Highgate Wealth Management AG : Highgate Global Quant Fund (USD)

archived programs
Year-to-Date
N / A
Nov Performance
7.67%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
31.01%
Sharpe (RFR=1%)
-0.41
CAROR
-15.75%
Assets
$ 2.8M
Worst DD
-59.61
S&P Correlation
0.15

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
1/2009
Highgate Global Quant Fund (USD) 7.67 - - - - - -3.30 -39.35
S&P 500 -0.51 - - - - - 9.42 319.45
+/- S&P 500 8.18 - - - - - -12.72 -358.80

Strategy Description

Summary

The fund is a limited liability company incorporated in the Cayman Islands.The fund has not been registered under the United States Securities Act of 1933 and may not be directly or indirectly offered or sold in the United States of America, or in any of its jurisdictions, or to or... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 100.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The fund is a limited liability company incorporated in the Cayman Islands.The fund has not been registered under the United States Securities Act of 1933 and may not be directly or indirectly offered or sold in the United States of America, or in any of its jurisdictions, or to or for the benefit of a United States person. For this purpose, a United States person includes a national or resident of the United States of America and a partnership or corporation organised or existing in any state, territory or possession of the United States of America.

Investment Strategy

The fund's primary objective is to provide investors with superior double digit returns under any market conditions while maintaining a favorable risk to reward ratio.The Highgate Global Quant Fund (USD) follows a quantitatively driven, absolute return investment strategy. The strategy attempts to exploit certain recurring patterns in price behavior in global markets including (futures and forward contracts of) stock indices, interest rate instruments, currencies, cross rates and commodities. The goal is an optimal exploitation of available opportunities under severe restrictions on risk tolerance. The fund envisages the use of leverage as part of its investment strategy and as a result of the perceived level of attractiveness of the opportunity under consideration.

   

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
-59.61 26 - 6/1/2009 8/1/2011
-8.09 2 2 1/1/0001 2/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
46.88 4 3/1/2009 6/1/2009
29.64 4 10/1/2009 1/1/2010
11.25 3 9/1/2011 11/1/2011
5.39 1 4/1/2010 4/1/2010
4.36 1 1/1/2011 1/1/2011
1.39 2 5/1/2011 6/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-40.64 8 5/1/2010 12/1/2010
-33.91 3 7/1/2009 9/1/2009
-20.19 2 2/1/2010 3/1/2010
-8.09 2 1/1/2009 2/1/2009
-6.22 2 7/1/2011 8/1/2011
-4.86 3 2/1/2011 4/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable42.8639.3926.6716.670.00
Average Period Return-0.99-3.22-9.15-22.09-40.64
Average Gain5.9812.1010.8012.98
Average Loss-6.22-13.18-16.40-29.10-40.64
Best Period13.9437.9435.0020.01-16.89
Worst Period-28.56-33.91-43.78-48.25-57.22
Standard Deviation8.9516.9718.4921.569.44
Gain Standard Deviation4.3312.6611.987.62
Loss Standard Deviation7.9010.9014.7515.589.44
Sharpe Ratio (1%)-0.12-0.20-0.52-1.07-4.46
Average Gain / Average Loss0.960.920.660.45
Profit / Loss Ratio0.720.600.240.09
Downside Deviation (10%)7.6813.9420.3434.0849.10
Downside Deviation (5%)7.5213.3319.0230.7843.13
Downside Deviation (0%)7.4813.1818.7029.9741.66
Sortino Ratio (10%)-0.18-0.32-0.57-0.79-0.98
Sortino Ratio (5%)-0.14-0.26-0.51-0.75-0.98
Sortino Ratio (0%)-0.13-0.24-0.49-0.74-0.98

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.