Goldman Management, Inc : Stock Index Futures Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.26% Feb Performance 2.40% Min Investment $ 450k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 10.41% Sharpe (RFR=1%) 0.77 CAROR 8.80% Assets $ 70.0M Worst DD -18.60 S&P Correlation 0.97 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since1/2012 Stock Index Futures 2.40 1.26 1.26 29.53 24.21 53.30 - 116.59 S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 - 209.36 +/- S&P 500 -3.54 -7.38 -3.50 -3.67 -20.77 -48.27 - -92.77 Strategy Description SummaryGM trading strategy is a product of over 30 years of rigorous research developing tools to forecast the short term, intermediate and long term direction in stock indexes. Hundred of indicators and model are employed, using a quantitative analysis, many of these indicators date back... Read More Account & Fees Type Managed Account Minimum Investment $ 450k Trading Level Incremental Increase $ 60k CTA Max Funding Factor 1.00 Management Fee 1.00% Performance Fee 20.00% Average Commission $15.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 250 RT/YR/$M Avg. Margin-to-Equity 5% Targeted Worst DD -6.00% Worst Peak-to-Trough 14.00% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 20.00% 1-3 Months 40.00% 1-30 Days 40.00% Intraday 0% Decision-Making Discretionary 100.00% Systematic 0% Strategy Counter-trend 20.00% Momentum 20.00% Technical 20.00% Trend-following 20.00% Other 20.00% Composition Stock Indices 100.00% SummaryGM trading strategy is a product of over 30 years of rigorous research developing tools to forecast the short term, intermediate and long term direction in stock indexes. Hundred of indicators and model are employed, using a quantitative analysis, many of these indicators date back to the early 1900’s. These indicators comprise the principals of both technical and fundamental analysis. The exact nature of GM trading strategy is proprietary and confidential. The following description is of necessity and is not intended to be all inclusive. The categories in which these indicators fall into are numerous and although not exclusive are as follows: the stock market structure, momentum, overbought and oversold, market sentiment from contrary standpoint, valuations, monetary climate, macro factors etc. Each of these categories has different forecasting values and timeliness and when combined can enhance the reliability of a signal. The essence of these models and indicators are used to identify beforehand the market climate likely to be encountered. The principle objective of GM is to profit from all types of markets while using strict control measures to minimize risk. Analysis and research into improving systems and strategies is an ongoing process. It may be determined that minor modifications to one or more trading models would improve performance. New systems and or models may be added, removed or modified for future use. Managed account clients will not be informed with respect to such minor changes in GM trading methods. The program enters both long and short positions and the level of investment varies.Investment StrategyUsing quantitative analysis hundreds of indicators and several dozen models are employed. Many of these indicators have been tested though market cycles dating back to the early 1900’s and include both technical and fundamental analysis. Alignments in the groups of indicators at inflection points determine change in direction and the potential magnitude of the outcome. Categories in which these indicators fall into are numerous and although not exclusive are as follows: the stock market structure, momentum, overbought and oversold, market sentiment and contrarian tools, valuations, monetary climate and macro factors. Each of these categories has different forecasting values and timeliness. Combining groups of indicators into an overlay can enhance the reliability of a signal. The models and indicators are also used to identify in advance the market climate likely to be encountered, whether trending or range bound, enabling the principle objective of GMI which is to profit from all types of markets while using strict control measures to minimize risk. Analysis and research to improve systems and strategies is an ongoing process. Above the models and indicators there is also a veto power invoked in unique circumstances to reduce risk.Risk Management1 –Risk and leverage are dynamically managed by varying exposure levels in accord with signal strength. 2 –Alignment, when numerous models from different categories are aligned a larger risk band and larger profit objective are deployed. 3- Equity curve and gains/drawdown dictate an adaptive strategy to expand or contract risk. 4- Risk process is ongoing throughout the trading day as well as end of day. Essentially a dynamic risk management program that employs the relative strength of the trading signals, the amount of leverage being utilized, and finally my discretionary overlay to constantly manage risk and volatility. 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 -18.60 3 8 12/1/2019 3/1/2020 -11.26 3 4 9/1/2018 12/1/2018 -7.22 9 5 5/1/2015 2/1/2016 -6.12 2 5 1/1/2018 3/1/2018 -5.62 2 8 3/1/2012 5/1/2012 -4.82 1 2 4/1/2019 5/1/2019 -3.95 1 1 12/1/2013 1/1/2014 -3.50 2 1 11/1/2014 1/1/2015 -2.75 1 2 7/1/2013 8/1/2013 -1.70 2 1 8/1/2016 10/1/2016 -1.50 1 1 5/1/2013 6/1/2013 -1.40 1 2 7/1/2019 8/1/2019 -1.35 1 2 2/1/2015 3/1/2015 -1.20 1 1 6/1/2014 7/1/2014 -1.11 1 1 12/1/2020 1/1/2021 -1.07 1 1 8/1/2014 9/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 20.62 5 4/1/2020 8/1/2020 16.69 10 4/1/2017 1/1/2018 14.51 4 1/1/2019 4/1/2019 12.52 7 11/1/2012 5/1/2013 12.15 4 9/1/2013 12/1/2013 11.38 2 11/1/2020 12/1/2020 9.40 4 11/1/2016 2/1/2017 9.12 6 4/1/2018 9/1/2018 9.05 5 3/1/2016 7/1/2016 8.37 5 2/1/2014 6/1/2014 7.31 4 9/1/2019 12/1/2019 6.80 3 1/1/2012 3/1/2012 5.50 2 6/1/2019 7/1/2019 5.18 1 2/1/2015 2/1/2015 4.88 4 6/1/2012 9/1/2012 4.35 1 7/1/2013 7/1/2013 4.30 1 10/1/2015 10/1/2015 3.98 2 10/1/2014 11/1/2014 3.21 1 8/1/2014 8/1/2014 2.40 1 2/1/2021 2/1/2021 1.78 2 4/1/2015 5/1/2015 1.65 1 7/1/2015 7/1/2015 1.56 1 11/1/2018 11/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -18.60 3 1/1/2020 3/1/2020 -7.33 1 12/1/2018 12/1/2018 -6.12 2 2/1/2018 3/1/2018 -5.83 2 8/1/2015 9/1/2015 -5.71 1 10/1/2018 10/1/2018 -5.62 2 4/1/2012 5/1/2012 -5.48 4 11/1/2015 2/1/2016 -4.82 1 5/1/2019 5/1/2019 -4.79 2 9/1/2020 10/1/2020 -3.95 1 1/1/2014 1/1/2014 -3.50 2 12/1/2014 1/1/2015 -2.75 1 8/1/2013 8/1/2013 -1.70 3 8/1/2016 10/1/2016 -1.68 1 6/1/2015 6/1/2015 -1.50 1 6/1/2013 6/1/2013 -1.40 1 8/1/2019 8/1/2019 -1.40 1 10/1/2012 10/1/2012 -1.35 1 3/1/2015 3/1/2015 -1.20 1 7/1/2014 7/1/2014 -1.11 1 1/1/2021 1/1/2021 -1.07 1 9/1/2014 9/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods110.00108.00105.0099.0093.0087.0075.0063.0051.00 Percent Profitable69.0977.7879.0582.8393.5598.85100.00100.00100.00 Average Period Return0.752.194.198.1912.9017.4926.0335.7747.26 Average Gain2.254.076.4010.5214.0017.7426.0335.7747.26 Average Loss-2.76-4.38-4.17-3.09-3.00-4.10 Best Period8.4511.2317.2225.1330.2537.4545.1450.8470.11 Worst Period-11.24-18.60-13.64-10.97-12.12-4.105.0618.0216.34 Standard Deviation3.004.755.737.498.9610.088.726.4812.52 Gain Standard Deviation1.692.733.765.828.129.878.726.4812.52 Loss Standard Deviation2.574.473.853.074.54 Sharpe Ratio (1%)0.220.410.640.961.271.542.644.893.37 Average Gain / Average Loss0.820.931.543.404.674.33 Profit / Loss Ratio1.943.255.7916.4267.67372.10 Downside Deviation (10%)2.193.363.523.753.653.111.570.601.82 Downside Deviation (5%)2.053.002.742.101.580.66 Downside Deviation (0%)2.022.922.571.781.300.44 Sortino Ratio (10%)0.160.290.490.851.452.336.5223.7110.76 Sortino Ratio (5%)0.330.651.343.427.2323.43 Sortino Ratio (0%)0.370.751.634.609.9239.79 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 6 5.18 2/2015 Stock Index Trader Index Month 8 5.18 2/2015 Stock Index Trader Index Month 5 1.80 10/2014 Stock Index Trader Index Month 5 4.76 2/2014 Discretionary Trader Index Month 10 4.76 2/2014 Stock Index Trader Index Month 7 2.77 11/2013 Discretionary Trader Index Month 10 4.08 10/2013 Stock Index Trader Index Month 3 4.08 10/2013 Stock Index Trader Index Month 7 2.67 9/2013 Discretionary Trader Index Month 10 2.67 9/2013 Discretionary Trader Index Month 10 4.35 7/2013 Stock Index Trader Index Month 5 4.35 7/2013 Stock Index Trader Index Month 6 1.75 5/2013 Discretionary Trader Index Month 2 3.15 3/2013 Stock Index Trader Index Month 5 3.15 3/2013 Stock Index Trader Index Month 6 3.93 1/2013 Discretionary Trader Index Month 10 3.93 1/2013 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