GMH Capital : Diversified Trend Following Trading Program

archived programs
Year-to-Date
N / A
Nov Performance
0.20%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.51%
Sharpe (RFR=1%)
0.30
CAROR
5.10%
Assets
$ 3.9M
Worst DD
-36.95
S&P Correlation
-0.22

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
7/2001
Diversified Trend Following Trading Program 0.20 - - - - - -5.15 67.90
S&P 500 -0.51 - - - - - 9.42 195.91
+/- S&P 500 0.71 - - - - - -14.57 -128.01

Strategy Description

Summary

-GMH Capital’s Diversified Trend Following Trading Program is classified as systematic and technical. Systematic traders rely primarily on trading programs or models that generate trading signals. The systems utilized to generate trading signals are changed from time to time (although... 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 $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 18%
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

-GMH Capital’s Diversified Trend Following Trading Program is classified as systematic and technical. Systematic traders rely primarily on trading programs or models that generate trading signals. The systems utilized to generate trading signals are changed from time to time (although generally infrequently), but the trading instructions generated by the systems being used are followed without significant additional analysis or interpretation. Technical analysis is based on the theory that the study of the commodities markets themselves will provide a means of anticipating the external factors that affect the supply and demand of any particular commodity in order to predict future prices. Technical analysis focuses on the analysis of price histories, movements and patterns on the theory that a detailed analysis of market data is the most effective means of attempting to predict the future course of prices. GMH Capital’s trading approach is built on elements of trend-following and diversification. The portfolio emphasizes diversification by trading financial instruments, foreign exchange, metals, tropical products (softs), energy products and agricultural products. GMH Capital trades on both U.S. and non-U.S. exchanges which include, but are limited to, the Chicago Board of Trade, the Chicago Mercantile Exchange, the New York Mercantile Exchange, the New York Board of trade, the London International Financial Futures and Options Exchange and Eurex. The foregoing description is, of necessity, somewhat general in light of the proprietary nature of GMH Capital’s trading approach. A strict money management discipline is in place, the design of which is intended to maximize return while diminishing volatility. GMH Capital’s Trend Following Trading Program is broadly diversified and is designed to balance risk among various market sectors and various instruments in each sector. Prior to opening an account, GMH Capital will determine with each client the maximum limit position for each clients account. Capital in excess of the margin required for positions held by the clients account may be invested in U.S. Treasury Bills, with interest accruing to the benefit of the client’s account. The development of a trading strategy is a continuous process, and the trading strategy may therefore be modifies from time to time. As a result, the trading method used by GMH Capital may change from time to time. Clients will be notified of changes, additions or deletions to the Diversified Trend Following Trading Program deemed to be material by GMH Capital. Trading methods utilized by GMH Capital are proprietary and confidential. The foregoing description is not intended to be exhaustive. The trading strategies utilized by GMH Capital for an account may differ from those used with respect to other accounts managed by GMH Capital or its own accounts. Trading decisions may require the exercise of judgment by GMH Capital.

   

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
-36.95 28 28 3/1/2004 7/1/2006
-19.67 4 5 10/1/2001 2/1/2002
-14.48 2 3 9/1/2003 11/1/2003
-10.92 1 6 2/1/2003 3/1/2003
-10.81 8 - 2/1/2011 10/1/2011
-6.43 2 1 9/1/2002 11/1/2002
-5.85 8 7 6/1/2009 2/1/2010
-3.10 2 1 2/1/2009 4/1/2009
-2.16 1 1 7/1/2001 8/1/2001
-0.58 1 1 12/1/2008 1/1/2009
-0.41 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
40.19 5 5/1/2002 9/1/2002
33.04 4 12/1/2003 3/1/2004
26.34 4 11/1/2007 2/1/2008
24.12 4 8/1/2006 11/1/2006
20.68 2 9/1/2001 10/1/2001
16.50 3 7/1/2005 9/1/2005
14.65 3 10/1/2008 12/1/2008
12.89 3 12/1/2002 2/1/2003
12.64 1 7/1/2004 7/1/2004
9.60 2 4/1/2003 5/1/2003
8.40 1 11/1/2005 11/1/2005
8.00 1 10/1/2004 10/1/2004
7.82 1 9/1/2007 9/1/2007
7.65 2 5/1/2008 6/1/2008
7.00 1 7/1/2003 7/1/2003
6.70 2 1/1/2007 2/1/2007
6.16 1 9/1/2003 9/1/2003
6.13 3 12/1/2010 2/1/2011
5.96 1 4/1/2006 4/1/2006
5.23 1 5/1/2005 5/1/2005
5.09 2 5/1/2009 6/1/2009
4.84 3 8/1/2010 10/1/2010
4.79 3 7/1/2011 9/1/2011
4.37 3 4/1/2007 6/1/2007
4.17 1 12/1/2001 12/1/2001
3.73 3 3/1/2010 5/1/2010
3.54 1 3/1/2002 3/1/2002
1.77 1 2/1/2009 2/1/2009
1.20 1 11/1/2009 11/1/2009
0.90 1 9/1/2009 9/1/2009
0.79 1 4/1/2011 4/1/2011
0.59 1 7/1/2001 7/1/2001
0.50 1 5/1/2004 5/1/2004
0.27 1 2/1/2006 2/1/2006
0.20 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.77 6 11/1/2004 4/1/2005
-21.06 2 12/1/2005 1/1/2006
-18.98 3 5/1/2006 7/1/2006
-14.48 2 10/1/2003 11/1/2003
-13.40 2 1/1/2002 2/1/2002
-10.96 1 11/1/2001 11/1/2001
-10.92 1 3/1/2003 3/1/2003
-8.68 1 4/1/2004 4/1/2004
-8.28 1 6/1/2003 6/1/2003
-8.15 3 7/1/2008 9/1/2008
-7.69 2 5/1/2011 6/1/2011
-7.42 1 6/1/2004 6/1/2004
-7.31 1 10/1/2011 10/1/2011
-7.21 1 3/1/2007 3/1/2007
-7.16 2 7/1/2007 8/1/2007
-6.43 2 10/1/2002 11/1/2002
-5.60 1 10/1/2007 10/1/2007
-5.26 2 8/1/2004 9/1/2004
-4.13 1 6/1/2005 6/1/2005
-3.95 2 3/1/2008 4/1/2008
-3.49 1 10/1/2009 10/1/2009
-3.10 2 3/1/2009 4/1/2009
-2.43 1 10/1/2005 10/1/2005
-2.29 1 4/1/2002 4/1/2002
-2.28 3 12/1/2009 2/1/2010
-2.23 2 7/1/2009 8/1/2009
-2.16 1 8/1/2001 8/1/2001
-1.98 1 12/1/2006 12/1/2006
-1.31 1 3/1/2011 3/1/2011
-1.31 1 3/1/2006 3/1/2006
-1.13 2 6/1/2010 7/1/2010
-0.58 1 1/1/2009 1/1/2009
-0.41 1 11/1/2010 11/1/2010
-0.02 1 8/1/2003 8/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods125.00123.00120.00114.00108.00102.0090.0078.0066.00
Percent Profitable55.2058.5460.0069.3073.1569.6173.3371.7990.91
Average Period Return0.571.773.176.969.7912.3316.8519.6421.63
Average Gain4.377.5810.6614.0317.5822.9928.2330.0324.02
Average Loss-4.11-6.44-8.08-9.00-11.41-12.09-14.46-6.80-2.36
Best Period14.7628.9936.9849.8147.1568.0767.7262.6066.04
Worst Period-16.49-20.84-22.77-26.73-25.86-34.12-24.05-18.28-3.01
Standard Deviation5.639.4311.9614.3618.0621.6823.6821.4217.79
Gain Standard Deviation3.777.228.7810.4413.9715.9816.0615.6016.87
Loss Standard Deviation3.675.085.517.578.1810.106.844.930.67
Sharpe Ratio (1%)0.090.160.220.410.460.480.580.730.93
Average Gain / Average Loss1.061.181.321.561.541.901.954.4210.19
Profit / Loss Ratio1.311.661.983.524.204.365.3711.24101.93
Downside Deviation (10%)3.885.917.518.8710.9213.7516.4516.4015.08
Downside Deviation (5%)3.715.396.436.917.889.519.686.342.39
Downside Deviation (0%)3.675.266.166.487.238.638.234.430.73
Sortino Ratio (10%)0.040.090.090.220.200.150.07-0.12-0.40
Sortino Ratio (5%)0.130.280.420.861.051.091.432.466.91
Sortino Ratio (0%)0.160.340.511.071.351.432.054.4429.45

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.