Gregory P Asset Management LLC : Alternative Multi Strategy

Year-to-Date
5.85%
Jun Performance
0.26%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.23%
Sharpe (RFR=1%)
0.54
CAROR
10.30%
Assets
$ 542k
Worst DD
-22.65
S&P Correlation
0.09

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2012
Alternative Multi Strategy 0.26 4.75 5.85 7.77 26.58 143.44 - 92.26
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 105.61
+/- S&P 500 -6.63 0.96 -11.49 -0.44 -12.15 94.90 - -13.35

Strategy Description

Summary

The Alternative Multi Strategy was designed by Gregory Placsintar with input from one other individual. Mr. Placsintar assisted the individual in the trading of his account, but did not have power-of-attorney. Because neither Mr. Placsintar nor GPAM had power-of-attorney over the... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
20000 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
20.00%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
35.00%
1-3 Months
20.00%
1-30 Days
40.00%
Intraday
5.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Arbitrage
10.00%
Fundamental
20.00%
Seasonal/cyclical
20.00%
Spreading/hedging
40.00%
Technical
5.00%
Trend-following
5.00%
Strategy Pie Chart

Composition

Energy
30.00%
Grains
30.00%
Interest Rates
20.00%
Livestock
10.00%
Softs
5.00%
Precious Metals
4.00%
Stock Indices
1.00%
Composition Pie Chart

Summary

The Alternative Multi Strategy was designed by Gregory Placsintar with input from one other individual. Mr. Placsintar assisted the individual in the trading of his account, but did not have power-of-attorney. Because neither Mr. Placsintar nor GPAM had power-of-attorney over the account, the performance is not presented as GPAM client performance. The actual trading results of the account presented below do, however, represent the trading history of the Alternative Multi Strategy trading program. Performance has been adjusted to include a management fee of 2% and incentive fee of 20%. GPAM will be assuming the trading of this individual account and intends to use the same trading strategy for all customers trading the Alternative Multi Strategy.

Investment Strategy

GPAM aims to deliver superior absolute returns with its new Alternative Multi Strategy programme. We focus mainly on spread trading and create alpha from our understanding of the mean reversion of commodity spreads that occur within seasonal tendencies. The program mainly utilises the quantitive analysis of data but it also considers market fundamentals. Our alternative multi strategies include: Statistical Arbitrage, Spread Trading, Relative Value Long/Short, Volatility Arbitrage, Global Macro and more.

Risk Management

We are looking to attain risk adjusted returns in different market conditions. We aim for a low correlation to the S&P 500 and other market indices. We apply strict risk management to our consistent alpha to create risk adjusted returns in our portfolio. During the last two years we developed risk parameters that liquidated our positions in the case that the portfolio was down more that 6%. This risk adjustment does not prevent us from achieving our profit targets. Instead, it has quite the opposite affect encouraging positive performance in the long term.

   

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
-22.65 15 4 3/1/2013 6/1/2014
-17.45 1 2 10/1/2015 11/1/2015
-9.67 7 20 2/1/2017 9/1/2017
-5.04 1 1 8/1/2015 9/1/2015
-4.60 1 2 8/1/2016 9/1/2016
-3.92 1 2 1/1/2015 2/1/2015
-3.64 1 1 4/1/2015 5/1/2015
-3.18 1 1 11/1/2016 12/1/2016
-2.88 1 2 1/1/2016 2/1/2016
-1.45 2 1 11/1/2012 1/1/2013
-0.04 1 1 6/1/2015 7/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
62.58 7 7/1/2014 1/1/2015
22.41 2 12/1/2015 1/1/2016
15.51 6 3/1/2016 8/1/2016
15.22 2 1/1/2017 2/1/2017
15.08 2 9/1/2013 10/1/2013
13.74 2 3/1/2015 4/1/2015
12.84 1 12/1/2013 12/1/2013
8.94 1 10/1/2015 10/1/2015
8.77 4 3/1/2019 6/1/2019
7.39 2 10/1/2016 11/1/2016
5.74 1 4/1/2014 4/1/2014
5.65 4 8/1/2018 11/1/2018
5.64 1 5/1/2018 5/1/2018
4.75 3 6/1/2017 8/1/2017
4.25 1 6/1/2015 6/1/2015
3.45 2 2/1/2013 3/1/2013
3.25 1 2/1/2014 2/1/2014
3.11 2 10/1/2017 11/1/2017
2.35 2 1/1/2018 2/1/2018
1.39 1 4/1/2017 4/1/2017
0.36 1 7/1/2013 7/1/2013
0.22 1 8/1/2015 8/1/2015
0.15 1 11/1/2012 11/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.45 1 11/1/2015 11/1/2015
-16.84 3 4/1/2013 6/1/2013
-16.22 1 1/1/2014 1/1/2014
-9.58 1 3/1/2014 3/1/2014
-6.65 1 5/1/2017 5/1/2017
-6.10 2 5/1/2014 6/1/2014
-5.75 2 6/1/2018 7/1/2018
-5.29 1 9/1/2017 9/1/2017
-5.04 1 9/1/2015 9/1/2015
-4.60 1 9/1/2016 9/1/2016
-4.25 1 11/1/2013 11/1/2013
-4.02 1 8/1/2013 8/1/2013
-3.92 1 2/1/2015 2/1/2015
-3.80 1 3/1/2017 3/1/2017
-3.64 1 5/1/2015 5/1/2015
-3.55 3 12/1/2018 2/1/2019
-3.18 1 12/1/2016 12/1/2016
-2.88 1 2/1/2016 2/1/2016
-2.63 2 3/1/2018 4/1/2018
-1.45 2 12/1/2012 1/1/2013
-0.83 1 12/1/2017 12/1/2017
-0.04 1 7/1/2015 7/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable62.5067.9569.3378.2682.5496.49100.00100.00
Average Period Return0.992.895.9414.1723.8136.1959.5183.40
Average Gain4.167.1312.0020.1730.9437.6659.5183.40
Average Loss-4.29-6.08-7.78-7.46-9.91-4.22
Best Period16.9030.5751.4378.4873.6992.32128.92131.21
Worst Period-17.45-21.78-22.34-22.10-20.81-6.6120.4132.81
Standard Deviation5.849.0414.3121.1524.5226.5033.8828.15
Gain Standard Deviation4.087.0512.5219.9220.5925.7933.8828.15
Loss Standard Deviation4.315.576.455.517.073.38
Sharpe Ratio (1%)0.160.290.380.620.911.291.672.82
Average Gain / Average Loss0.971.171.542.713.128.93
Profit / Loss Ratio1.622.483.499.7414.76245.67
Downside Deviation (10%)3.875.176.676.377.883.38
Downside Deviation (5%)3.734.735.774.665.541.27
Downside Deviation (0%)3.694.635.554.275.010.91
Sortino Ratio (10%)0.150.320.521.442.067.67
Sortino Ratio (5%)0.240.560.942.834.0326.97
Sortino Ratio (0%)0.270.631.073.324.7539.86

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 10 1.53 4/2019
Discretionary Trader Index Month 7 3.84 3/2019
Discretionary Trader Index Month 2 3.60 9/2018
IASG CTA Index Month 8 3.60 9/2018
IASG CTA Index Month 8 3.60 9/2018
Discretionary Trader Index Month 2 3.60 9/2018
Discretionary Trader Index Month 2 5.64 5/2018
IASG CTA Index Month 4 5.64 5/2018
IASG CTA Index 5 Year Rolling 10 75.30 2012 - 2017
Discretionary Trader Index Month 10 2.17 10/2017

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