Golden Hedge : Multi-Strategy EUR

archived programs
Year-to-Date
N / A
Sep Performance
0.41%
Min Investment
€ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.81%
Sharpe (RFR=1%)
1.79
CAROR
21.73%
Assets
€ 500k
Worst DD
-5.67
S&P Correlation
0.12

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
11/2005
Multi-Strategy EUR 0.41 - - - - - - 115.99
S&P 500 3.57 - - - - - - 177.25
+/- S&P 500 -3.16 - - - - - - -61.25

Strategy Description

Summary

-Financial markets are not perfectly efficient and various small anomalies can be identified and exploited through the use of advanced econometric analysis and robust statistical methods. Golden Hedge Ltd. ('the fund') applies trading strategies and models that are quantitative in... Read More

Account & Fees

Type Managed Account
Minimum Investment € 50k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors

Subscriptions

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

Trading

Trading Frequency 1800 RT/YR/$M
Avg. Margin-to-Equity 25%
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

-Financial markets are not perfectly efficient and various small anomalies can be identified and exploited through the use of advanced econometric analysis and robust statistical methods. Golden Hedge Ltd. ('the fund') applies trading strategies and models that are quantitative in nature - designed to exploit different market inefficiencies. Investment Objective: Golden Hedge EUR aims to provide substantial capital appreciation over the medium term through the exposure to a portfolio of different complemental hedgefund styles. The fund is composed of directional and non-directional (relative value) strategies with low correlation to each other and therefore produce returns that show low correlation to traditional asset classes like stocks and bonds. Golden Hedge EUR invests mainly in three core hedgefund styles: Futures Trendfollowing/Futures Arbitrage, Long/Short Equity and Event Driven/Indexarbitrage.

Investment Strategy

Investment Policies: Golden Hedge EUR is designed to generate steady absolute returns while having little correlation to the overall financial markets and other CTA's or hedgefunds. One of the key concepts to achive this is diversification in different uncorrelated markets as well as in trading models. Applying different trading models to different markets keeps the single market risk very low. The trading approach consists of several proprietary quantitative strategies, such as Futures Trendfollowing/Arbitrage, Long/Short Equity and Event Driven Strategies with emphasis on money management and portfolio optimization. The Combination of strategies from different hedgefund styles results in a smoother equity curve while producing a return which is little correlated to the overall direction of the financial markets. Futures Trendfollowing / Futures Arbitrage (about 40% of the portfolio). The basic idea of futures trendfollowing is the generation of trading profits caused by autocorrelation properties of financial and commodity markets. The trading models of Golden Hedge Ltd. capture price trends in different time frames and in many different markets with low correlation to each other. The portfolio trades in the following market sectors: energies, metals, currencies, stock indices, agriculturals, interest rates, meats and exotics as well as in soft commodities. The portfolio allocation process is dynamic in nature and depends on market correlation and volatility parameters.Futures Arbitrage is designed to profit from relative mispricings within correlated futures markets.Long/Short-Equity (about 30% of the portfolio)Long/Short-Equity strategies are aimed at benefiting from pricing anomalies in U.S. Small-and Mid-Cap stocks. The investment philosophy can be described as follows: in the long term value stocks outperform growth stocks, in the short term momentum is the performance driver. This strategy uses financial statement analysis (bottom up) to build a portfolio of stocks for the long and short side of the book. A multi factor model seeks to invest in companies whose fundamental factors (growth and value factors) are different from those implied in the market price. The long and short market exposure in many stocks across different sectors in U.S. Small- and MicroCap stocks forms a well diversified portfolio. Event Driven / Indexarbitrage (about 30% of the portfolio) This group of strategies (also called 'special situations') seeks to exploit market inefficiencies which are related to corporate events as well as macroeconomic events. Such events can cause price pressure effects to the involved instruments from which the fund tries to benefit. Index Arbitrage exploits market inefficiencies that result from Additions / Deletions of stocks to / from major Indices e.g. MSCI-Index, SP-Index-Family, Eurostoxx.About the Founder: Mag. Andreas Koettner is the founder and a shareholder of Golden Hedge Alternative Investments GmbH, the Sales Agent of our products in Austria. He is a graduate of the Leopold Franzens University of Innsbruck and holds a diploma in business administration. While studing at the University of Innsbruck, Mr. Koettner aquired considerable experience in corporate finance and computer science in economics. After several years of developing trading systems and investment software he decided to establish his own financial research firm. In 2005 he completed the investment counseling examination in Vienna. As the Managing Director Mr. Koettner is responsible for the distribution of our investment products. Further Information www.goldenhedge.com

Risk Management

The trading models have a rigorous risk management policy implemented and constantly monitor the exposure to sector risk, position risk, volatility risk, margin to equity ratio, daily VaR et cetera. Position sizes are automatically adjusted to current market conditions e.g. the higher the volatility the lower the position size. To simulate event risk (rare events of market stress with high volatility and a high degree of correlation among usually low correlated instruments) more advanced methods of risk analysis are implemented.

   

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
-5.67 6 3 6/1/2008 12/1/2008
-4.29 1 4 5/1/2006 6/1/2006
-3.02 1 3 4/1/2007 5/1/2007
-2.97 2 1 2/1/2008 4/1/2008
-1.53 3 1 11/1/2005 2/1/2006
-1.51 1 - 5/1/2009 6/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
47.35 9 6/1/2007 2/1/2008
22.62 8 9/1/2006 4/1/2007
14.61 3 3/1/2006 5/1/2006
11.87 3 3/1/2009 5/1/2009
6.82 2 5/1/2008 6/1/2008
3.60 1 1/1/2009 1/1/2009
3.30 1 7/1/2006 7/1/2006
2.10 1 11/1/2005 11/1/2005
0.67 3 7/1/2009 9/1/2009
0.67 1 8/1/2008 8/1/2008
0.23 1 11/1/2008 11/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.29 1 6/1/2006 6/1/2006
-3.02 1 5/1/2007 5/1/2007
-2.97 2 3/1/2008 4/1/2008
-2.91 1 7/1/2008 7/1/2008
-2.33 1 8/1/2006 8/1/2006
-2.18 2 9/1/2008 10/1/2008
-1.56 1 12/1/2008 12/1/2008
-1.53 3 12/1/2005 2/1/2006
-1.51 1 6/1/2009 6/1/2009
-1.40 1 2/1/2009 2/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods47.0045.0042.0036.0030.0024.00
Percent Profitable70.2175.5692.8697.22100.00100.00
Average Period Return1.705.3511.6624.9342.9565.41
Average Gain3.147.6412.7925.6542.9565.41
Average Loss-1.70-1.72-3.06-0.12
Best Period9.2320.9740.8651.6475.2393.93
Worst Period-4.29-3.44-5.67-0.1210.3350.63
Standard Deviation3.126.5710.1014.6216.2811.21
Gain Standard Deviation2.515.939.5614.1816.2811.21
Loss Standard Deviation1.131.022.29
Sharpe Ratio (1%)0.520.781.111.642.555.66
Average Gain / Average Loss1.854.454.18205.85
Profit / Loss Ratio4.3613.7454.407204.65
Downside Deviation (10%)1.301.551.590.85
Downside Deviation (5%)1.141.091.070.19
Downside Deviation (0%)1.100.980.960.02
Sortino Ratio (10%)1.002.665.7623.33
Sortino Ratio (5%)1.424.7010.40127.67
Sortino Ratio (0%)1.545.4812.181200.61

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.