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Subject:
GCI Asset Management - GCI Systematic Macro Strategy
GCI Asset Management
GCI Systematic Macro Strategy
Overview
Charts
Stats & Ratios
Show All
Investment Strategy
GCI Systematic Macro dynamically takes long/short positions across a universe of OTC currency and financial futures markets (not including commodities). The systematic model identifies the optimal cross-asset combination of markets with the strongest trend. In order to hedge against the drawdown, hedging positions are embedded to enhance the overall Sharpe ratio of the portfolio. By combining the strongest tend with multiple complementary hedges, the resultant portfolio is designed to improve performance in choppy range-bound markets, and to generate low correlation with traditional asset classes.
Â
Current there are two vehicles being used, 10% volatility and 25% volatility. The return for the 10% vehicle is exactly as shown in the database performance, however, the performance for the 25% vehicle is 2.5 times that shown in the database.
Performance (VAMI)
Monthly Returns
Fund Manager
Kyo Yamamoto
Kyo joined GCI in 2010 and is a portfolio manager advising GCI Enhanced FX Hedging Strategy and GCI Global Alpha Engine. Before he joined GCI, he was dedicated academic researcher in finance department at The University of Tokyo. B.A. in Science and MEcc. and Ph.D. in Economics from The university of Tokyo in 2010. Â
Â
Fund Information
Inception Date
Feb 2014
Minimum Investment
1,000,000 USD
Management Fee
1.20%
Performance Fee
20.00%
Highwater Mark
Yes
Phone
+852-2168-0810
E-mail
[email protected]
Website
https://gci-am.com/
Statistics
Total Return Cumulative
118.28%
Sharpe Ratio
0.79
Sortino Ratio
1.27
Winning Months (%)
59.84%
Correlation vs. S&P 500 TR
0.12
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
5.80
1.82
1.44
0.35
1.42
3.18
-6.21
-3.51
3.85
2023
1.12
4.14
-4.47
3.55
1.34
0.79
-1.53
1.27
-2.15
1.94
-1.26
-6.54
-2.33
2022
2.13
-1.50
5.18
1.25
0.09
3.16
-1.11
3.75
2.97
1.56
-2.58
-0.07
15.54
2021
-0.69
1.06
-2.07
-1.02
1.34
-0.33
-0.75
1.68
-4.01
0.40
0.92
2.80
-0.85
2020
2.40
-4.04
-2.89
-2.54
1.17
-0.71
0.44
3.71
-2.79
-2.18
4.02
2.97
-0.89
2019
-3.96
-1.48
4.84
-0.07
-0.66
4.94
1.27
5.26
-1.12
-3.86
1.19
-2.29
3.54
2018
10.98
-2.72
-1.79
-0.82
-4.18
1.55
1.00
1.72
0.60
-2.27
-1.29
-3.01
-1.05
2017
-1.33
1.51
-0.44
1.82
2.15
-6.49
4.43
1.56
1.28
3.96
5.73
0.48
15.06
2016
2.26
3.08
-1.23
-1.12
-0.40
6.47
1.79
-1.22
0.73
-0.83
0.76
1.40
12.03
2015
5.90
-0.41
1.18
-2.47
1.80
-2.31
2.82
-3.14
-0.92
0.37
0.81
2.02
5.42
2014
2.90
-1.72
2.01
1.79
5.98
1.52
3.99
1.19
3.28
6.98
3.64
36.14
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled
Monthly Returns
Performance (VAMI)
Distribution of Monthly Returns
12 Month Rolling ROR
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
AUM
Volatility (12 Months Rolling)
Risk/Return Comparison
Drawdown
Instruments
Data not available
No data filled
Return Statistics
Last Month
-
Year To Date
3.85%
3 Month ROR
-6.62%
12 Months ROR
-4.41%
36 Month ROR
17.17%
Total Return Cumulative
118.28%
Total Return Annualized
7.65%
Best Month
10.98%
Winning Months (%)
59.84%
Gain Deviation
1.93
Risk Statistics
Standard Deviation Annualized
10.05%
Max Drawdown (Monthly)
-15.64%
Max Drawdown # of Months
53
Worst Month
-6.54%
Losing Months (%)
40.16%
Average Losing Month
-2.13%
Loss Deviation
1.58
Correlation vs S&P 500
0.12
Correlation vs DJ/CS MF
0.59
Risk/Reward Statistics
Sharpe Ratio
0.79
Sortino Ratio
1.27
Omega Ratio
0.85
Skewness
0.18
Kurtosis
0.76
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-15.64%
-
13
-
40
-
02/2018
-
06/2022
-
2
-9.50%
-
2
-
0
-
07/2024
-
-
-
3
-8.21%
-
6
-
3
-
07/2023
-
03/2024
-
4
-6.49%
-
1
-
3
-
06/2017
-
09/2017
-
5
-4.47%
-
1
-
2
-
03/2023
-
05/2023
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
10.98%
-6.54%
0.66%
1.00%
-3.51%
59.84%
3 Months
17.90%
-9.18%
2.10%
1.28%
-6.62%
64.80%
6 Months
27.61%
-10.94%
4.28%
2.89%
-3.60%
69.67%
1 Year
44.17%
-14.37%
7.98%
5.49%
-4.41%
77.59%
2 Years
47.76%
-10.32%
14.89%
15.99%
3.26%
81.73%
3 Years
58.81%
-9.13%
20.57%
21.14%
17.17%
86.96%
5 Years
79.57%
5.99%
29.69%
24.56%
8.24%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
7.65%
26.37%
59.81%
136.49%
383.33%
744.21%
% Positive
59.84%
64.80%
69.67%
77.59%
81.73%
86.96%
Avg. Pos. Period
2.53%
4.92%
7.81%
11.53%
19.55%
24.38%
Avg. Neg. Period
-2.13%
-3.10%
-3.85%
-4.30%
-5.99%
-4.82%
Sharpe Ratio
0.79
1.41
1.87
2.49
3.68
4.32
Sortino Ratio
1.27
3.02
5.11
9.14
17.63
34.25
Standard Deviation
2.90%
5.14%
7.91%
11.11%
14.02%
16.48%
Downside Deviation
1.68%
2.26%
2.70%
2.82%
2.76%
1.97%
No data filled
Fund Information
Minimum Investment
1,000,000 USD
AUM
191,523,864 USD
Management Fee
1.20%
Performance Fee
20.00%
Highwater Mark
Yes
RT per Million
-
Margin to Equity
-
Legal Structure
Managed Account or Fund
Investment Restriction
None
Company Information
Company
GCI Asset Management
Principal
-
Phone
+852-2168-0810
E-mail
[email protected]
License Number
SFC BNG130
Location
Hong Kong, Hong Kong
Performance Compiled by
-
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
5.80
1.82
1.44
0.35
1.42
3.18
-6.21
-3.51
3.85
2023
1.12
4.14
-4.47
3.55
1.34
0.79
-1.53
1.27
-2.15
1.94
-1.26
-6.54
-2.33
2022
2.13
-1.50
5.18
1.25
0.09
3.16
-1.11
3.75
2.97
1.56
-2.58
-0.07
15.54
2021
-0.69
1.06
-2.07
-1.02
1.34
-0.33
-0.75
1.68
-4.01
0.40
0.92
2.80
-0.85
2020
2.40
-4.04
-2.89
-2.54
1.17
-0.71
0.44
3.71
-2.79
-2.18
4.02
2.97
-0.89
2019
-3.96
-1.48
4.84
-0.07
-0.66
4.94
1.27
5.26
-1.12
-3.86
1.19
-2.29
3.54
2018
10.98
-2.72
-1.79
-0.82
-4.18
1.55
1.00
1.72
0.60
-2.27
-1.29
-3.01
-1.05
2017
-1.33
1.51
-0.44
1.82
2.15
-6.49
4.43
1.56
1.28
3.96
5.73
0.48
15.06
2016
2.26
3.08
-1.23
-1.12
-0.40
6.47
1.79
-1.22
0.73
-0.83
0.76
1.40
12.03
2015
5.90
-0.41
1.18
-2.47
1.80
-2.31
2.82
-3.14
-0.92
0.37
0.81
2.02
5.42
2014
2.90
-1.72
2.01
1.79
5.98
1.52
3.99
1.19
3.28
6.98
3.64
36.14
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
Strategy Description
GCI Systematic Macro dynamically takes long/short positions across a universe of OTC currency and financial futures markets (not including commodities). The systematic model identifies the optimal cross-asset combination of markets with the strongest trend. In order to hedge against the drawdown, hedging positions are embedded to enhance the overall Sharpe ratio of the portfolio. By combining the strongest tend with multiple complementary hedges, the resultant portfolio is designed to improve performance in choppy range-bound markets, and to generate low correlation with traditional asset classes.
Â
Current there are two vehicles being used, 10% volatility and 25% volatility. The return for the 10% vehicle is exactly as shown in the database performance, however, the performance for the 25% vehicle is 2.5 times that shown in the database.
Return Statistics
Last Month
-
Year To Date
3.85%
3 Month ROR
-6.62%
12 Months ROR
-4.41%
36 Month ROR
17.17%
Total Return Cumulative
118.28%
Total Return Annualized
7.65%
Best Month
10.98%
Winning Months (%)
59.84%
Gain Deviation
1.93
Risk Statistics
Standard Deviation Annualized
10.05%
Max Drawdown (Monthly)
-15.64%
Max Drawdown # of Months
53
Worst Month
-6.54%
Losing Months (%)
40.16%
Average Losing Month
-2.13%
Loss Deviation
1.58
Correlation vs S&P 500
0.12
Correlation vs DJ/CS MF
0.59
Risk/Reward Statistics
Sharpe Ratio
0.79
Sortino Ratio
1.27
Omega Ratio
0.85
Skewness
0.18
Kurtosis
0.76
Monthly Returns
Performance (VAMI)
Fund Manager
Kyo Yamamoto
Kyo joined GCI in 2010 and is a portfolio manager advising GCI Enhanced FX Hedging Strategy and GCI Global Alpha Engine. Before he joined GCI, he was dedicated academic researcher in finance department at The University of Tokyo. B.A. in Science and MEcc. and Ph.D. in Economics from The university of Tokyo in 2010. Â
Â
Distribution of Monthly Returns
12 Month Rolling ROR
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-15.64%
-
13
-
40
-
02/2018
-
06/2022
-
2
-9.50%
-
2
-
0
-
07/2024
-
-
-
3
-8.21%
-
6
-
3
-
07/2023
-
03/2024
-
4
-6.49%
-
1
-
3
-
06/2017
-
09/2017
-
5
-4.47%
-
1
-
2
-
03/2023
-
05/2023
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
10.98%
-6.54%
0.66%
1.00%
-3.51%
59.84%
3 Months
17.90%
-9.18%
2.10%
1.28%
-6.62%
64.80%
6 Months
27.61%
-10.94%
4.28%
2.89%
-3.60%
69.67%
1 Year
44.17%
-14.37%
7.98%
5.49%
-4.41%
77.59%
2 Years
47.76%
-10.32%
14.89%
15.99%
3.26%
81.73%
3 Years
58.81%
-9.13%
20.57%
21.14%
17.17%
86.96%
5 Years
79.57%
5.99%
29.69%
24.56%
8.24%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
7.65%
26.37%
59.81%
136.49%
383.33%
744.21%
% Positive
59.84%
64.80%
69.67%
77.59%
81.73%
86.96%
Avg. Pos. Period
2.53%
4.92%
7.81%
11.53%
19.55%
24.38%
Avg. Neg. Period
-2.13%
-3.10%
-3.85%
-4.30%
-5.99%
-4.82%
Sharpe Ratio
0.79
1.41
1.87
2.49
3.68
4.32
Sortino Ratio
1.27
3.02
5.11
9.14
17.63
34.25
Standard Deviation
2.90%
5.14%
7.91%
11.11%
14.02%
16.48%
Downside Deviation
1.68%
2.26%
2.70%
2.82%
2.76%
1.97%
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
Drawdown
Volatility (12 Months Rolling)
Instruments
Data not available
AUM
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