Greenwave Capital Management : Greenwave Flagship Plus

Year-to-Date: 4.70%
Dec Performance: 0.66%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 11.74%
Sharpe (RFR=1%): 0.50
CAROR: 6.37%

Assets: $ 241.0M
Worst DD: -11.62
S&P Correlation: -0.33

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Growth of 1,000 - VAMI

Monthly Performance

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	2019	1yr	3yr	5yr	10yr	Since 6/2008
Greenwave Flagship Plus	0.66	-1.55	-4.70	-4.70	-2.16	3.30	68.98	104.46
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	149.80
+/- S&P 500	-2.20	-10.09	-33.57	-33.57	-45.00	-52.02	-117.76	-45.34

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 1.00
Management Fee: 2.00%
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: 4000 RT/YR/$M
Avg. Margin-to-Equity: 0%
Targeted Worst DD: -12.00%
Worst Peak-to-Trough: 11.75%
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%

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.

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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.

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Index:

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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
-11.62	6	9	2/1/2009	8/1/2009
-9.17	3	1	5/1/2011	8/1/2011
-6.07	3	1	6/1/2008	9/1/2008
-5.52	2	1	10/1/2008	12/1/2008
-5.34	13	-	10/1/2018	11/1/2019
-4.29	13	14	5/1/2013	6/1/2014
-3.76	4	5	6/1/2012	10/1/2012
-2.50	4	2	9/1/2010	1/1/2011
-2.08	3	8	9/1/2017	12/1/2017
-1.70	1	1	8/1/2016	9/1/2016
-1.69	2	5	12/1/2016	2/1/2017
-1.64	2	1	8/1/2015	10/1/2015
-1.38	2	4	2/1/2016	4/1/2016
-0.50	2	1	11/1/2015	1/1/2016
-0.11	1	1	8/1/2018	9/1/2018

Consecutive Gains

Run-up	Length (Mos.)	Start	End
49.19	9	9/1/2011	5/1/2012
23.82	1	10/1/2008	10/1/2008
16.50	8	2/1/2010	9/1/2010
15.10	2	1/1/2009	2/1/2009
8.78	4	2/1/2011	5/1/2011
8.23	2	9/1/2009	10/1/2009
4.12	7	11/1/2012	5/1/2013
3.56	3	9/1/2014	11/1/2014
3.44	3	10/1/2016	12/1/2016
3.23	1	6/1/2008	6/1/2008
2.99	1	8/1/2008	8/1/2008
2.92	5	5/1/2017	9/1/2017
2.80	2	7/1/2015	8/1/2015
2.64	1	11/1/2015	11/1/2015
2.27	1	5/1/2015	5/1/2015
1.92	3	11/1/2013	1/1/2014
1.86	3	5/1/2019	7/1/2019
1.74	1	2/1/2016	2/1/2016
1.40	4	5/1/2016	8/1/2016
1.40	3	4/1/2018	6/1/2018
1.36	1	3/1/2015	3/1/2015
1.34	1	4/1/2009	4/1/2009
1.25	2	1/1/2018	2/1/2018
1.17	1	8/1/2018	8/1/2018
0.86	1	10/1/2018	10/1/2018
0.75	1	3/1/2017	3/1/2017
0.66	1	12/1/2019	12/1/2019
0.38	1	7/1/2014	7/1/2014
0.38	1	11/1/2010	11/1/2010
0.11	1	12/1/2018	12/1/2018
0.07	1	6/1/2009	6/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-11.38	2	7/1/2009	8/1/2009
-9.17	3	6/1/2011	8/1/2011
-5.52	2	11/1/2008	12/1/2008
-5.40	1	7/1/2008	7/1/2008
-4.47	3	11/1/2009	1/1/2010
-3.89	4	8/1/2019	11/1/2019
-3.76	5	6/1/2012	10/1/2012
-3.59	1	9/1/2008	9/1/2008
-3.49	5	6/1/2013	10/1/2013
-3.29	4	1/1/2019	4/1/2019
-2.69	5	2/1/2014	6/1/2014
-2.46	3	12/1/2014	2/1/2015
-2.35	2	12/1/2010	1/1/2011
-2.32	1	4/1/2015	4/1/2015
-2.08	3	10/1/2017	12/1/2017
-1.70	1	9/1/2016	9/1/2016
-1.69	2	1/1/2017	2/1/2017
-1.64	2	9/1/2015	10/1/2015
-1.42	1	3/1/2009	3/1/2009
-1.38	2	3/1/2016	4/1/2016
-0.80	1	3/1/2018	3/1/2018
-0.57	1	7/1/2018	7/1/2018
-0.53	1	10/1/2010	10/1/2010
-0.50	2	12/1/2015	1/1/2016
-0.35	1	4/1/2017	4/1/2017
-0.34	1	6/1/2015	6/1/2015
-0.24	1	5/1/2009	5/1/2009
-0.22	1	8/1/2014	8/1/2014
-0.12	1	11/1/2018	11/1/2018
-0.11	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	139.00	137.00	134.00	128.00	122.00	116.00	104.00	92.00	80.00
Percent Profitable	54.68	62.04	63.43	78.91	82.79	85.34	93.27	100.00	100.00
Average Period Return	0.57	1.72	3.50	6.45	9.85	13.91	21.71	28.57	33.17
Average Gain	2.07	4.11	6.72	8.82	12.24	16.62	23.39	28.57	33.17
Average Loss	-1.26	-2.18	-2.10	-2.39	-1.65	-1.89	-1.54
Best Period	23.82	33.63	45.21	43.81	49.08	61.65	66.88	99.75	100.77
Worst Period	-9.23	-11.32	-11.62	-7.88	-3.87	-4.09	-2.60	0.06	2.21
Standard Deviation	3.39	5.69	8.42	11.20	13.66	17.78	22.36	27.46	27.81
Gain Standard Deviation	3.74	5.82	8.98	11.47	13.86	17.89	22.22	27.46	27.81
Loss Standard Deviation	1.59	2.31	2.20	2.03	1.15	1.35	0.95
Sharpe Ratio (1%)	0.14	0.26	0.36	0.49	0.61	0.67	0.84	0.89	1.01
Average Gain / Average Loss	1.64	1.88	3.20	3.68	7.44	8.80	15.17
Profit / Loss Ratio	2.01	3.08	5.55	13.78	35.77	51.26	210.21
Downside Deviation (10%)	1.54	2.55	3.15	4.19	5.20	6.63	9.00	11.15	13.85
Downside Deviation (5%)	1.38	2.06	2.05	1.82	1.42	1.60	1.25	0.59	0.41
Downside Deviation (0%)	1.35	1.95	1.83	1.43	0.83	0.88	0.46
Sortino Ratio (10%)	0.10	0.19	0.33	0.35	0.43	0.55	0.66	0.63	0.40
Sortino Ratio (5%)	0.35	0.72	1.46	3.00	5.89	7.43	14.90	41.33	67.70
Sortino Ratio (0%)	0.42	0.88	1.91	4.51	11.92	15.80	47.19

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Discretionary Trader Index	Month	9	2.64	11/2015

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

^#9

Top Performer

DISCRETIONARY TRADER INDEX

NOVEMBER
2015

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More Programs by Greenwave Capital Management

Program Name	CAROR
Greenwave Flagship Plus	6.37%
Greenwave Flagship Plus 2x	-0.26%

IASG Activity

Blends 46
Portfolios 11
Watchlists 22

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Greenwave Capital Management : Greenwave Flagship Plus

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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