Numbers : Numbers GDF program

archived programs
Year-to-Date
N / A
Nov Performance
-0.12%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.99%
Sharpe (RFR=1%)
0.54
CAROR
8.67%
Assets
$ 77.0M
Worst DD
-17.28
S&P Correlation
-0.07

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
2/2008
Numbers GDF program -0.12 - - - - - 2.05 37.54
S&P 500 -0.51 - - - - - 9.42 160.34
+/- S&P 500 0.39 - - - - - -7.37 -122.80

Strategy Description

Summary

Numbers is 100% systematic CTA with a unique investment program, Numbers GDF, which aims to generate absolute performance, uncorrelated to bonds and equities, while offering optimal transparency, liquidity and tight risk control.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1630 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 17.28%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 8.00%
4-12 Months 42.00%
1-3 Months 50.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
14.00%
Counter-trend
14.00%
Fundamental
32.00%
Spreading/hedging
10.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Summary

Numbers is 100% systematic CTA with a unique investment program, Numbers GDF, which aims to generate absolute performance, uncorrelated to bonds and equities, while offering optimal transparency, liquidity and tight risk control.

Investment Strategy

The investment process relies upon the implementation of multiple quantitative strategies. Some models are designed to benefit from the development of global macro changes and mid- to long-term trends, others to detect and profit from short-term statistical arbitrage opportunities and temporary market inefficiencies. Through its large diversification, Numbers GDF offers access to most major financial and commodity markets in the world.

Risk Management

Numbers GDF operates on the major and most liquid world futures markets on stock indices, interest rates, currencies, metals, energies and agricultural commodities. The exposure is balanced according to market sectors, geographical location, time horizons, type of strategies allowing a better control of the global volatility.

   

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
-17.28 10 - 9/1/2009 7/1/2010
-6.26 2 1 5/1/2008 7/1/2008
-4.88 2 2 1/1/2009 3/1/2009
-3.25 2 1 2/1/2008 4/1/2008
-3.13 1 2 5/1/2009 6/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
41.90 6 8/1/2008 1/1/2009
12.18 3 7/1/2009 9/1/2009
11.66 3 8/1/2010 10/1/2010
10.93 2 4/1/2009 5/1/2009
8.16 2 12/1/2010 1/1/2011
6.20 1 9/1/2011 9/1/2011
6.16 1 5/1/2008 5/1/2008
4.79 1 4/1/2011 4/1/2011
2.16 1 3/1/2010 3/1/2010
1.94 1 7/1/2011 7/1/2011
1.77 1 2/1/2008 2/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.88 2 5/1/2011 6/1/2011
-14.21 5 10/1/2009 2/1/2010
-6.26 2 6/1/2008 7/1/2008
-5.62 4 4/1/2010 7/1/2010
-4.88 2 2/1/2009 3/1/2009
-4.67 2 2/1/2011 3/1/2011
-4.19 2 10/1/2011 11/1/2011
-3.25 2 3/1/2008 4/1/2008
-3.13 1 6/1/2009 6/1/2009
-0.50 1 8/1/2011 8/1/2011
-0.44 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable47.8359.0958.5468.5762.0769.57
Average Period Return0.802.695.4811.6914.3314.41
Average Gain4.618.3615.1920.2325.0624.63
Average Loss-2.69-5.49-8.23-6.94-3.23-8.96
Best Period13.1530.2841.9049.1661.5941.63
Worst Period-10.24-14.24-15.73-13.13-10.07-12.51
Standard Deviation4.619.3514.4218.9522.3218.21
Gain Standard Deviation2.977.3710.2916.7922.1810.70
Loss Standard Deviation2.664.625.173.963.563.59
Sharpe Ratio (1%)0.160.260.350.560.570.68
Average Gain / Average Loss1.711.521.852.927.772.75
Profit / Loss Ratio1.572.202.616.3612.716.28
Downside Deviation (10%)2.925.177.617.157.3010.76
Downside Deviation (5%)2.754.666.484.933.596.33
Downside Deviation (0%)2.704.546.214.432.885.27
Sortino Ratio (10%)0.130.280.400.940.920.39
Sortino Ratio (5%)0.260.520.772.173.581.96
Sortino Ratio (0%)0.300.590.882.644.972.73

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.