Greenwave Capital Management : Greenwave Flaghship (Futures Only)

Year-to-Date: N / A
Jul Performance: 0.03%

Min Investment: $ 10,000k
Mgmt. Fee: 0.25%
Perf. Fee: 20.00%

Annualized Vol: 0.81%
Sharpe (RFR=1%): -0.61
CAROR: 0.50%

Assets: $ 397.0M
Worst DD: -0.79
S&P Correlation: -0.20

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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	Jul	Qtr	2020	1yr	3yr	5yr	10yr	Since 7/2008
Greenwave Flaghship (Futures Only)	0.03	-	-	-	0.20	0.51	3.77	5.69
S&P 500	1.31	-	-	-	35.72	52.80	198.70	193.30
+/- S&P 500	-1.28	-	-	-	-35.52	-52.29	-194.93	-187.61

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 10,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor	1.00
Management Fee	0.25%
Performance Fee	20.00%
Average Commission	$1.00
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	400 RT/YR/$M
Avg. Margin-to-Equity	0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus	Currency Traders

Holding Periods

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

Decision-Making

Discretionary	100.00%
Systematic	0%

Strategy

Counter-trend: 20.00%
Fundamental: 50.00%
Option-purchasing: 5.00%
Seasonal/cyclical: 5.00%
Spreading/hedging: 5.00%
Trend-following: 15.00%

Composition

Currency FX: 95.00%
Stock Indices: 2.00%
Precious Metals: 1.00%
Energy: 1.00%
Interest Rates: 1.00%

Summary

Greenwave Capital Management’s Flagship strategy is a Short Term Tactical Discretionary Global Macro strategy with an emphasis on G20 Currencies. The strategy combines medium to long term fundamental and technical analysis with short term trading in order to adapt to changing market environments. The key differentiators include low downside volatility, low historical drawdowns, and low margin use. The returns are uncorrelated to actively managed FX, Macro, CTA, and equity strategies. GCM engages in rigorous risk management with a focus on liquid markets and defined risk. Jamie Charles (CIO) has over 30 years of experience trading global markets.

Risk Management

Greenwave Capital offers twenty-four risk management. Position sizing is constantly adjusted according to volatility and liquidity of the market traded. Defined Stop Loss limits are applied to every position, risking no more than 12-15 bps of the account’s trading level on an individual trade. Stops are placed on every position at initiation. Correlations and relationships among trades and strategies are actively monitored. A dynamic risk budget is utilized based on risk/reward, performance, liquidity, conviction, and market environment. Planned trading strategies are used for “Fat Tail” events, Fed Moves, and key economic data.

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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.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
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Average Loss:
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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
-0.79	11	16	1/1/2009	12/1/2009
-0.74	3	1	5/1/2011	8/1/2011
-0.46	12	15	5/1/2013	5/1/2014
-0.35	3	6	5/1/2012	8/1/2012
-0.30	6	-	10/1/2018	4/1/2019
-0.21	3	8	9/1/2017	12/1/2017
-0.20	2	1	8/1/2015	10/1/2015
-0.19	1	1	8/1/2008	9/1/2008
-0.17	1	1	8/1/2016	9/1/2016
-0.15	2	4	12/1/2016	2/1/2017
-0.12	2	2	2/1/2016	4/1/2016
-0.07	1	2	10/1/2008	11/1/2008
-0.03	2	1	11/1/2015	1/1/2016
-0.01	1	1	8/1/2018	9/1/2018

Consecutive Gains

Run-up	Length (Mos.)	Start	End
2.35	2	9/1/2011	10/1/2011
1.06	1	10/1/2008	10/1/2008
0.95	6	12/1/2011	5/1/2012
0.70	2	12/1/2008	1/1/2009
0.66	2	9/1/2009	10/1/2009
0.57	2	7/1/2008	8/1/2008
0.54	4	2/1/2011	5/1/2011
0.44	6	11/1/2012	4/1/2013
0.44	3	1/1/2010	3/1/2010
0.36	3	9/1/2014	11/1/2014
0.32	3	10/1/2016	12/1/2016
0.30	1	11/1/2015	11/1/2015
0.29	2	7/1/2015	8/1/2015
0.29	2	8/1/2010	9/1/2010
0.29	1	4/1/2009	4/1/2009
0.28	5	5/1/2017	9/1/2017
0.20	1	5/1/2015	5/1/2015
0.19	3	5/1/2019	7/1/2019
0.18	3	11/1/2013	1/1/2014
0.18	1	2/1/2016	2/1/2016
0.15	3	4/1/2018	6/1/2018
0.15	3	5/1/2016	7/1/2016
0.14	1	3/1/2015	3/1/2015
0.12	2	5/1/2010	6/1/2010
0.12	1	8/1/2018	8/1/2018
0.11	1	11/1/2010	11/1/2010
0.11	1	1/1/2018	1/1/2018
0.08	1	3/1/2017	3/1/2017
0.08	1	10/1/2018	10/1/2018
0.03	1	7/1/2014	7/1/2014
0.02	1	9/1/2012	9/1/2012
0.01	1	12/1/2018	12/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-0.74	3	6/1/2011	8/1/2011
-0.67	4	5/1/2009	8/1/2009
-0.66	2	11/1/2009	12/1/2009
-0.41	2	2/1/2009	3/1/2009
-0.41	6	5/1/2013	10/1/2013
-0.35	3	6/1/2012	8/1/2012
-0.30	4	1/1/2019	4/1/2019
-0.26	3	12/1/2014	2/1/2015
-0.23	5	2/1/2014	6/1/2014
-0.22	1	4/1/2015	4/1/2015
-0.21	3	10/1/2017	12/1/2017
-0.20	2	9/1/2015	10/1/2015
-0.19	1	9/1/2008	9/1/2008
-0.17	2	8/1/2016	9/1/2016
-0.17	2	12/1/2010	1/1/2011
-0.15	2	1/1/2017	2/1/2017
-0.14	1	4/1/2010	4/1/2010
-0.12	2	3/1/2016	4/1/2016
-0.11	1	10/1/2010	10/1/2010
-0.08	2	2/1/2018	3/1/2018
-0.07	1	7/1/2010	7/1/2010
-0.07	1	11/1/2008	11/1/2008
-0.06	1	7/1/2018	7/1/2018
-0.04	1	4/1/2017	4/1/2017
-0.03	1	6/1/2015	6/1/2015
-0.03	2	12/1/2015	1/1/2016
-0.02	1	8/1/2014	8/1/2014
-0.01	1	11/1/2018	11/1/2018
-0.01	1	9/1/2018	9/1/2018

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	133.00	131.00	128.00	122.00	116.00	110.00	98.00	86.00	74.00
Percent Profitable	52.63	62.60	63.28	80.33	82.76	89.09	96.94	100.00	100.00
Average Period Return	0.04	0.12	0.23	0.43	0.65	0.91	1.44	1.85	2.15
Average Gain	0.17	0.30	0.45	0.58	0.82	1.04	1.49	1.85	2.15
Average Loss	-0.11	-0.18	-0.15	-0.21	-0.17	-0.21	-0.12
Best Period	1.56	2.35	3.03	2.97	3.39	3.24	3.51	4.87	4.93
Worst Period	-0.50	-0.74	-0.65	-0.71	-0.44	-0.43	-0.12	0.35	0.48
Standard Deviation	0.23	0.40	0.54	0.74	0.92	1.07	1.17	1.24	1.25
Gain Standard Deviation	0.25	0.38	0.56	0.74	0.92	1.05	1.15	1.24	1.25
Loss Standard Deviation	0.11	0.17	0.14	0.19	0.12	0.14	0.01
Sharpe Ratio (1%)	-0.18	-0.32	-0.50	-0.78	-0.93	-1.03	-1.36	-1.78	-2.36
Average Gain / Average Loss	1.55	1.64	2.90	2.78	4.94	5.01	12.93
Profit / Loss Ratio	1.91	2.80	5.00	11.34	23.70	40.89	409.30
Downside Deviation (10%)	0.42	1.17	2.31	4.63	7.00	9.40	14.37	19.74	25.50
Downside Deviation (5%)	0.15	0.30	0.46	0.81	1.17	1.48	1.96	2.53	3.20
Downside Deviation (0%)	0.10	0.15	0.13	0.12	0.08	0.08	0.02
Sortino Ratio (10%)	-0.88	-0.95	-0.97	-0.99	-0.99	-0.99	-1.00	-1.00	-1.00
Sortino Ratio (5%)	-0.28	-0.43	-0.59	-0.70	-0.73	-0.75	-0.81	-0.87	-0.92
Sortino Ratio (0%)	0.42	0.80	1.79	3.45	7.75	11.16	71.20

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.

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More Programs by Greenwave Capital Management

Program Name	CAROR
Greenwave Flagship Plus	6.13%
Greenwave Flagship Plus 2x	1.35%

IASG Activity

Blends 29
Portfolios 11
Watchlists 26

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Greenwave Capital Management : Greenwave Flaghship (Futures Only)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Greenwave Capital Management : Greenwave Flaghship (Futures Only)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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