Goldenwise Capital Management Inc. : Quantitative Multi-Strategy

archived programs
Year-to-Date
N / A
Jan Performance
-0.84%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.32%
Sharpe (RFR=1%)
1.79
CAROR
35.21%
Assets
$ 134.0M
Worst DD
-10.69
S&P Correlation
-0.04

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2010
Quantitative Multi-Strategy -0.84 - - - -0.41 30.38 327.03 1,045.76
S&P 500 5.62 - - - 40.12 86.59 102.74 222.58
+/- S&P 500 -6.46 - - - -40.52 -56.21 224.30 823.17

Strategy Description

Summary

Goldenwise aims to deliver superior absolute returns (alpha) through its quantitative trading strategies. Goldenwise focuses on quantitative portfolio approach, adaptation to different market conditions, and risk management. At Goldenwise, we mainly utilize quantitative and behavior... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 200k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency 7-14 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 6500 RT/YR/$M
Avg. Margin-to-Equity 18%
Targeted Worst DD 10.00%
Worst Peak-to-Trough -10.69%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 30.00%
1-30 Days 60.00%
Intraday 10.00%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Arbitrage
40.00%
Spreading/hedging
40.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
45.00%
VIX
40.00%
Other
15.00%
Composition Pie Chart

Summary

Goldenwise aims to deliver superior absolute returns (alpha) through its quantitative trading strategies. Goldenwise focuses on quantitative portfolio approach, adaptation to different market conditions, and risk management. At Goldenwise, we mainly utilize quantitative and behavior analysis to identify trading opportunities from various financial products and design optimal trading strategies. We push ourselves to excel, and judge our efforts on the innovation of our quantitative models, the reliability of our strategies, and most of all, the risk-adjusted returns of our investment programs.

Investment Strategy

Goldenwise seeks to profit from global macro trends, market inefficiency and mis-pricing and to achieve absolute returns that have a low correlation to traditional asset classes. Goldenwise focuses on Global Equity Indices and Volatility Indices. Our multi quantitative strategies include: Relative Value Long/Short, Volatility Arbitrage, Statistical Arbitrage, Spread Trading, Trend Following, Global Macro, etc.

Core Methodologies: Relative Value + Trend Following + Mean Reversion

The Program typically has low or negative correlation with the S&P 500 Index. Generally, when market's volatility (VIX) is high, there are more good trading opportunities for the program, the program's trading frequency increases, and its holding period decreases. The performance shown from January 2010 through July 2013 is the proprietary trading performance of the Advisor's principal, and such performance has been pro forma adjusted to account for the 2% management fees and 20% performance fees.

Risk Management

Investment Philosophy: High Liquidity + Alpha Strategy + Strict Risk Management

Goldenwise Capital always places risk control as a first priority and uses various stress scenario tests and stop loss controls to achieve optimal risk reward. Action is usually taken once any drawdown of 3% is reached intramonth (to reduce/close out positions or increase hedging), with additional action taken at 5% (to reduce/close out positions or increase hedging); and in the event of approximately a 10% loss the entire portfolio is liquidated. Consistent returns with controlled volatility is the goal.

   

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
-10.69 1 4 9/1/2014 10/1/2014
-9.87 6 6 11/1/2012 5/1/2013
-7.22 1 1 7/1/2015 8/1/2015
-4.20 3 1 6/1/2011 9/1/2011
-3.19 2 1 12/1/2016 2/1/2017
-2.16 1 1 2/1/2016 3/1/2016
-1.87 1 2 6/1/2014 7/1/2014
-1.87 2 2 8/1/2017 10/1/2017
-1.82 2 1 4/1/2015 6/1/2015
-1.73 1 1 1/1/2011 2/1/2011
-1.65 2 3 5/1/2016 7/1/2016
-0.90 1 1 8/1/2012 9/1/2012
-0.84 1 - 12/1/2017 1/1/2018
-0.27 1 1 1/1/2014 2/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
289.17 13 1/1/2010 1/1/2011
65.58 11 10/1/2011 8/1/2012
16.97 4 3/1/2011 6/1/2011
15.51 6 9/1/2015 2/1/2016
12.55 3 2/1/2015 4/1/2015
9.06 4 10/1/2013 1/1/2014
8.99 6 3/1/2017 8/1/2017
8.21 2 11/1/2014 12/1/2014
7.05 3 6/1/2013 8/1/2013
6.76 2 8/1/2014 9/1/2014
6.68 2 4/1/2016 5/1/2016
6.28 2 10/1/2012 11/1/2012
5.53 4 3/1/2014 6/1/2014
4.64 5 8/1/2016 12/1/2016
4.50 1 3/1/2013 3/1/2013
3.24 1 1/1/2013 1/1/2013
2.95 1 7/1/2015 7/1/2015
2.35 2 11/1/2017 12/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-10.69 1 10/1/2014 10/1/2014
-8.93 1 12/1/2012 12/1/2012
-7.22 1 8/1/2015 8/1/2015
-5.11 2 4/1/2013 5/1/2013
-4.20 3 7/1/2011 9/1/2011
-3.32 1 2/1/2013 2/1/2013
-3.19 2 1/1/2017 2/1/2017
-2.16 1 3/1/2016 3/1/2016
-1.87 1 7/1/2014 7/1/2014
-1.87 2 9/1/2017 10/1/2017
-1.82 2 5/1/2015 6/1/2015
-1.73 1 2/1/2011 2/1/2011
-1.65 2 6/1/2016 7/1/2016
-0.90 1 9/1/2012 9/1/2012
-0.84 1 1/1/2018 1/1/2018
-0.56 1 1/1/2015 1/1/2015
-0.27 1 2/1/2014 2/1/2014
-0.08 1 9/1/2013 9/1/2013
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods97.0095.0092.0086.0080.0074.0062.0050.0038.00
Percent Profitable74.2381.0594.57100.00100.00100.00100.00100.00100.00
Average Period Return2.668.3117.6034.2948.8268.22100.99143.72202.05
Average Gain4.3710.9318.9434.2948.8268.22100.99143.72202.05
Average Loss-2.26-2.90-5.81
Best Period22.3459.08117.07271.28347.34412.46580.64682.97737.25
Worst Period-10.69-9.10-9.871.628.593.7523.8443.9953.92
Standard Deviation5.0013.0828.2952.6364.2989.03119.89150.72179.66
Gain Standard Deviation4.4413.1828.5152.6364.2989.03119.89150.72179.66
Loss Standard Deviation2.782.402.53
Sharpe Ratio (1%)0.520.620.600.630.740.740.820.931.10
Average Gain / Average Loss1.933.773.26
Profit / Loss Ratio5.5716.1456.72
Downside Deviation (10%)1.942.072.070.780.88
Downside Deviation (5%)1.821.711.56
Downside Deviation (0%)1.801.621.45
Sortino Ratio (10%)1.163.427.3237.3665.58
Sortino Ratio (5%)1.414.7310.94
Sortino Ratio (0%)1.485.1312.10

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.