Strategic Global Advisors LLC : Global Select L/S

archived programs
Year-to-Date
N / A
Jul Performance
-0.01%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.84%
Sharpe (RFR=1%)
0.44
CAROR
2.66%
Assets
$ 1.0M
Worst DD
-5.20
S&P Correlation
-0.22

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
12/2006
Global Select L/S -0.01 0.73 - 0.44 0.44 5.25 - 19.14
S&P 500 4.95 5.52 - 22.21 53.00 32.99 - 13.24
+/- S&P 500 -4.96 -4.79 - -21.78 -52.56 -27.74 - 5.90

Strategy Description

Summary

The Global Select LS Program is a short-term, low-vol, absolute return strategy. The program employs a systematic framework to generate trade signals and utilizes discretion to enter and exit the markets. Trades tend to be short-term in length, averaging less than five (5) days. The... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
N/A
Worst Peak-to-Trough
5.00%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Counter-trend
25.00%
Trend-following
75.00%
Strategy Pie Chart

Composition

Currency Futures
18.00%
Stock Indices
18.00%
Energy
18.00%
Precious Metals
18.00%
Interest Rates
18.00%
Grains
10.00%
Composition Pie Chart

Summary

The Global Select LS Program is a short-term, low-vol, absolute return strategy. The program employs a systematic framework to generate trade signals and utilizes discretion to enter and exit the markets. Trades tend to be short-term in length, averaging less than five (5) days. The primary objective of the program is to generate consistent returns while tightly controlling risk.

Investment Strategy

The Strategic Global Advisors L/S Program employs a discretionary trading strategy which utilizes a systematic framework to participate in both the long and short side of the global futures markets. The program is comprised of four (4) separate models: market entry, stop-loss, profit taking and money management. Each model is based on basic principles of market psychology and price action abstracted from thirty (30) years of market analysis and trading experience. The primary objective of the program is to generate consistent profits while controlling risk and maintaining low downside volatility. Each model was developed with this objective in mind. Risk management is integral to the strategy with a bottom up focus on limiting exposure and tightly controlling losses for each individual position, which, when combined with diversification, yields a robust risk/reward profile.

Risk Management

Risk management consists of several elements. Exposure is determined for each market according to volatility and maximum risk calculations. Positions are taken when trading setups are perceived and an optimal entry is presented. Otherwise the position is out of the market. Each trade is followed continuously and stop levels adjusted according to price action. Any add-on positions are treated as separate trades with their own stop levels and profit targets. Generally approximately from 2 to 10% of the client’s assets may be devoted to margin commodity positions, but greater or lesser levels ranging from zero to a soft limit of 20% may be committed during transitory market conditions.

   

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
-5.20 28 - 11/1/2009 3/1/2012
-4.20 7 3 1/1/0001 6/1/2007
-3.53 3 4 3/1/2008 6/1/2008
-1.68 2 5 4/1/2009 6/1/2009
-0.46 2 1 1/1/2009 3/1/2009
-0.13 1 1 12/1/2007 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
13.87 6 7/1/2007 12/1/2007
9.34 7 7/1/2008 1/1/2009
6.20 2 2/1/2008 3/1/2008
1.86 1 11/1/2009 11/1/2009
1.49 2 11/1/2010 12/1/2010
1.46 3 7/1/2009 9/1/2009
1.41 2 3/1/2010 4/1/2010
1.02 6 3/1/2011 8/1/2011
0.94 1 2/1/2007 2/1/2007
0.74 1 6/1/2013 6/1/2013
0.66 2 4/1/2012 5/1/2012
0.61 1 7/1/2012 7/1/2012
0.53 1 4/1/2009 4/1/2009
0.41 3 10/1/2012 12/1/2012
0.30 1 12/1/2011 12/1/2011
0.04 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.58 6 5/1/2010 10/1/2010
-3.53 3 4/1/2008 6/1/2008
-3.28 4 3/1/2007 6/1/2007
-1.87 2 12/1/2006 1/1/2007
-1.87 3 12/1/2009 2/1/2010
-1.68 2 5/1/2009 6/1/2009
-1.57 3 9/1/2011 11/1/2011
-1.03 2 1/1/2011 2/1/2011
-0.48 3 1/1/2013 3/1/2013
-0.46 2 2/1/2009 3/1/2009
-0.43 1 10/1/2009 10/1/2009
-0.35 3 1/1/2012 3/1/2012
-0.26 2 8/1/2012 9/1/2012
-0.13 1 1/1/2008 1/1/2008
-0.01 1 7/1/2013 7/1/2013
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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 Profitable50.0057.6964.0063.7758.7359.6553.3372.73
Average Period Return0.230.731.543.374.385.275.988.23
Average Gain0.992.113.246.269.0110.5813.5912.05
Average Loss-0.59-1.14-1.48-1.73-2.22-2.59-2.72-1.94
Best Period3.578.3414.9117.7525.2725.4926.9724.13
Worst Period-2.24-3.53-4.58-4.81-4.69-5.15-3.95-3.15
Standard Deviation1.112.444.106.158.419.9610.699.39
Gain Standard Deviation1.002.244.145.908.189.749.378.16
Loss Standard Deviation0.531.081.421.491.431.491.020.99
Sharpe Ratio (1%)0.130.200.250.390.340.330.280.44
Average Gain / Average Loss1.691.842.203.624.074.094.996.21
Profit / Loss Ratio1.832.513.906.375.796.055.7016.57
Downside Deviation (10%)0.781.742.784.717.129.4613.8816.21
Downside Deviation (5%)0.581.141.461.872.593.154.013.30
Downside Deviation (0%)0.531.021.221.361.681.891.981.12
Sortino Ratio (10%)-0.23-0.29-0.33-0.35-0.45-0.53-0.70-0.82
Sortino Ratio (5%)0.250.420.721.261.111.030.731.26
Sortino Ratio (0%)0.420.721.262.472.602.793.027.32

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.