gain / Average Loss0.761.912.455.6210.91
Profit / Loss Ratio2.334.1013.8744.93163.61
Downside Deviation (10%)2.212.672.472.912.651.78
Downside Deviation (5%)2.072.161.671.230.87
Downside Deviation (0%)2.042.041.510.930.56
Sortino Ratio (10%)0.300.701.452.173.356.77
Sortino Ratio (5%)0.481.313.338.3817.18
Sortino Ratio (0%)0.531.514.0212.1629.41

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 5 4.63 8/2014
Option Strategy Index Month 7 3.50 5/2014
Option Strategy Index Month 10 1.41 4/2014
Option Strategy Index Month 7 1.74 2/2014
Option Strategy Index Month 10 1.52 11/2013
Option Strategy Index Month 5 3.63 10/2013
Option Strategy Index Month 6 3.63 9/2013
Option Strategy Index Month 3 3.12 7/2013
Option Strategy Index Month 9 1.52 2/2013
Option Strategy Index Month 4 1.95 1/2013
Diversified Trader Index Month 2 8.46 4/2012
Option Strategy Index Month 2 8.46 4/2012
Systematic Trader Index Month 3 8.46 4/2012
IASG CTA Index Month 7 8.46 4/2012
Option Strategy Index Month 7 2.87 3/2012
Option Strategy Index Month 9 4.56 12/2011
Option Strategy Index Month 6 6.05 11/2011
Option Strategy Index Month 4 4.51 8/2011
Option Strategy Index Month 9 2.11 11/2010
Option Strategy Index Month 7 2.47 9/2010
Option Strategy Index Month 10 -4.97 5/2010
Option Strategy Index Month 4 2.45 3/2010
Option Strategy Index Month 9 5.16 11/2009
Option Strategy Index Month 9 0.92 10/2009
Option Strategy Index Month 6 4.39 9/2009
Option Strategy Index Month 6 1.89 7/2009
Option Strategy Index Month 5 5.01 6/2009
Systematic Trader Index Month 6 5.01 6/2009
Diversified Trader Index Month 9 5.01 6/2009
Option Strategy Index Month 4 4.32 5/2009

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