Cambridge Capital Management UK LLP : CCM Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance -0.10% Min Investment $ 2,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 8.25% Sharpe (RFR=1%) 0.45 CAROR 4.44% Assets $ 4.0M Worst DD -10.26 S&P Correlation -0.08 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jul Qtr 2020 1yr 3yr 5yr 10yr Since11/2012 CCM Program -0.10 - - - - 1.86 - 17.71 S&P 500 3.56 - - - - 68.17 - 162.53 +/- S&P 500 -3.66 - - - - -66.31 - -144.82 Strategy Description SummaryWe bring engineering techniques to systematic global macro by using an industrial-scale, multi-model / multi-asset approach with thousands of models across global markets, combined in performance-weighted ensembles to generate dynamic asset forecasts. Sophisticated, adaptive techniques... Read More Account & Fees Type Managed Account Minimum Investment $ 2,000k Trading Level Incremental Increase $ 100k CTA Max Funding Factor Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 12% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 50.00% 1-3 Months 20.00% 1-30 Days 30.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Other 100.00% Composition Currency FX 50.00% Interest Rates 40.00% Stock Indices 10.00% SummaryWe bring engineering techniques to systematic global macro by using an industrial-scale, multi-model / multi-asset approach with thousands of models across global markets, combined in performance-weighted ensembles to generate dynamic asset forecasts. Sophisticated, adaptive techniques drive the contribution of each model to each composite asset forecast. With industrial-scale diversification across models the signal to noise ratio is increased generating robust forecasts that adapt to changing market environments. These dynamic forecasts and a sophisticated market-risk model are used to maximise the expected return of the fund portfolio within a comprehensive portfolio optimisation & risk framework. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -10.26 10 12 1/1/0001 8/1/2013 -4.27 4 4 5/1/2015 9/1/2015 -2.92 5 - 2/1/2016 7/1/2016 -2.09 1 1 1/1/2015 2/1/2015 -0.51 1 1 3/1/2015 4/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 22.57 6 8/1/2014 1/1/2015 4.92 2 1/1/2016 2/1/2016 4.23 3 9/1/2013 11/1/2013 3.85 3 2/1/2013 4/1/2013 2.79 2 1/1/2014 2/1/2014 2.62 2 10/1/2015 11/1/2015 2.41 1 3/1/2015 3/1/2015 2.34 2 4/1/2014 5/1/2014 1.99 1 5/1/2015 5/1/2015 1.60 1 4/1/2016 4/1/2016 1.07 1 7/1/2013 7/1/2013 0.35 1 7/1/2015 7/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -7.77 2 5/1/2013 6/1/2013 -6.00 3 11/1/2012 1/1/2013 -2.90 1 3/1/2016 3/1/2016 -2.79 2 8/1/2015 9/1/2015 -2.09 1 2/1/2015 2/1/2015 -2.08 1 12/1/2013 12/1/2013 -1.87 1 6/1/2015 6/1/2015 -1.59 3 5/1/2016 7/1/2016 -1.37 1 8/1/2013 8/1/2013 -1.19 1 12/1/2015 12/1/2015 -0.77 2 6/1/2014 7/1/2014 -0.51 1 4/1/2015 4/1/2015 -0.15 1 3/1/2014 3/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods45.0043.0040.0034.0028.0022.00 Percent Profitable55.5662.7970.0076.4789.29100.00 Average Period Return0.391.273.148.3115.6222.84 Average Gain1.963.686.3012.1317.9722.84 Average Loss-1.57-2.81-4.21-4.13-3.96 Best Period6.4711.1422.5726.2929.8030.20 Worst Period-5.32-7.62-9.32-7.74-5.125.29 Standard Deviation2.384.186.8610.3211.166.87 Gain Standard Deviation1.712.985.508.599.296.87 Loss Standard Deviation1.472.322.862.701.03 Sharpe Ratio (1%)0.130.240.390.711.263.03 Average Gain / Average Loss1.251.311.502.944.53 Profit / Loss Ratio1.562.213.499.5637.79 Downside Deviation (10%)1.632.834.004.824.251.15 Downside Deviation (5%)1.462.312.992.781.82 Downside Deviation (0%)1.422.192.752.351.33 Sortino Ratio (10%)-0.010.010.170.691.8910.92 Sortino Ratio (5%)0.210.440.892.637.76 Sortino Ratio (0%)0.280.581.143.5411.78 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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