GraniteStar Capital, Inc. : GLS Leveraged Trading Fund, LP

archived programs
Year-to-Date
N / A
Dec Performance
0.14%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
32.00%
Annualized Vol
3.68%
Sharpe (RFR=1%)
0.26
CAROR
1.90%
Assets
$ 1.6M
Worst DD
-4.69
S&P Correlation
0.32

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 YTD 1yr 3yr 5yr 10yr Since
1/2008
GLS Leveraged Trading Fund, LP 0.14 - - - - - 0.81 9.85
S&P 500 0.71 - - - - - 62.07 151.29
+/- S&P 500 -0.57 - - - - - -61.26 -141.44

Strategy Description

Summary

Our fund offers two trading strategies, our Discretionary Strategy and our System Rules-Based Strategy. Our primary investment objective is to provide long-term capital appreciation for our clients at acceptable levels of volatility, while maintaining a low level of correlation to... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 32.00%
Average Commission $2.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 4.69%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Counter-trend
50.00%
Momentum
25.00%
Technical
25.00%
Strategy Pie Chart

Composition

Stock Indices
65.00%
Currency Futures
10.00%
Precious Metals
10.00%
Energy
10.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

Our fund offers two trading strategies, our Discretionary Strategy and our System Rules-Based Strategy. Our primary investment objective is to provide long-term capital appreciation for our clients at acceptable levels of volatility, while maintaining a low level of correlation to other investment strategies and asset classes.

Investment Strategy

The Discretionary Strategy capitalizes on intraday breakouts and movements within a trading range in the E-Mini S&P 500 futures market. We use a combination of technical tools including dynamic moving averages, overbought-oversold indicators, Fibonacci percentages, Market Profile, proprietary research and pattern recognition in an attempt to identify high probability, favorable, asymmetric risk-reward trading opportunities. We us stop losses on every trade and no overnight positions are held. The System Rules Based Strategy is an automated, moving average based system that is directional with a counter trend component. It automatically buys and sells 10 exchange traded domestic futures contracts on a change in trend (fast moving average crosses slow) and when their is a large enough retracement within a trend and a move in the original direction. It makes about 100 trades per contract per year, 40% winning, 60% losing trades. It lets profits run in profitable trades are only exited after an over bought or over sold situation occurs and there is a large enough move in the other direction.

Risk Management

For Discretionary Strategy: We use two rules in an effort to manage risk: a maximum allowable $ risk per trade (R) and a maximum allowable $ loss per day (4R) based on AUM. We enter a stop-loss order shortly after every position is opened. The price of the stop-loss order is based on support and resistance levels and may never be placed at a price level such that, if executed at that price, would allow the maximum allowable risk per trade to be exceeded. Contract sizes are adjusted based on market volatility to maintain a constant R per trade as position of stop loss orders are adjusted. If support or resistance levels dictate a risk greater than the maximum allowable loss, the trade cannot be initiated. the stop-loss order is based on support and resistance levels and may never be placed at a price level such that, if executed at that price, would allow the maximum allowable loss per trade to be exceeded. If support or resistance levels dictate a risk greater than the maximum allowable loss, the trade cannot be initiated.Reward Per TradeWe let the market dictate how much profit to take on any given trade. In a trending market, for example, we will usually wait for market momentum to slow substantially or reverse direction to take profits. In other words, as long as the momentum and the trend remain favorable, we will hold onto the position. As a protective measure, stop-loss orders are actively adjusted as key levels of support or resistance are penetrated to lock in profits. In a non-trending market, however, profits may be taken as soon as the market reaches short-term support or resistance or an overbought or oversold condition. For the System Rules Based Strategy, we establish a maximum allowable loss per trade (0.1% to 0.2% of capital) and adjust the contract sizes based on market volatility. Stop loss orders are automatically entered and adjusted based on market volatility. We shut off the system when it meets the maximum loss per day or when we feel that the market conditions are not conducive to its trading rules.

   

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
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Sharpe Ratio: (RF=1%)
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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
-4.69 10 5 1/1/0001 10/1/2008
-3.25 23 - 10/1/2009 9/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
16.54 12 11/1/2008 10/1/2009
2.98 1 4/1/2008 4/1/2008
1.72 4 10/1/2011 1/1/2012
1.32 2 11/1/2012 12/1/2012
1.09 1 6/1/2012 6/1/2012
1.04 1 5/1/2010 5/1/2010
0.75 2 2/1/2010 3/1/2010
0.72 1 9/1/2010 9/1/2010
0.62 1 2/1/2011 2/1/2011
0.44 2 11/1/2010 12/1/2010
0.34 1 4/1/2011 4/1/2011
0.33 1 3/1/2012 3/1/2012
0.31 1 7/1/2008 7/1/2008
0.24 1 12/1/2009 12/1/2009
0.23 1 9/1/2008 9/1/2008
0.03 1 8/1/2011 8/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.53 3 1/1/2008 3/1/2008
-2.21 2 5/1/2008 6/1/2008
-2.05 1 10/1/2008 10/1/2008
-1.69 1 11/1/2009 11/1/2009
-1.68 4 7/1/2012 10/1/2012
-1.15 1 1/1/2010 1/1/2010
-1.12 3 5/1/2011 7/1/2011
-1.07 1 10/1/2010 10/1/2010
-0.97 3 6/1/2010 8/1/2010
-0.69 1 3/1/2011 3/1/2011
-0.59 1 1/1/2011 1/1/2011
-0.44 2 4/1/2012 5/1/2012
-0.38 1 8/1/2008 8/1/2008
-0.11 1 4/1/2010 4/1/2010
-0.10 1 2/1/2012 2/1/2012
-0.05 1 9/1/2011 9/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable55.0053.4554.5567.3562.7970.2788.00100.00
Average Period Return0.160.531.162.884.234.797.0311.78
Average Gain0.841.733.034.807.217.238.1911.78
Average Loss-0.66-0.85-1.08-1.09-0.81-1.00-1.47
Best Period3.847.8011.3416.5414.2613.9213.8113.75
Worst Period-2.05-3.53-4.06-2.45-2.14-2.51-2.409.12
Standard Deviation1.062.013.424.995.775.865.171.47
Gain Standard Deviation0.881.953.635.045.365.314.331.47
Loss Standard Deviation0.560.860.880.880.610.861.00
Sharpe Ratio (1%)0.070.140.190.380.470.470.775.25
Average Gain / Average Loss1.262.032.814.408.907.245.59
Profit / Loss Ratio1.542.333.379.0715.0217.1040.96
Downside Deviation (10%)0.811.592.684.346.087.8610.099.87
Downside Deviation (5%)0.620.951.221.321.511.831.83
Downside Deviation (0%)0.580.820.930.790.610.710.58
Sortino Ratio (10%)-0.30-0.44-0.49-0.49-0.55-0.70-0.87-0.99
Sortino Ratio (5%)0.130.290.551.421.801.522.18
Sortino Ratio (0%)0.280.641.253.646.906.7912.08

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.