Maestro Capital Management : GT Program

archived programs
Year-to-Date
N / A
Jul Performance
-5.43%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
11.76%
Sharpe (RFR=1%)
0.15
CAROR
2.07%
Assets
$ 11.5M
Worst DD
-19.25
S&P Correlation
-0.02

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
5/2003
GT Program -5.43 - - - - - - 11.35
S&P 500 -0.99 - - - - - - 259.50
+/- S&P 500 -4.44 - - - - - - -248.15

Strategy Description

Summary

-Global Trends Programme (GTP) - Strategy Description: We follow a medium term systematic trend following strategy. It is designed to produce annual returns over time which will exceed by 10% or more the standard deviation of those returns. We trade markets directionally to generate... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
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 Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Global Trends Programme (GTP) - Strategy Description: We follow a medium term systematic trend following strategy. It is designed to produce annual returns over time which will exceed by 10% or more the standard deviation of those returns. We trade markets directionally to generate profits by capturing trends and managing risk within clearly defined limits. To provide consistency, our investment decisions are highly disciplined and based on a dispassionate analysis of market price action, and do not depend on fundamental information. Our investment process is systematic. We operate exclusively in global futures markets which offer full transparency, high levels of liquidity and low execution costs. This also enables us to achieve significant levels of diversification across asset classes and time frames, and seek out profitable investment opportunities in a wide array of disparate markets. Our strategy has been rigorously tested with the goal of delivering consistent returns over the long-term, independent of stock and bond markets. The foundation of our investment strategy is our unique way of measuring trend, and applying the results to how we allocate capital to markets, take positions, and manage risk. By applying this methodology we believe we can accurately select those markets that present the best return opportunities for our method of trading, and avoid those markets that would under perform and dilute the portfolio's returns. We feel strongly that the uniqueness of our concept which aligns asset allocation and buy/sell signal determination with a market's trending attributes is inherently robust and will continue to be relevant and successful over the long term. The GT Programme has been built using new generation technology and runs on a real-time basis monitoring price movements in over 90 global equity, financial, currency and commodity markets, measuring and analyzing trends over a wide spectrum of time frequencies seeking to identify profit opportunities. This technology is employed to implement these factors with utmost efficiency, aiming to maximize returns within a strict risk management framework. In order to provide significant scalability we employ processes that are systems driven and fully automated; this is especially crucial for dealing with large volumes of data and rapidly changing markets. While being systems dependant these processes are based on trading and risk management logic which is intuitive, proven and can be clearly explained. Execution of trades is also a systematic process conducted on a purely non-discretionary basis in line with what we trust to be a successful approach.

   

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:
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Average Gain:
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Risk
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Average Loss:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
Worst Loss:
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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
-19.25 5 - 2/1/2008 7/1/2008
-12.27 31 8 2/1/2004 9/1/2006
-4.35 1 2 6/1/2007 7/1/2007
-2.12 3 2 9/1/2003 12/1/2003
-0.65 1 1 9/1/2007 10/1/2007
-0.39 2 1 5/1/2003 7/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
19.34 4 11/1/2007 2/1/2008
10.05 3 10/1/2006 12/1/2006
9.77 3 4/1/2007 6/1/2007
8.62 2 8/1/2007 9/1/2007
6.53 2 3/1/2006 4/1/2006
5.63 2 1/1/2004 2/1/2004
5.23 2 8/1/2003 9/1/2003
4.52 2 8/1/2005 9/1/2005
3.79 3 11/1/2005 1/1/2006
3.78 3 4/1/2005 6/1/2005
2.91 1 10/1/2004 10/1/2004
1.71 1 7/1/2004 7/1/2004
0.80 1 5/1/2004 5/1/2004
0.42 1 2/1/2005 2/1/2005
0.02 1 5/1/2003 5/1/2003
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.25 5 3/1/2008 7/1/2008
-10.62 5 5/1/2006 9/1/2006
-7.17 3 11/1/2004 1/1/2005
-5.22 1 6/1/2004 6/1/2004
-4.35 1 7/1/2007 7/1/2007
-3.73 1 7/1/2005 7/1/2005
-2.87 2 3/1/2004 4/1/2004
-2.66 2 8/1/2004 9/1/2004
-2.55 3 1/1/2007 3/1/2007
-2.12 3 10/1/2003 12/1/2003
-1.87 1 2/1/2006 2/1/2006
-1.68 1 10/1/2005 10/1/2005
-0.65 1 10/1/2007 10/1/2007
-0.39 2 6/1/2003 7/1/2003
-0.02 1 3/1/2005 3/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable49.2160.6667.2463.4667.3957.5075.00100.00
Average Period Return0.230.862.083.764.865.859.4112.83
Average Gain2.633.965.288.629.7413.0314.1812.83
Average Loss-2.10-3.92-4.48-4.68-5.22-3.86-4.88
Best Period14.2517.6823.2733.5042.3238.0744.3527.22
Worst Period-9.49-14.20-9.18-11.87-9.55-7.86-9.304.38
Standard Deviation3.395.276.029.0410.6610.3912.985.21
Gain Standard Deviation2.763.614.417.549.517.8811.375.21
Loss Standard Deviation2.073.552.493.493.131.913.02
Sharpe Ratio (1%)0.040.120.260.310.310.370.491.68
Average Gain / Average Loss1.251.011.181.841.863.382.91
Profit / Loss Ratio1.211.562.423.203.854.578.72
Downside Deviation (10%)2.303.914.246.347.999.6212.489.98
Downside Deviation (5%)2.133.413.174.004.224.014.24
Downside Deviation (0%)2.093.292.913.493.452.792.81
Sortino Ratio (10%)-0.08-0.09-0.09-0.20-0.34-0.46-0.51-0.87
Sortino Ratio (5%)0.070.180.500.690.800.961.50
Sortino Ratio (0%)0.110.260.711.081.412.103.35

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.