GZC Investment Management AG : GZC Strategic Commodities Fund (SCF)

Year-to-Date
21.38%
Sep Performance
1.33%
Min Investment
€ 100k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
10.10%
Sharpe (RFR=1%)
0.79
CAROR
8.86%
Assets
€ 64.4M
Worst DD
-15.15
S&P Correlation
-0.18

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
GZC Strategic Commodities Fund (SCF) 1.33 -0.75 21.38 19.87 27.54 22.84 - 77.40
S&P 500 -3.92 8.47 4.09 12.98 32.33 73.37 - 86.74
+/- S&P 500 5.25 -9.22 17.29 6.89 -4.79 -50.53 - -9.34

Strategy Description

Investment Strategy

GZC Strategic Commodities Fund (SCF) aims to generate absolute returns by capitalising on the global energy transition and the volatility created by the disruption of the fossil fuels economy. Using a fundamental and discretionary investment strategy, we connect traditional... Read More

Account & Fees

Type Fund
Minimum Investment € 100k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 15.00%
Average Commission
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Not Specified

Holding Periods

Over 12 Months
4-12 Months
1-3 Months
1-30 Days
Intraday

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Investment Strategy

GZC Strategic Commodities Fund (SCF) aims to generate absolute returns by capitalising on the global energy transition and the volatility created by the disruption of the fossil fuels economy. Using a fundamental and discretionary investment strategy, we connect traditional oil market supply demand analysis with the dynamics of a decarbonized economy. We trade futures and options on Energy and express our views through a combination of relative value, volatility trading and directional bets.

   

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
-15.15 14 30 12/1/2015 2/1/2017
-4.39 4 - 4/1/2020 8/1/2020
-3.28 4 4 1/1/2014 5/1/2014
-2.29 1 3 1/1/2015 2/1/2015
-1.75 4 1 8/1/2019 12/1/2019
-1.50 2 1 9/1/2014 11/1/2014
-0.31 1 1 9/1/2015 10/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
26.27 7 3/1/2015 9/1/2015
25.29 4 1/1/2020 4/1/2020
13.69 2 12/1/2014 1/1/2015
13.18 5 3/1/2017 7/1/2017
5.28 2 8/1/2014 9/1/2014
4.96 1 2/1/2018 2/1/2018
3.75 2 5/1/2019 6/1/2019
2.61 2 9/1/2017 10/1/2017
2.52 1 12/1/2018 12/1/2018
2.31 1 6/1/2014 6/1/2014
2.23 2 11/1/2015 12/1/2015
1.72 1 10/1/2018 10/1/2018
1.46 1 1/1/2014 1/1/2014
1.33 1 9/1/2020 9/1/2020
1.32 1 8/1/2019 8/1/2019
1.32 3 6/1/2018 8/1/2018
1.11 1 3/1/2016 3/1/2016
0.80 1 8/1/2016 8/1/2016
0.17 1 4/1/2014 4/1/2014
0.05 1 6/1/2020 6/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.23 4 4/1/2016 7/1/2016
-4.14 6 9/1/2016 2/1/2017
-3.53 4 1/1/2019 4/1/2019
-2.91 3 11/1/2017 1/1/2018
-2.44 1 5/1/2020 5/1/2020
-2.32 3 3/1/2018 5/1/2018
-2.29 1 2/1/2015 2/1/2015
-2.21 2 2/1/2014 3/1/2014
-2.16 2 1/1/2016 2/1/2016
-2.05 2 7/1/2020 8/1/2020
-2.03 1 8/1/2017 8/1/2017
-1.75 4 9/1/2019 12/1/2019
-1.50 2 10/1/2014 11/1/2014
-1.26 1 5/1/2014 5/1/2014
-1.11 1 7/1/2014 7/1/2014
-0.88 1 11/1/2018 11/1/2018
-0.87 1 9/1/2018 9/1/2018
-0.31 1 10/1/2015 10/1/2015
-0.09 1 7/1/2019 7/1/2019
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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 Profitable49.3858.2375.0078.5782.8187.9384.7894.12
Average Period Return0.752.325.099.6713.2814.7019.8926.79
Average Gain2.665.608.4014.3917.1917.1723.7028.49
Average Loss-1.12-2.26-4.86-7.63-5.56-3.25-1.35-0.39
Best Period13.6618.7225.9242.7149.3647.1742.3645.40
Worst Period-3.93-8.93-12.28-14.55-12.83-5.88-2.29-0.69
Standard Deviation2.915.649.1214.1716.2214.0413.7315.46
Gain Standard Deviation3.025.077.8011.9215.0013.1611.1914.28
Loss Standard Deviation0.952.094.225.813.851.710.900.42
Sharpe Ratio (1%)0.230.370.500.610.730.901.231.47
Average Gain / Average Loss2.392.481.731.893.095.2817.5472.22
Profit / Loss Ratio2.333.465.196.9114.8838.4697.711155.53
Downside Deviation (10%)1.272.634.286.526.165.697.818.90
Downside Deviation (5%)1.082.103.384.773.311.931.841.16
Downside Deviation (0%)1.041.973.184.382.761.260.620.12
Sortino Ratio (10%)0.270.410.610.720.920.780.530.59
Sortino Ratio (5%)0.620.991.361.823.566.579.1719.62
Sortino Ratio (0%)0.721.171.602.214.8011.7132.10223.31

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.