Cambridge Capital Management UK LLP : CCM Program

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
11/2012
CCM Program -0.10 -1.59 - 0.40 29.36 - - 17.71
S&P 500 3.56 5.24 - 3.32 28.94 - - 53.48
+/- S&P 500 -3.66 -6.84 - -2.92 0.42 - - -35.78

Strategy Description

Summary

We 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%
Strategy Pie Chart

Composition

Currency FX
50.00%
Interest Rates
40.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

We 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
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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
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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
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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. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.