Sysmatic Trading Solutions LLC : Global Hedge Plus

Year-to-Date
2.45%
Oct Performance
0.32%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.19%
Sharpe (RFR=1%)
0.31
CAROR
-
Assets
$ 666k
Worst DD
-11.92
S&P Correlation
0.11

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2019
Global Hedge Plus 0.32 -0.16 -2.45 0.50 - - - 8.34
S&P 500 -2.77 -0.04 1.21 7.65 - - - 20.92
+/- S&P 500 3.09 -0.13 -3.66 -7.15 - - - -12.58

Strategy Description

Summary

The Global Hedge Plus program is a trend-following strategy determined by two non-correlated trading methodologies. The Program uses technical tools to analyze the markets, including, but not limited to, those relating to breakout, trend-following, and contra-trend interpretations... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $3.00
Available to US Investors Yes

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 2200 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 10.94%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 25.00%
1-30 Days 75.00%
Intraday 0%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Interest Rates
50.00%
Stock Indices
50.00%
Composition Pie Chart

Summary

The Global Hedge Plus program is a trend-following strategy determined by two non-correlated trading methodologies. The Program uses technical tools to analyze the markets, including, but not limited to, those relating to breakout, trend-following, and contra-trend interpretations of price action. The methodologies which form the program are designed to balance each other out by using medium-term breakout signals against a developed logical method of utilizing swing trades that may have a contrary component to the overall trend.

Investment Strategy

Trend and counter-trend

   

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
-11.92 2 - 8/1/2019 10/1/2019
-1.12 1 1 4/1/2019 5/1/2019
-0.33 1 1 6/1/2019 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
15.19 4 1/1/2019 4/1/2019
6.90 2 1/1/2020 2/1/2020
6.68 1 11/1/2019 11/1/2019
5.03 1 6/1/2019 6/1/2019
2.64 1 8/1/2019 8/1/2019
0.40 2 9/1/2020 10/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.92 2 9/1/2019 10/1/2019
-9.11 6 3/1/2020 8/1/2020
-3.43 1 12/1/2019 12/1/2019
-1.12 1 5/1/2019 5/1/2019
-0.33 1 7/1/2019 7/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods22.0020.0017.0011.00
Percent Profitable50.0050.0035.2936.36
Average Period Return0.451.120.690.07
Average Gain3.286.4810.469.43
Average Loss-2.39-4.24-4.63-5.28
Best Period8.1414.7119.6313.13
Worst Period-10.94-9.59-9.11-11.83
Standard Deviation4.106.759.068.80
Gain Standard Deviation2.714.628.736.03
Loss Standard Deviation3.193.332.194.38
Sharpe Ratio (1%)0.090.130.02-0.11
Average Gain / Average Loss1.371.532.261.79
Profit / Loss Ratio1.371.531.231.02
Downside Deviation (10%)2.934.475.978.92
Downside Deviation (5%)2.783.884.465.96
Downside Deviation (0%)2.743.744.095.31
Sortino Ratio (10%)0.01-0.02-0.30-0.55
Sortino Ratio (5%)0.130.220.04-0.16
Sortino Ratio (0%)0.160.300.170.01

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.