Goldman Management, Inc : Stock Index Futures (Prop)

Year-to-Date
17.42%
Oct Performance
1.52%
Min Investment
$ 450k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
11.15%
Sharpe (RFR=1%)
0.97
CAROR
11.78%
Assets
$ 16.7M
Worst DD
-14.44
S&P Correlation
0.65

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2002
Stock Index Futures (Prop) 1.52 1.42 17.42 10.76 36.92 41.10 132.00 622.42
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 171.63
+/- S&P 500 -0.52 -0.50 -3.74 -1.25 -4.49 -7.89 -58.12 450.80

Strategy Description

Summary

GMI’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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

GMI’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 Strategy

The 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 Management

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
-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
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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
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
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
7.27 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
2.79 2 9/1/2019 10/1/2019
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-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
-4.80 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods213.00211.00208.00202.00196.00190.00178.00166.00154.00
Percent Profitable66.2075.8379.8190.1096.43100.00100.00100.00100.00
Average Period Return0.983.006.1312.5119.0825.2737.3651.4768.64
Average Gain2.635.078.3914.0919.8825.2737.3651.4768.64
Average Loss-2.33-3.48-2.84-1.89-2.61
Best Period14.4021.8831.8253.8881.7393.4199.50116.24167.84
Worst Period-9.10-13.25-9.45-6.94-9.000.7214.8418.0528.22
Standard Deviation3.225.427.5411.4515.3317.0716.1819.7927.26
Gain Standard Deviation2.284.276.6710.9515.0117.0716.1819.7927.26
Loss Standard Deviation2.193.032.261.633.23
Sharpe Ratio (1%)0.280.510.751.001.151.362.122.402.33
Average Gain / Average Loss1.131.462.967.457.62
Profit / Loss Ratio2.304.5711.6867.79205.70
Downside Deviation (10%)1.992.752.622.412.621.650.080.27
Downside Deviation (5%)1.852.351.801.040.980.09
Downside Deviation (0%)1.812.261.620.780.75
Sortino Ratio (10%)0.290.641.403.124.399.10264.59110.22
Sortino Ratio (5%)0.491.173.1211.0717.94249.38
Sortino Ratio (0%)0.541.333.7816.1025.43

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.