Goldman Management, Inc : Stock Index Futures

Year-to-Date
7.28%
Jan Performance
7.28%
Min Investment
$ 450k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.83%
Sharpe (RFR=1%)
0.88
CAROR
8.75%
Assets
$ 101.0M
Worst DD
-11.26
S&P Correlation
0.97

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
1/2012
Stock Index Futures 7.28 0.97 7.28 -2.47 33.34 43.46 - 81.15
S&P 500 7.87 -0.28 7.87 -4.24 37.96 50.16 - 103.96
+/- S&P 500 -0.59 1.25 -0.59 1.77 -4.62 -6.71 - -22.81

Strategy Description

Summary

GM 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

GM 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 Strategy

Using 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 Management

1 –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.

   

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
-11.26 3 - 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
-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
-1.35 1 2 2/1/2015 3/1/2015
-1.20 1 1 6/1/2014 7/1/2014
-1.07 1 1 8/1/2014 9/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
16.69 10 4/1/2017 1/1/2018
12.52 7 11/1/2012 5/1/2013
12.15 4 9/1/2013 12/1/2013
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
7.28 1 1/1/2019 1/1/2019
6.80 3 1/1/2012 3/1/2012
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
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-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
-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 10/1/2012 10/1/2012
-1.35 1 3/1/2015 3/1/2015
-1.20 1 7/1/2014 7/1/2014
-1.07 1 9/1/2014 9/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods85.0083.0080.0074.0068.0062.0050.0038.0026.00
Percent Profitable69.4177.1182.5085.1498.53100.00100.00100.00100.00
Average Period Return0.732.084.429.6114.9819.8527.1336.8255.05
Average Gain2.013.675.9111.6615.2419.8527.1336.8255.05
Average Loss-2.35-3.25-2.57-2.13-2.74
Best Period7.289.8213.8125.1330.2537.4545.1447.1070.11
Worst Period-7.33-11.26-7.07-6.85-2.742.6015.8118.0228.44
Standard Deviation2.553.754.467.098.9210.087.955.939.32
Gain Standard Deviation1.522.253.265.468.7210.087.955.939.32
Loss Standard Deviation1.922.692.012.04
Sharpe Ratio (1%)0.260.490.881.211.511.773.035.525.36
Average Gain / Average Loss0.861.132.305.485.56
Profit / Loss Ratio2.103.8010.8431.37372.76
Downside Deviation (10%)1.782.492.302.992.812.090.57
Downside Deviation (5%)1.642.091.521.420.60
Downside Deviation (0%)1.602.001.351.110.33
Sortino Ratio (10%)0.180.340.851.542.634.6026.69
Sortino Ratio (5%)0.400.882.586.0522.63
Sortino Ratio (0%)0.461.043.298.6445.08

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.