Goldman Management, Inc : Stock Index Futures (Prop) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 6.01% Dec Performance 2.75% Min Investment $ 450k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 11.66% Sharpe (RFR=1%) 0.92 CAROR 11.64% Assets $ 17.0M Worst DD -17.80 S&P Correlation 0.69 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since2/2002 Stock Index Futures (Prop) 2.75 9.37 6.01 6.01 25.37 56.21 127.22 702.50 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 235.88 +/- S&P 500 -0.96 -2.32 -10.25 -10.25 -15.10 -25.68 -68.36 466.62 Strategy Description SummaryGMI’s multi decade mission has been to quantify the inputs and drivers that directly and indirectly control equity prices. The mission is to discover all quantitative factors than in particular environments provide predictive forecast for stock prices. Once identified, a driver is... Read More Account & Fees Type Managed Account Minimum Investment $ 450k Trading Level Incremental Increase $ 60k CTA Max Funding Factor 2.50 Management Fee 1.00% Performance Fee 20.00% Average Commission $7.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 200 RT/YR/$M Avg. Margin-to-Equity 5% Targeted Worst DD -6.00% Worst Peak-to-Trough 14.40% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 10.00% 1-3 Months 25.00% 1-30 Days 65.00% Intraday 0% Decision-Making Discretionary 100.00% Systematic 0% Strategy Fundamental 20.00% Momentum 20.00% Technical 20.00% Trend-following 20.00% Other 20.00% Composition Stock Indices 100.00% SummaryGMI’s multi decade mission has been to quantify the inputs and drivers that directly and indirectly control equity prices. The mission is to discover all quantitative factors than in particular environments provide predictive forecast for stock prices. Once identified, a driver is deconstructed and tested at inception and on an ongoing basis, leading to an evolving and robust system. Differentiator One way to differentiate myself from other CTA’s is the through very limited use of leverage. The program is often leveraged less than 1:1 and rarely more than 1.3:1. My alpha is not derived from leverage or diversification, but from my entry and exit points. Two key alpha factors are to identify low risk entry points and then risk management with regard to the exit. By limiting leverage I expand my possible trading bands and avoid potential pitfalls that will produce false signals and unnecessary exits and poor entries. From 2002 to the present, the S&P is higher by 2% per annum VS GMI‘s 14% per annum gains with a beta at .45 or roughly a 13% per annum alpha return. Investment StrategyThe Advisor is offering Clients the opportunity to participate in managed account program, which seeks capital appreciation of Client’s assets through speculative trading in stock index futures. There is no representation being made that these programs will be successful in achieving this goal. 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 the direction and the potential magnitude of the outcome to stock prices. 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 environment 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. There is also a veto power on the indicators and models, which may be implemented during unique circumstances to potentially reduce risk. Risk ManagementRisk 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. 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 -17.80 3 8 12/1/2019 3/1/2020 -14.44 2 6 4/1/2010 6/1/2010 -11.83 4 3 10/1/2008 2/1/2009 -10.88 3 4 9/1/2018 12/1/2018 -7.14 9 5 5/1/2015 2/1/2016 -7.08 6 7 8/1/2007 2/1/2008 -6.90 1 5 1/1/2007 2/1/2007 -6.30 5 8 6/1/2004 11/1/2004 -6.29 5 6 4/1/2011 9/1/2011 -6.01 2 5 1/1/2018 3/1/2018 -5.93 4 2 1/1/2006 5/1/2006 -5.17 6 3 1/1/0001 7/1/2002 -5.08 2 8 3/1/2012 5/1/2012 -4.64 1 2 4/1/2019 5/1/2019 -4.60 1 2 12/1/2009 1/1/2010 -3.84 1 1 12/1/2013 1/1/2014 -3.50 2 1 11/1/2014 1/1/2015 -2.71 1 2 7/1/2013 8/1/2013 -2.01 2 1 11/1/2002 1/1/2003 -1.70 1 1 8/1/2003 9/1/2003 -1.63 2 1 8/1/2016 10/1/2016 -1.45 1 1 5/1/2013 6/1/2013 -1.35 1 2 2/1/2015 3/1/2015 -1.33 1 2 7/1/2019 8/1/2019 -1.13 1 1 6/1/2014 7/1/2014 -1.07 1 1 8/1/2014 9/1/2014 -1.05 2 1 2/1/2004 4/1/2004 -0.29 2 1 9/1/2005 11/1/2005 -0.10 1 1 5/1/2009 6/1/2009 -0.06 1 1 2/1/2017 3/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 28.50 8 6/1/2006 1/1/2007 26.63 4 8/1/2002 11/1/2002 25.38 7 2/1/2003 8/1/2003 23.47 5 10/1/2003 2/1/2004 21.24 5 4/1/2020 8/1/2020 16.70 10 4/1/2017 1/1/2018 15.72 3 3/1/2009 5/1/2009 15.68 4 7/1/2010 10/1/2010 15.32 6 3/1/2007 8/1/2007 14.92 5 12/1/2010 4/1/2011 14.83 4 1/1/2019 4/1/2019 14.78 6 7/1/2009 12/1/2009 12.40 7 11/1/2012 5/1/2013 11.89 4 9/1/2013 12/1/2013 11.87 2 11/1/2020 12/1/2020 10.94 3 2/1/2010 4/1/2010 10.81 4 7/1/2008 10/1/2008 9.38 6 4/1/2018 9/1/2018 9.11 4 11/1/2016 2/1/2017 8.63 5 3/1/2016 7/1/2016 8.21 5 2/1/2014 6/1/2014 7.71 4 9/1/2019 12/1/2019 7.27 4 12/1/2011 3/1/2012 7.25 3 7/1/2005 9/1/2005 5.73 2 6/1/2019 7/1/2019 5.61 2 12/1/2005 1/1/2006 5.56 2 5/1/2004 6/1/2004 5.17 1 2/1/2015 2/1/2015 4.81 1 6/1/2002 6/1/2002 4.73 3 12/1/2004 2/1/2005 4.26 1 10/1/2015 10/1/2015 4.21 1 7/1/2013 7/1/2013 4.16 4 6/1/2012 9/1/2012 3.94 2 10/1/2014 11/1/2014 3.90 1 4/1/2006 4/1/2006 3.50 1 4/1/2005 4/1/2005 3.25 1 3/1/2008 3/1/2008 3.20 1 8/1/2004 8/1/2004 3.20 1 5/1/2008 5/1/2008 2.99 1 8/1/2014 8/1/2014 2.30 1 10/1/2011 10/1/2011 1.59 1 7/1/2015 7/1/2015 1.59 2 4/1/2015 5/1/2015 1.55 1 11/1/2018 11/1/2018 1.10 1 12/1/2007 12/1/2007 0.40 1 12/1/2008 12/1/2008 Show More Consecutive Losses Run-up Length (Mos.) Start End -17.80 3 1/1/2020 3/1/2020 -14.44 2 5/1/2010 6/1/2010 -11.83 2 1/1/2009 2/1/2009 -7.11 1 12/1/2018 12/1/2018 -6.90 1 2/1/2007 2/1/2007 -6.53 3 9/1/2007 11/1/2007 -6.29 5 5/1/2011 9/1/2011 -6.01 2 2/1/2018 3/1/2018 -5.78 2 8/1/2015 9/1/2015 -5.52 1 10/1/2018 10/1/2018 -5.36 4 11/1/2015 2/1/2016 -5.12 1 7/1/2002 7/1/2002 -5.08 2 4/1/2012 5/1/2012 -5.00 1 5/1/2006 5/1/2006 -4.92 2 9/1/2020 10/1/2020 -4.80 1 7/1/2004 7/1/2004 -4.70 2 2/1/2006 3/1/2006 -4.64 1 5/1/2019 5/1/2019 -4.64 4 2/1/2002 5/1/2002 -4.63 3 9/1/2004 11/1/2004 -4.60 1 1/1/2010 1/1/2010 -4.30 1 6/1/2008 6/1/2008 -3.84 1 1/1/2014 1/1/2014 -3.80 1 3/1/2005 3/1/2005 -3.50 2 12/1/2014 1/1/2015 -2.71 1 8/1/2013 8/1/2013 -2.01 2 12/1/2002 1/1/2003 -1.70 1 4/1/2008 4/1/2008 -1.70 1 9/1/2003 9/1/2003 -1.68 1 6/1/2015 6/1/2015 -1.67 2 1/1/2008 2/1/2008 -1.63 3 8/1/2016 10/1/2016 -1.47 2 5/1/2005 6/1/2005 -1.45 1 6/1/2013 6/1/2013 -1.35 1 3/1/2015 3/1/2015 -1.33 1 8/1/2019 8/1/2019 -1.30 1 10/1/2012 10/1/2012 -1.13 1 7/1/2014 7/1/2014 -1.07 1 9/1/2014 9/1/2014 -1.05 2 3/1/2004 4/1/2004 -0.80 1 11/1/2011 11/1/2011 -0.40 1 11/1/2008 11/1/2008 -0.29 2 10/1/2005 11/1/2005 -0.10 1 6/1/2009 6/1/2009 -0.06 1 3/1/2017 3/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods227.00225.00222.00216.00210.00204.00192.00180.00168.00 Percent Profitable66.0875.5678.3888.8996.1999.51100.00100.00100.00 Average Period Return0.982.945.9411.9618.3224.2736.2850.4266.16 Average Gain2.715.168.5313.7519.1824.4036.2850.4266.16 Average Loss-2.49-3.95-3.44-2.39-3.52-1.40 Best Period14.4021.8831.8253.8881.7393.4199.50116.24167.84 Worst Period-10.67-17.80-12.56-9.22-9.86-1.408.1518.0518.89 Standard Deviation3.375.687.7811.4715.2017.0016.2119.4927.55 Gain Standard Deviation2.304.236.6110.8814.8316.9516.2119.4927.55 Loss Standard Deviation2.423.722.962.323.94 Sharpe Ratio (1%)0.270.470.700.961.111.312.052.382.22 Average Gain / Average Loss1.091.312.485.765.4617.40 Profit / Loss Ratio2.204.048.9946.10137.773531.36 Downside Deviation (10%)2.153.153.092.772.921.960.570.260.70 Downside Deviation (5%)2.012.762.281.361.230.26 Downside Deviation (0%)1.982.672.101.100.990.10 Sortino Ratio (10%)0.260.541.122.513.677.1635.75110.0354.90 Sortino Ratio (5%)0.440.972.398.0513.6887.18 Sortino Ratio (0%)0.491.102.8310.9018.43247.17 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. x {{title}} x {{title}} Add Cancel