Greenwave Capital Management : Greenwave Flagship Discretionary Plus

Year-to-Date
10.27%
May Performance
2.65%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
5.37%
Sharpe (RFR=1%)
-0.07
CAROR
0.46%
Assets
$ 382.0M
Worst DD
-12.59
S&P Correlation
-0.26

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
9/2012
Greenwave Flagship Discretionary Plus 2.65 -4.61 -10.27 -6.61 -3.17 2.00 - 3.17
S&P 500 -6.58 -1.17 9.77 1.72 29.91 41.62 - 89.08
+/- S&P 500 9.23 -3.43 -20.05 -8.33 -33.08 -39.61 - -85.92

Strategy Description

Summary

Greenwave Flagship is a 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 are low... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.50%
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
2400 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
0%
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%
Precious Metals
1.00%
Energy
1.00%
Interest Rates
1.00%
Composition Pie Chart

Summary

Greenwave Flagship is a 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 are low downside volatility and the use of very low margin. The returns are uncorrelated to actively managed FX, Macro, CTA, and equity strategies. The manager 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.

   

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
-12.59 4 - 12/1/2018 4/1/2019
-4.90 5 4 11/1/2014 4/1/2015
-4.22 4 6 8/1/2017 12/1/2017
-3.37 11 4 3/1/2016 2/1/2017
-2.94 2 4 8/1/2015 10/1/2015
-2.57 15 3 5/1/2013 8/1/2014
-2.43 1 1 6/1/2018 7/1/2018
-0.64 1 1 10/1/2018 11/1/2018
-0.61 1 1 8/1/2018 9/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
7.72 6 3/1/2017 8/1/2017
6.04 4 5/1/2015 8/1/2015
4.38 2 1/1/2018 2/1/2018
3.96 1 8/1/2018 8/1/2018
3.53 9 9/1/2012 5/1/2013
3.17 2 2/1/2016 3/1/2016
3.14 3 4/1/2018 6/1/2018
2.65 1 5/1/2019 5/1/2019
2.55 2 11/1/2015 12/1/2015
2.42 1 9/1/2014 9/1/2014
1.98 3 11/1/2013 1/1/2014
1.49 1 10/1/2016 10/1/2016
1.33 1 10/1/2018 10/1/2018
1.04 1 12/1/2018 12/1/2018
0.75 1 11/1/2014 11/1/2014
0.75 1 11/1/2017 11/1/2017
0.74 1 3/1/2015 3/1/2015
0.70 1 1/1/2017 1/1/2017
0.32 2 6/1/2014 7/1/2014
0.22 1 7/1/2016 7/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.59 4 1/1/2019 4/1/2019
-4.39 3 12/1/2014 2/1/2015
-3.55 2 9/1/2017 10/1/2017
-2.94 2 9/1/2015 10/1/2015
-2.43 1 7/1/2018 7/1/2018
-2.28 1 3/1/2018 3/1/2018
-2.25 1 2/1/2017 2/1/2017
-2.23 2 8/1/2016 9/1/2016
-2.20 5 6/1/2013 10/1/2013
-2.04 4 2/1/2014 5/1/2014
-1.44 1 12/1/2017 12/1/2017
-1.26 1 4/1/2015 4/1/2015
-1.00 3 4/1/2016 6/1/2016
-0.66 1 1/1/2016 1/1/2016
-0.64 1 11/1/2018 11/1/2018
-0.61 1 9/1/2018 9/1/2018
-0.59 1 8/1/2014 8/1/2014
-0.29 2 11/1/2016 12/1/2016
-0.17 1 10/1/2014 10/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00
Percent Profitable54.3251.9059.2164.2970.3186.2193.48100.00
Average Period Return0.050.140.531.342.153.124.906.38
Average Gain1.102.092.543.223.834.105.496.38
Average Loss-1.23-1.96-2.39-2.05-1.85-3.05-3.58
Best Period4.374.707.728.1210.099.5712.6012.74
Worst Period-4.43-10.89-12.25-8.65-6.35-4.48-5.930.09
Standard Deviation1.552.723.233.333.373.484.143.34
Gain Standard Deviation0.971.311.622.262.282.583.553.34
Loss Standard Deviation1.122.232.711.941.781.282.18
Sharpe Ratio (1%)-0.02-0.040.010.100.190.320.450.69
Average Gain / Average Loss0.891.071.061.572.071.351.54
Profit / Loss Ratio1.091.151.542.824.918.4222.01
Downside Deviation (10%)1.322.703.624.886.387.9211.6115.52
Downside Deviation (5%)1.142.162.512.152.082.011.861.13
Downside Deviation (0%)1.102.052.291.671.381.221.02
Sortino Ratio (10%)-0.27-0.40-0.54-0.75-0.85-0.90-0.94-0.98
Sortino Ratio (5%)-0.03-0.050.010.160.310.551.002.06
Sortino Ratio (0%)0.050.070.230.801.552.564.80

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 4.37 1/2018

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