White Gem Capital Performance

On this page you will find the monthly, quarterly, and annual returns. You will also find derivative calculations from these returns to determine risk.

These performance summaries and calculations are to help current and prospective investors interpret if we meet their investing objectives.

If you are interested in investing or receiving an audit of our trading results, you may find out more how to invest with White Gem Capital here.

 

Returns

 

Annual Returns:

Year Return
2015 57.8%
2016 78.8%

 

Year-to-Date Return:

2016 YTD Performance

78.8%

 

 

Benchmark Comparisons Since Inception:

 

In the following charts in graphs the fund uses the number $1,000 as reference point. Several investors have had questions relating to this number. This is the number used to simplify the math since most investors draw-in and draw-out capital throughout the lifetime of their investment. As a result of these draws, assets under management (AUM) can vary over time. Therefore the following calculates are derived from the daily P&L and the day and of the draw. Sometimes the AUM balance is modified (AUM increases when there is a draw-in) to calculated the daily P&L from the previous day where an investor might significantly add to the AUM of the fund. A modified balance is used to adjust for this draw-in (or draw-out).

For instance, in the year 2015 AUM actually more than doubled (105.44% gain in AUM), while the annual return was lower as a percentage (57.77%). This means that there were more draw-ins, than draw-outs (capital was added throughout the year).

The table below is telling you: For each $1,000 invested in WGC raw performance (no incentive fee) the investor would have finished with $1,557.75 at the end of the year ending December 31, 2015.

Example:

 

White Gem Capital S&P 500 (Buy and Hold) Variance
Start Finish % Gain Start Finish % Gain % Difference
1,000.00 2,819.38 +181.94% 200.32 217.38 +8.52% +173.42%

 

 

Other benchmarks that are shown for comparison are as follows. These benchmarks give a wide array of investment spaces in the universe for comparison. Also there is a basket, which is an average of all the investment spaces listed, excluding WGC. Since WGC trades a across many asset classes in many financial instruments, it is fair enough to use the basket as a end-all-be-all comparison. Another reason why looking at the basket is important is that it prevents cherry picking a hot sector or index within the given timeframe. Overall the benchmark comparisons are based on a buy-and-hold investor strategy.

 

Symbol Investment Space
SPY Large Cap Equity
QQQ NASDAQ 100 (Large Cap Tech)
IWM Small Cap Equity
TLT US Bonds
HYG High-Yield Bonds
GLD Gold
DBA Agriculture
EEM Emerging Markets
XLU Utilities
XLE Energy
XRT Retail
VNQ REIT (Real Estate)
UUP US Dollar
Basket Basket of all the above investment spaces excluding WGC

 

Average & Standard Deviation
Annual Performances
Jan 1, 2015 - Present

WGC SPY QQQ IWM TLT HYG GLD DBA EEM XLU XLE XRT VNQ UUP Basket
Average 6.23% 0.47% 0.78% 0.33% 0.79% 0.29% 0.60% -0.96% -0.12% 0.51% -0.36% -0.22% 0.83% 0.20% 0.24%
Stdev 14.66% 3.67% 4.89% 4.41% 3.82% 1.93% 5.28% 3.82% 5.31% 4.13% 6.07% 4.31% 4.73% 2.31% 1.15%

 

 

Annual Performances
Jan 1, 2015 - Present

WGC SPY QQQ IWM TLT HYG GLD DBA EEM XLU XLE XRT VNQ UUP Basket
2015 57.8% 1.25% 9.45% -4.47% -1.79% -5.03% -10.67% -17.20% -17.20% -4.91% -21.47% -8.86% 2.42% 7.01% -6.54%
2016 78.8% 7.17% 4.40% 9.76% 17.59% 11.25% 22.98% -0.10% -1.84% 14.61% 14.39% 3.18% 12.85% -3.24% 9.69%

 

 

Quarterly Returns:

Date %Gain
2015 Q1 +16.32%
2015 Q2 +16.11%
2015 Q3 -2.17%
2015 Q4 +19.41%
2016 Q1 +18.14%
2016 Q2 +64.27%
2016 Q3 -7.94%
2016 Q4

 

 

Monthly Returns:

 

 

 

WGC Monthy Performance

 

 

WGC

Monthly Performance

  Year and % Gain
Month 2015 2016
Jan -9.60% -5.97%
Feb +18.39% +38.88%
Mar +8.68% -9.54%
Apr +0.07% +25.50%
May +13.49% +2.82%
Jun +2.25% +27.29%
Jul -3.86% +6.53%
Aug +1.20% -13.58%
Sept +0.56%  
Oct -5.75%  
Nov -1.93%  
Dec +29.20%

 

Average & Standard Deviation
Monthly Performances
Jan 1, 2015 - Present

WGC SPY QQQ IWM TLT HYG GLD DBA EEM XLU XLE XRT VNQ UUP Basket
Average 6.23% 0.47% 0.78% 0.33% 0.79% 0.29% 0.60% -0.96% -0.12% 0.51% -0.36% -0.22% 0.83% 0.20% 0.24%
Stdev 14.66% 3.67% 4.89% 4.41% 3.82% 1.93% 5.28% 3.82% 5.31% 4.13% 6.07% 4.31% 4.73% 2.31% 1.15%

 

 

 

Future Value Projection:

The charts below are for current and prospective investors for informational purposes. WGC is sharing this information publicly, because we feel it is important for investors to know our own internal benchmark.

If the actual results are above FV results then WGC is trading above expectations or better than our models, on average.

If the actual results are below the FV results, WGC is trading below expectations or worse than the FV models suggest.

There are many assumptions that take place in the future value model, but it is helpful as it sets some point of expectation to analyze and study from:

Actual WGC Performance vs. FV WGC Performance

 

 

 

 

Risk

Risk is a key component to determine if WGC meets your investing objectives. WGC has higher returns, but also higher risks, which might not be suitable for all investors.

 

Sharpe Ratio:

The Sharpe Ratio is a measure for calculating risk-adjusted returns, and this ratio has become the industry standard for such calculations.

Sharpe Ratio = Expected Annual Portfolio Return - Risk Free Rate
Portfolio Standard Deviation

 

 

 

What is a good Sharpe ratio?

Usually, any Sharpe ratio greater than 1 is considered acceptable to good by investors. A ratio higher than 2 is rated as very good, and a ratio of 3 or higher is considered excellent. The basic purpose of the Sharpe ratio is to allow an investor to analyze how much greater a return he or she is obtaining in relation to the level of additional risk taken to generate that return.

 

WGC Sharpe Ratio

Jan 1, 2015 - Present

4.49

 

WGC Sharpe Ratio

Jan 1, 2015 - Present

WGC SPY QQQ IWM TLT HYG GLD DBA EEM XLU XLE XRT VNQ UUP Basket
4.49 0.53 1.38 0.06 0.43 0.10 0.17 (0.88) (1.06) 0.21 (0.22) (0.57) 0.76 (0.02) 0.08

 

 

 

Lifetime Max Drawdown:

Drawdown risk is the maximum drawdown from max peak on a mark-to-market basis within a given time period. It is the amount of capital to determined at risk.

For example: In the buy-and-hold strategy example of holding SPY, reached a maximum peak in 2007 of $132.48, then fell to a low in $58.10 in 2009, the maximum drawdown at risk from max peak is -56.14%. This number is represented as a negative number, because it represents a drawdown from the highest value of the asset.

Daily max drawdown could match monthly max drawdown, given that you could close the month on a max drawdown. As time approaches infinity, these numbers will approximately be equal.

 

Lifetime Maximum Drawdown

From Daily Close & Monthly Close

Jan 1, 2015 - Present

WGC SPY QQQ IWM TLT HYG GLD DBA EEM XLU XLE XRT VNQ UUP Basket
Daily -26.39% -13.01% -16.10% -25.68% -15.80% -13.44% -19.75% -21.82% -34.45% -15.69% -36.10% -24.17% -17.24% -9.36% -20.20%
Monthly -13.58% -8.50% -9.82% -16.77% -14.17% -9.47% -17.81% -19.77% -27.66% -12.73% -29.95% -18.08% -13.08% -7.59% -15.80%

 

 

Return Over Maximum Drawdown:

Return over maximum drawdown is the average return in a given period for a portfolio, expressed as a proportion of the maximum drawdown level. It enables investors to ask the question: are they willing to accept an occasional drawdown of X% in order to generate an average return of Y%?

RoMaD = Annualized Average Portfolio Rate of Return
Max Lifetime Drawdown From Peak

 

 

 

For investor transparency we include the max drawdown as of a monthly close (in our opinion more sensible), and daily close (realistic perspective, day-to-day). As usual, using daily data is more harsh, as we should expect this values to be worse. We encourage investors to use monthly data only, as it is more aligned with our avatar or ideal investor, however, the daily data should be used to show you the swings that do exist on a day to day, shorter-term basis.

 

RoMaD

Jan 1, 2015 - Present

WGC SPY QQQ IWM TLT HYG GLD DBA EEM XLU XLE XRT VNQ UUP Basket
Daily 2.59 0.32 0.43 0.10 0.50 0.23 0.31 (0.40) (0.28) 0.31 (0.10) (0.12) 0.44 0.20 0.08
Monthly 5.03 0.50 0.70 0.16 0.56 0.33 0.35 (0.44) (0.34) 0.38 (0.12) (0.16) 0.58 0.25 0.21

 

 

 

Gain-to-Pain Ratio:

The Gain-to-Pain Ratio is just what the name implies – how much pain is required to achieve a certain gain. The best calculation of the GtPR uses monthly performance data for the lifetime of a trading program - although a 5 year GtPR is representative of trading achievement. A 3 year GtPR is acceptable, but not ideal.  The formula is:

 

Gain to Pain Ratio = Sum of monthly RORs (lifetime or 5 years)
Sum of the absolute values of all negative monthly RORs (lifetime or 5 years)

 

 

 

 

Gain-to-Pain Ratio

Jan 1, 2015 - Present

WGC SPY QQQ IWM TLT HYG GLD DBA EEM XLU XLE XRT VNQ UUP Basket
2.48 0.43 0.49 0.21 0.79 0.42 0.34 -0.49 -0.05 0.36 -0.14 -0.11 0.53 0.25 0.23

 

 

 

CALMAR:

CALMAR is a risk metric determined over a 3-year rolling period. It uses the annual return to the maximum monthly drawdown (monthly close). Each year this is calculated and compared to the benchmark, but the calculation is rolled in the 3 year period starting since the fund's inception. Against the SPY in this example, the calculation is used against the unmodified close.

The Calmar ratio is a definite number; just a look at this figure should give you an idea of a fund’s performance. For instance, a fund with a Calmar ratio of more than 5 is considered excellent, a ratio of 2 – 5 is very good and 1 – 2 is just good. A comparison of Calmar ratios of two funds is not required to determine their individual performances; this is not the case with other ratios like the Soritino or Sharpe ratio where the answer is meaningful only when you compare with other funds.

 

What trading over the course of five different decades has taught me about drawdowns by Peter Brandt

A benchmark metric maintained by many professional traders is their Calmar ratio. The Calmar ratio is calculated by dividing the worst drawdown (month-ending basis) into the average annual rate of return for some measure of time. A rolling three-year period is the most frequent time measure for determining Calmar. A Calmar ratio of 2.0 is considered outstanding — 3.0 is world class. Some short gamma traders (naked options sellers) can generate Calmar ratios of 5.0 or even higher — that is, until they go broke, which they eventually will. The practical implication of a Calmar ratio of 2.0 is that to achieve an average annual ROR of 30% you will likely experience a worst-drawdown of 15% or greater (month-ending). Keep in mind that a month-ending worst drawdown of 15% probably equates to a week-ending worst drawdown of 20% or greater.
Calmar Ratio = Average 3 year annual ROR
Worst Drawdown in past 3 years based on monthly close

 

 

 

*Same as Monthly RoMaD

 

 

MAR Ratio:

The MAR ratio differs from the CALMAR in that it takes into account the entire career of the trader from inception.

MAR Ratio = Lifetime Average Annual ROR
Worst lifetime drawdown based on monthly close

 

 

 

*Same as Monthly RoMaD

 

 

Modified MAR Ratio:

Needless to say, a huge drawdown from years ago would remain a chain around the neck of a trader forever with the MAR ratio. For this reason, there is a modified MAR, as shown on the formula below. In some respects a modified MAR is a similar to a longer-term CALMAR.

Modified MAR Ratio = Lifetime Average Annual ROR
Average of worse annual drawdowns

 

 

 

*Same as Monthly RoMaD

 

 

Legal Disclaimers and Disclosures:

You understand that you are solely responsible for reviewing any fund, its offering and any statements made by a fund or its manager and for performing such due diligence as you may deem appropriate, including consulting your own legal and tax advisers, and that any information provided by White Gem Capital LLC (WGC) shall not form the primary basis of your investment decision.

This material is for your general information only and is not an offer or solicitation to buy or sell any security including any interest in a hedge fund or WGC. 

Past Performance is No Guarantee of Future Results.