Stock Index Futures
Quantitative / Stock Indices
Using quantitative analysis, hundreds of indicators and several dozen models are employed. Many of these indicators have been tested though market cycles dating back to the early 1900's and include both technical and fundamental analysis. Alignments in the groups of indicators at inflection points determine the direction and the potential magnitude of the outcome to stock prices. Categories in which these indicators fall into are numerous and although not exclusive are as follows: the stock market structure, momentum, overbought and oversold, market sentiment and contrarian tools, valuations, monetary environment and macro factors. Each of these categories has different forecasting values and timeliness. Combining groups of indicators into an overlay can enhance the reliability of a signal. The models and indicators are also used to identify in advance the market climate likely to be encountered, whether trending or range bound, enabling the principle objective of GMI which is to profit from all types of markets while using strict control measures to minimize risk. Analysis and research to improve systems and strategies is an ongoing process. There is also a veto power on the indicators and models, which may be implemented during unique circumstances to potentially reduce risk.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -19.51% |
| From Dec 2021 to Sep 2022 | |
| Worst Month (Mar 2020) | -11.20% |
| Current Losing Streak | 0% |
| Average Monthly Return | 0.7% |
| Monthly Std. Deviation | 3.12% |
| Gain Deviation (110 months) | 1.7% |
| Loss Deviation (54 months) | 2.35% |
| Gain to Loss Ratio | 0.86 |
| Omega Ratio (5% Threshold) | 1.26 |
| Annualized Performance |
|
| Compound ROR (1) | 8.05% |
| Standard Deviation | 10.8% |
| Downside Deviation | 7.22% |
| Sharpe Ratio (3) 2% RF ROR | 0.74 |
| Sortino Ratio (4) 5% MAR | 1.07 |
| Calmar Ratio (5) | 1.37 |
| Sterling Ratio (6) | 0.64 |
| Gain Deviation | 5.89% |
| Loss Deviation | 8.13% |
| Profit Loss Ratio | 1.76 |
| Investment Information |
|
| Program Start Date | Jan-2012 |
| Percent Discretionary | 100% |
| Currency Denomination - US Dollar | |
| Minimum Investment | $350,000 |
| Minimum Fund Investment | $150,000 |
| Management Fee | 1.00% |
| Incentive Fee | 0.00 |
| Margin | 4-7% |
| Round Turns per Million | 250 |
| NFA No: | #0183261 |
| 4.7 Exempt - QEPs Only | |
| Performance Since January 2012 | Track Record Compiled By: Futures Accounting Compliance | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.50% | -1.20% | -4.50% | -0.76% | 4.21% | 4.19% | 0.25% | 1.35% | – | – | – | – | 4.86% | -6.36% |
| 2024 | 0.98% | 4.11% | 2.35% | -3.97% | 4.30% | 2.26% | 0.59% | 1.46% | 1.31% | -1.09% | 4.19% | -2.19% | 14.92% | -3.96% |
| 2023 | 4.29% | -2.25% | 2.36% | 0.94% | 0.23% | 4.61% | 2.36% | -1.72% | -4.29% | -1.83% | 6.65% | 3.55% | 15.28% | -7.66% |
| 2022 | -5.79% | -2.95% | 3.70% | -6.46% | -0.24% | -5.45% | 5.56% | -3.29% | -5.75% | 4.18% | 3.31% | -4.36% | -17.14% | -19.51% |
| 2021 | -1.11% | 2.40% | 3.33% | 3.94% | 0.49% | 1.74% | 1.71% | 2.25% | -3.68% | 5.38% | -0.53% | 3.26% | 20.60% | -3.68% |
| 2020 | -0.19% | -8.04% | -11.20% | 5.89% | 2.51% | 1.34% | 4.14% | 5.45% | -2.82% | -2.03% | 8.45% | 2.70% | 4.41% | -18.49% |
| 2019 | 7.17% | 2.49% | 1.22% | 2.93% | -4.82% | 4.56% | 0.86% | -1.40% | 1.14% | 1.38% | 2.56% | 1.92% | 21.40% | -4.82% |
| 2018 | 4.80% | -3.40% | -2.90% | 0.12% | 2.31% | 0.32% | 3.14% | 2.52% | 0.31% | -5.73% | 1.56% | -7.34% | -4.95% | -11.29% |
| 2017 | 1.32% | 3.03% | -0.06% | 0.76% | 0.97% | 0.33% | 1.61% | 0.18% | 1.62% | 1.86% | 2.46% | 0.75% | 15.83% | -0.06% |
| 2016 | -3.91% | -0.10% | 3.92% | 0.08% | 1.19% | 0.08% | 2.95% | -0.02% | -0.01% | -1.63% | 2.93% | 1.45% | 6.93% | -4.00% |
| 2015 | -3.24% | 5.13% | -1.34% | 0.67% | 0.90% | -1.70% | 1.67% | -4.30% | -1.57% | 4.25% | -0.15% | -1.32% | -1.42% | -5.85% |
| 2014 | -3.93% | 4.72% | 0.42% | 0.08% | 1.29% | 1.28% | -1.18% | 2.99% | -1.18% | 1.77% | 2.03% | -0.32% | 8.03% | -3.93% |
| 2013 | 3.85% | 1.11% | 3.11% | 1.21% | 1.65% | -1.50% | 4.22% | -2.72% | 2.72% | 4.04% | 2.75% | 2.08% | 24.69% | -2.72% |
| 2012 | 1.73% | 2.77% | 2.12% | -0.53% | -5.09% | 1.72% | 0.25% | 1.00% | 1.67% | -1.45% | 0.15% | 0.49% | 4.68% | -5.59% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
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