GOLDENWATER CAPITAL LTD : GOLDENWATER FUND LTD Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance -1.45% Min Investment $ 150k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 11.46% Sharpe (RFR=1%) 0.42 CAROR 5.34% Assets $ 8.7M Worst DD -12.34 S&P Correlation -0.45 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since1/2011 GOLDENWATER FUND LTD -1.45 - - - - - - 24.75 S&P 500 -1.74 - - - - - - 138.58 +/- S&P 500 0.29 - - - - - - -113.83 Strategy Description SummaryGoldenWater Fund is a quantitative absolute return hedge fund which mainly deploys short-term Volatility approach on Managed Futures Systematic Investment Strategies Investment Objective is to achieve superior risk adjusted returns via a diversified set of strategies with little... Read More Account & Fees Type Fund Minimum Investment $ 150k Trading Level Incremental Increase $ 500k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $2.50 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 35000 RT/YR/$M Avg. Margin-to-Equity 5% Targeted Worst DD -20.00% Worst Peak-to-Trough -7.50% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 65.00% Intraday 35.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 10.00% Momentum 30.00% Pattern Recognition 20.00% Trend-following 30.00% Other 10.00% Composition Precious Metals 35.00% Energy 30.00% Grains 10.00% Stock Indices 10.00% Currency Futures 5.00% Interest Rates 5.00% Softs 5.00% SummaryGoldenWater Fund is a quantitative absolute return hedge fund which mainly deploys short-term Volatility approach on Managed Futures Systematic Investment Strategies Investment Objective is to achieve superior risk adjusted returns via a diversified set of strategies with little or no correlation to traditional or alternative asset classes, designed to benefit especially from increased volatility market conditions Based on the historical simulated monthly data the Monthly Return spans from -2.0% up to +3.9% under a confidence level of 95% (results are derived by probabilistic approach with no normality assumption regarding the returns) Investment StrategyOur Investment Model: Trades automated futures strategies in diversified, liquid financial instruments across the Metals, Energy, Agricultural, Softs, Currency and Financial Markets executed through US and European exchanges Consists of 35-80 strategies employed automatically by our risk model. The portfolio is re-balanced every month following an procedure that aims to an acceptable mean-variance ratio (efficient frontier) Is based on technical systems and mathematical models and deploys proprietary trading systems that generate automated trades Employs strategies that take advantage of a sharp volatility increase, thus delivering superior results in markets that traditional portfolios may be less efficient Is applied in multiple time frames varying from 30 minutes to daily frequencies and deploys mainly small time frames to identify minor trends in the market and capitalise from short term movesRisk ManagementCapital Allotment • Deploy predefined process of allotting capital to strategies based on strict criteria and scaled approach Max Concentration • Timing & size of trades identified through proprietary process • Adheres to limits derived from each strategy’s individual risk metrics Stop Loss • Predefined stop loss & target levels • Dynamically evolve automatically during life of trade Fail & Exit • Specific fail & exit process based on drawdown confidence bands used to monitor drawdown on each strategy Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -12.34 7 14 9/1/2011 4/1/2012 -7.61 5 2 1/1/0001 5/1/2011 -6.79 18 - 9/1/2013 3/1/2015 -0.65 1 1 7/1/2013 8/1/2013 Show More Consecutive Gains Run-up Length (Mos.) Start End 41.03 4 6/1/2011 9/1/2011 9.32 3 9/1/2012 11/1/2012 8.97 4 4/1/2013 7/1/2013 4.00 2 5/1/2012 6/1/2012 3.60 2 11/1/2014 12/1/2014 2.55 1 1/1/2013 1/1/2013 2.43 1 12/1/2011 12/1/2011 0.85 1 9/1/2013 9/1/2013 0.38 1 3/1/2011 3/1/2011 0.32 1 11/1/2013 11/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -9.83 4 1/1/2012 4/1/2012 -6.17 2 4/1/2011 5/1/2011 -5.09 2 10/1/2011 11/1/2011 -4.91 3 1/1/2015 3/1/2015 -4.88 11 12/1/2013 10/1/2014 -3.17 2 2/1/2013 3/1/2013 -2.82 1 12/1/2012 12/1/2012 -2.18 2 7/1/2012 8/1/2012 -1.90 2 1/1/2011 2/1/2011 -0.85 1 10/1/2013 10/1/2013 -0.65 1 8/1/2013 8/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods51.0049.0046.0040.0034.0028.0016.00 Percent Profitable39.2242.8652.1765.0082.35100.0093.75 Average Period Return0.491.784.126.118.9313.1117.84 Average Gain3.406.9710.7111.4311.6513.1119.13 Average Loss-1.39-2.11-3.08-3.76-3.78-1.62 Best Period13.9232.5033.8526.6737.4839.9141.33 Worst Period-4.52-8.07-9.23-10.38-6.790.96-1.62 Standard Deviation3.317.7910.5110.1110.1211.1616.26 Gain Standard Deviation3.419.4610.758.528.9711.1615.95 Loss Standard Deviation1.262.212.492.342.49 Sharpe Ratio (1%)0.120.200.340.510.730.990.91 Average Gain / Average Loss2.443.293.483.043.0911.81 Profit / Loss Ratio1.572.473.805.6414.40177.13 Downside Deviation (10%)1.703.024.215.475.504.239.11 Downside Deviation (5%)1.502.422.993.122.420.271.21 Downside Deviation (0%)1.452.292.712.601.850.41 Sortino Ratio (10%)0.050.180.390.200.240.680.23 Sortino Ratio (5%)0.270.631.211.643.0641.5212.26 Sortino Ratio (0%)0.330.781.522.354.8244.03 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 9 3.96 10/2012 Systematic Trader Index Month 4 6.95 6/2011 Diversified Trader Index Month 6 6.95 6/2011 IASG CTA Index Month 8 6.95 6/2011 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel