Greenwave Capital Management : Greenwave Flagship

Year-to-Date
N / A
Nov Performance
0.11%
Min Investment
$ 10,000k
Mgmt. Fee
0.25%
Perf. Fee
20.00%
Annualized Vol
1.34%
Sharpe (RFR=1%)
-0.19
CAROR
0.73%
Assets
$ 32.0M
Worst DD
-1.47
S&P Correlation
-0.31

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
6/2008
Greenwave Flagship 0.11 0.18 - 0.35 0.58 1.36 - 6.42
S&P 500 3.42 1.28 - 5.69 21.76 76.33 - 66.08
+/- S&P 500 -3.31 -1.10 - -5.34 -21.18 -74.96 - -59.66

Strategy Description

Summary

Greenwave employs a discretionary global macro approach with an emphasis on G20 currencies. GCM incorporates a two step investment process. We begin with top down, macroeconomic analysis to determine the fundamental themes in which to engage. The goal is to identify the dominant drivers... Read More

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
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
4.00%
Worst Peak-to-Trough
-3.17%
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%

Composition

Currency Futures
55.00%
Currency FX
40.00%
Stock Indices
2.00%
Interest Rates
1.00%
Energy
1.00%
Precious Metals
1.00%
Composition Pie Chart

Summary

Greenwave employs a discretionary global macro approach with an emphasis on G20 currencies. GCM incorporates a two step investment process. We begin with top down, macroeconomic analysis to determine the fundamental themes in which to engage. The goal is to identify the dominant drivers in the current market environment with a focus on central bank activity, political trends and geopolitical events. From this, GCM develops fundamental themes typically looking six to twelve months forward. In the second step, we employ a multi-layered quantitative process to identify the optimal timing and trade location at which to deploy risk in these themes. While themes are typically six to twelve months in duration, GCM will tactically trade around these core exposures. In addition, we will take shorter term tactical trades based purely on technical analysis when the opportunity presents itself.

Risk Management

Risk is measured by risk-to-stop. Location of stops are based on our proprietary measure of market volatility. The goal is to place the stop at a point that will not be elected by random noise. The greater the distance from trade initiation to stop level, the smaller the position size. Portfolio risk is measured through total risk-to-stop, which assumes no correlation benefits across positions.

   

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
-1.47 7 13 1/1/2009 8/1/2009
-0.91 3 1 5/1/2011 8/1/2011
-0.87 3 1 6/1/2008 9/1/2008
-0.79 2 1 10/1/2008 12/1/2008
-0.60 23 10 5/1/2013 4/1/2015
-0.42 3 9 5/1/2012 8/1/2012
-0.27 4 2 9/1/2010 1/1/2011
-0.21 2 1 7/1/2016 9/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
4.10 9 9/1/2011 5/1/2012
2.39 1 10/1/2008 10/1/2008
1.41 8 2/1/2010 9/1/2010
1.29 1 1/1/2009 1/1/2009
0.82 4 2/1/2011 5/1/2011
0.71 2 9/1/2009 10/1/2009
0.43 7 11/1/2012 5/1/2013
0.37 2 10/1/2016 11/1/2016
0.33 1 11/1/2015 11/1/2015
0.31 3 9/1/2014 11/1/2014
0.27 2 7/1/2015 8/1/2015
0.25 1 6/1/2008 6/1/2008
0.20 1 2/1/2016 2/1/2016
0.19 1 8/1/2008 8/1/2008
0.18 1 5/1/2015 5/1/2015
0.11 1 4/1/2009 4/1/2009
0.11 1 3/1/2015 3/1/2015
0.09 1 1/1/2014 1/1/2014
0.04 1 11/1/2013 11/1/2013
0.03 1 7/1/2016 7/1/2016
0.03 1 11/1/2010 11/1/2010
0.02 1 1/1/2015 1/1/2015
0.01 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.24 4 5/1/2009 8/1/2009
-0.91 3 6/1/2011 8/1/2011
-0.79 2 11/1/2008 12/1/2008
-0.63 1 7/1/2008 7/1/2008
-0.54 3 11/1/2009 1/1/2010
-0.43 1 9/1/2008 9/1/2008
-0.42 5 6/1/2012 10/1/2012
-0.37 5 6/1/2013 10/1/2013
-0.35 2 2/1/2009 3/1/2009
-0.26 5 2/1/2014 6/1/2014
-0.24 2 12/1/2010 1/1/2011
-0.23 2 9/1/2015 10/1/2015
-0.22 1 4/1/2015 4/1/2015
-0.21 2 8/1/2016 9/1/2016
-0.19 1 2/1/2015 2/1/2015
-0.06 1 10/1/2010 10/1/2010
-0.05 1 6/1/2015 6/1/2015
-0.05 1 12/1/2014 12/1/2014
-0.05 1 12/1/2013 12/1/2013
-0.04 1 8/1/2014 8/1/2014
-0.04 2 12/1/2015 1/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods102.00100.0097.0091.0085.0079.0067.0055.0043.00
Percent Profitable50.9858.0063.9274.7375.2975.9589.55100.00100.00
Average Period Return0.060.190.370.681.031.452.313.194.03
Average Gain0.260.500.751.021.441.992.613.194.03
Average Loss-0.17-0.27-0.30-0.33-0.22-0.25-0.22
Best Period2.392.963.803.674.064.835.096.366.52
Worst Period-0.91-1.19-1.31-1.31-0.53-0.59-0.410.071.36
Standard Deviation0.390.610.851.111.331.651.841.811.07
Gain Standard Deviation0.430.590.831.071.281.541.711.811.07
Loss Standard Deviation0.190.270.280.320.130.180.19
Sharpe Ratio (1%)-0.05-0.11-0.15-0.29-0.36-0.34-0.39-0.48-0.99
Average Gain / Average Loss1.571.852.523.066.457.8812.01
Profit / Loss Ratio1.862.754.469.0519.6524.87102.93
Downside Deviation (10%)0.451.182.264.466.698.9513.5718.4523.62
Downside Deviation (5%)0.210.380.540.841.121.441.811.881.45
Downside Deviation (0%)0.170.240.240.230.130.150.09
Sortino Ratio (10%)-0.76-0.88-0.93-0.97-0.98-0.98-0.99-1.00-1.00
Sortino Ratio (5%)-0.10-0.17-0.24-0.38-0.42-0.39-0.40-0.46-0.73
Sortino Ratio (0%)0.370.771.512.938.079.6725.85

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 2.39 10/2008

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.