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GCI Asset Management

GCI Systematic Macro Strategy

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.
 
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.   

 

General Information

Inception DateFeb 2014
Minimum Investment1,000,000 USD
Management Fee1.20%
Performance Fee20.00%
Highwater MarkYes
Phone+852-2168-0810
E-mail[email protected]
Websitehttps://gci-am.com/

Statistics

Total Return Cumulative 129.69%
Sharpe Ratio 0.88
Sortino Ratio 1.49
Winning Months (%) 59.84%
Correlation vs. S&P 500 TR 0.13

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 5.80 1.82 1.44 9.28
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 1.44%
Year To Date 9.28%
3 Month ROR 9.28%
12 Months ROR 6.09%
36 Month ROR 24.40%
Total Return Cumulative 129.69%
Total Return Annualized 8.52%
Best Month 10.98%
Winning Months (%) 59.84%
Gain Deviation 1.95

Risk Statistics

Standard Deviation Annualized 9.90%
Max Drawdown (Monthly) -15.64%
Max Drawdown Length 53
Worst Month -6.54%
Losing Months (%) 40.16%
Average Losing Month -2.02%
Loss Deviation 1.48
Correlation vs S&P 500 0.13
Correlation vs DJ/CS MF 0.60

Risk/Reward Statistics

Sharpe Ratio 0.88
Sortino Ratio 1.49
Omega Ratio 0.90
Skewness 0.26
Kurtosis 0.80

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 -8.21% 6 3 07/2023 03/2024
3 -6.49% 1 3 06/2017 09/2017
4 -4.47% 1 2 03/2023 05/2023
5 -4.29% 6 4 04/2015 01/2016

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.98%-6.54%0.72%1.03%1.44%59.84%
3 Months 17.90%-9.18%2.16%1.27%9.28%65.00%
6 Months 27.61%-10.94%4.30%2.98%2.80%69.23%
1 Year 44.17%-14.37%8.28%6.45%6.09%77.48%
2 Years 47.76%-10.32%14.99%16.36%16.55%80.81%
3 Years 58.81%-9.13%20.33%20.12%24.40%86.21%
5 Years 79.57%5.99%30.29%24.50%26.48%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg8.52%27.23%60.25%144.08%386.90%719.79%
% Positive59.84%65.00%69.23%77.48%80.81%86.21%
Avg. Pos. Period2.56%4.96%7.93%11.93%19.98%24.36%
Avg. Neg. Period-2.02%-3.04%-3.85%-4.29%-5.99%-4.82%
Sharpe Ratio0.881.451.872.553.634.17
Sortino Ratio1.493.165.079.3817.2932.81
Standard Deviation2.86%5.16%7.98%11.25%14.31%16.89%
Downside Deviation1.59%2.22%2.74%2.85%2.83%2.02%
No data filled

Company Information

Minimum Investment1,000,000 USD
AUM224,226,126 USD
Management Fee1.20%
Performance Fee20.00%
Highwater MarkYes
RT per Million -
Margin to Equity -
Legal StructureManaged Account or Fund
Investment RestrictionNone

Company Information

CompanyGCI Asset Management
Principal -
Phone+852-2168-0810
E-mail[email protected]
License NumberSFC BNG130
LocationHong Kong, Hong Kong
Performance Compiled by -

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 5.80 1.82 1.44 9.28
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.
 
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 1.44%
Year To Date 9.28%
3 Month ROR 9.28%
12 Months ROR 6.09%
36 Month ROR 24.40%
Total Return Cumulative 129.69%
Total Return Annualized 8.52%
Best Month 10.98%
Winning Months (%) 59.84%
Gain Deviation 1.95

Risk Statistics

Standard Deviation Annualized 9.90%
Max Drawdown (Monthly) -15.64%
Max Drawdown Length 53
Worst Month -6.54%
Losing Months (%) 40.16%
Average Losing Month -2.02%
Loss Deviation 1.48
Correlation vs S&P 500 0.13
Correlation vs DJ/CS MF 0.60

Risk/Reward Statistics

Sharpe Ratio 0.88
Sortino Ratio 1.49
Omega Ratio 0.90
Skewness 0.26
Kurtosis 0.80

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.   

 

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 -8.21% 6 3 07/2023 03/2024
3 -6.49% 1 3 06/2017 09/2017
4 -4.47% 1 2 03/2023 05/2023
5 -4.29% 6 4 04/2015 01/2016

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.98%-6.54%0.72%1.03%1.44%59.84%
3 Months 17.90%-9.18%2.16%1.27%9.28%65.00%
6 Months 27.61%-10.94%4.30%2.98%2.80%69.23%
1 Year 44.17%-14.37%8.28%6.45%6.09%77.48%
2 Years 47.76%-10.32%14.99%16.36%16.55%80.81%
3 Years 58.81%-9.13%20.33%20.12%24.40%86.21%
5 Years 79.57%5.99%30.29%24.50%26.48%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg8.52%27.23%60.25%144.08%386.90%719.79%
% Positive59.84%65.00%69.23%77.48%80.81%86.21%
Avg. Pos. Period2.56%4.96%7.93%11.93%19.98%24.36%
Avg. Neg. Period-2.02%-3.04%-3.85%-4.29%-5.99%-4.82%
Sharpe Ratio0.881.451.872.553.634.17
Sortino Ratio1.493.165.079.3817.2932.81
Standard Deviation2.86%5.16%7.98%11.25%14.31%16.89%
Downside Deviation1.59%2.22%2.74%2.85%2.83%2.02%

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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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.