GOLDENWATER CAPITAL LTD : GOLDENWATER FUND LTD

archived programsClosed to new investments
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

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 Since
1/2011
GOLDENWATER FUND LTD -1.45 -4.91 - -5.33 5.47 - - 24.75
S&P 500 -1.74 0.44 - 10.44 46.82 - - 60.77
+/- S&P 500 0.29 -5.34 - -15.78 -41.35 - - -36.02

Strategy Description

Summary

GoldenWater 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

GoldenWater 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 Strategy

Our 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 moves

Risk Management

Capital 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

   

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
-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
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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
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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
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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.