Cambridge Strategy Asset Management LTD : Extended Markets Alpha Program

Year-to-Date
1.48%
Apr Performance
0.95%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.26%
Sharpe (RFR=1%)
0.32
CAROR
3.33%
Assets
$ 2.0M
Worst DD
-30.14
S&P Correlation
-0.01

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
4/2004
Extended Markets Alpha Program 0.95 -3.31 -1.48 2.30 0.40 39.55 0.98 63.95
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 163.31
+/- S&P 500 -2.98 -12.25 -18.99 -8.95 -40.80 -15.23 -233.07 -99.36

Strategy Description

Summary

The Extended Markets Alpha Programme commenced trading in April 2004 as a managed account for an institutional client to provide a blended exposure to the strategies offered by The Cambridge Strategy. Performance since inception refers to an equal weighted average of the managed accounts... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Composition

Summary

The Extended Markets Alpha Programme commenced trading in April 2004 as a managed account for an institutional client to provide a blended exposure to the strategies offered by The Cambridge Strategy. Performance since inception refers to an equal weighted average of the managed accounts invested via the Extended Markets Alpha Programme. The Extended Markets Alpha Programme offers investors a diversified exposure to the global currency markets (including Developed and Developing markets) and aims to profit from short and medium term moves in various currency pairs. To achieve this, the firm employs a systematic approach designed to perform across diverse market environments. The process combines three decision making tools: a Systematic Technical Strategy, a Systematic Fundamental Strategy and a Market Information Strategy.

Investment Strategy

During periods of higher volatility, the Systematic Technical Strategy uses a series of proprietary trading algorithms operating over multiple timeframes. The algorithms combine trend continuation and trend reversal signals. During periods of lower volatility, the Systematic Fundamental Strategy (used in the Developing markets segments of our portfolios) reflects a predetermined set of positions designed to reflect “market? views on the relative attractiveness of currencies versus the US dollar thereby realising the inherent benefits of the carry trade. The Market Information Strategy leverages the experience and global network of our portfolio managers to understand and exploit the behaviour of other market participants and to participate in hedging and investment flows.

Risk Management

The Cambridge Strategy believes that long run success is achieved through successful mitigation of downside returns (with risk controlled at the portfolio, strategy and individual trade levels). While a daily VAR limit is enforced at both the aggregate portfolio and sub-strategy level, a further layer of risk mitigation is incorporated within each strategy. For the Systematic Technical and Market Information Strategies “left side” tail risk is monitored at the trade and portfolio level using a proprietary methodology grounded in Extreme Value Theory. Within the Systematic Fundamental Strategy, the aggregate! net US dollar exposure is maintained at zero.

   

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
-30.14 64 33 2/1/2009 6/1/2014
-8.67 3 - 1/1/2018 4/1/2018
-3.29 2 3 8/1/2017 10/1/2017
-2.26 3 9 11/1/2007 2/1/2008
-1.32 1 1 6/1/2017 7/1/2017
-0.66 2 5 4/1/2006 6/1/2006
-0.60 2 2 12/1/2006 2/1/2007
-0.47 1 1 9/1/2007 10/1/2007
-0.16 1 1 3/1/2005 4/1/2005
-0.14 1 1 10/1/2005 11/1/2005
-0.10 1 1 7/1/2007 8/1/2007
-0.07 1 1 5/1/2004 6/1/2004
-0.02 1 1 4/1/2007 5/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
28.38 9 7/1/2004 3/1/2005
19.37 3 7/1/2014 9/1/2014
14.22 6 11/1/2015 4/1/2016
11.86 5 2/1/2017 6/1/2017
10.23 2 3/1/2011 4/1/2011
8.92 5 10/1/2008 2/1/2009
8.22 2 11/1/2014 12/1/2014
7.09 2 5/1/2018 6/1/2018
5.68 2 5/1/2012 6/1/2012
5.65 6 5/1/2005 10/1/2005
4.93 2 3/1/2015 4/1/2015
4.74 1 9/1/2007 9/1/2007
4.26 3 11/1/2017 1/1/2018
3.83 2 4/1/2004 5/1/2004
3.53 2 7/1/2015 8/1/2015
3.12 1 9/1/2011 9/1/2011
2.54 5 12/1/2005 4/1/2006
2.45 1 8/1/2017 8/1/2017
2.29 1 3/1/2013 3/1/2013
2.23 3 11/1/2011 1/1/2012
2.11 1 5/1/2013 5/1/2013
1.89 1 1/1/2019 1/1/2019
1.62 2 3/1/2008 4/1/2008
1.59 1 2/1/2010 2/1/2010
1.35 1 6/1/2016 6/1/2016
1.27 3 10/1/2006 12/1/2006
1.27 1 11/1/2007 11/1/2007
1.26 2 3/1/2007 4/1/2007
1.19 2 7/1/2009 8/1/2009
1.12 2 7/1/2008 8/1/2008
1.02 1 12/1/2010 12/1/2010
0.97 1 9/1/2012 9/1/2012
0.95 2 4/1/2009 5/1/2009
0.95 1 4/1/2019 4/1/2019
0.84 1 7/1/2011 7/1/2011
0.83 1 8/1/2018 8/1/2018
0.75 1 10/1/2018 10/1/2018
0.73 1 12/1/2013 12/1/2013
0.47 1 5/1/2010 5/1/2010
0.44 1 7/1/2006 7/1/2006
0.31 2 6/1/2007 7/1/2007
0.26 1 8/1/2016 8/1/2016
0.02 1 10/1/2013 10/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.19 6 6/1/2010 11/1/2010
-9.63 4 6/1/2013 9/1/2013
-8.67 3 2/1/2018 4/1/2018
-7.38 5 9/1/2009 1/1/2010
-6.86 2 5/1/2011 6/1/2011
-6.09 2 5/1/2015 6/1/2015
-5.29 5 10/1/2012 2/1/2013
-4.99 3 2/1/2012 4/1/2012
-4.38 6 1/1/2014 6/1/2014
-4.22 2 2/1/2019 3/1/2019
-4.09 5 9/1/2016 1/1/2017
-3.47 2 9/1/2015 10/1/2015
-3.29 2 9/1/2017 10/1/2017
-3.20 2 1/1/2011 2/1/2011
-2.76 1 10/1/2011 10/1/2011
-2.30 2 11/1/2018 12/1/2018
-2.26 3 12/1/2007 2/1/2008
-2.16 1 3/1/2009 3/1/2009
-2.14 1 8/1/2011 8/1/2011
-2.11 1 5/1/2016 5/1/2016
-1.78 2 1/1/2015 2/1/2015
-1.57 1 9/1/2018 9/1/2018
-1.55 2 7/1/2012 8/1/2012
-1.48 1 6/1/2009 6/1/2009
-1.32 1 7/1/2017 7/1/2017
-1.27 2 5/1/2008 6/1/2008
-1.21 1 7/1/2016 7/1/2016
-1.09 1 4/1/2013 4/1/2013
-1.03 1 10/1/2014 10/1/2014
-0.77 2 3/1/2010 4/1/2010
-0.75 1 7/1/2018 7/1/2018
-0.69 1 9/1/2008 9/1/2008
-0.66 2 5/1/2006 6/1/2006
-0.60 2 1/1/2007 2/1/2007
-0.47 1 10/1/2007 10/1/2007
-0.32 2 8/1/2006 9/1/2006
-0.26 1 11/1/2013 11/1/2013
-0.16 1 4/1/2005 4/1/2005
-0.14 1 11/1/2005 11/1/2005
-0.10 1 8/1/2007 8/1/2007
-0.07 1 6/1/2004 6/1/2004
-0.02 1 5/1/2007 5/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods181.00179.00176.00170.00164.00158.00146.00134.00122.00
Percent Profitable51.9356.9858.5264.7166.4663.9265.0762.6954.92
Average Period Return0.300.901.883.274.445.597.398.628.07
Average Gain1.823.565.988.5610.9913.9718.1122.1024.78
Average Loss-1.36-2.62-3.92-6.43-8.54-9.25-12.58-14.02-12.27
Best Period12.9620.1727.8533.2039.8143.1648.9052.5061.93
Worst Period-5.44-8.67-12.19-14.39-19.45-20.68-20.21-25.66-28.56
Standard Deviation2.384.597.2510.2812.4514.4617.8821.2222.50
Gain Standard Deviation2.194.186.638.629.5710.6812.3114.1315.57
Loss Standard Deviation1.212.022.704.225.165.644.177.048.38
Sharpe Ratio (1%)0.090.140.190.220.240.250.240.220.13
Average Gain / Average Loss1.341.361.531.331.291.511.441.582.02
Profit / Loss Ratio1.471.802.152.442.552.672.682.652.46
Downside Deviation (10%)1.472.874.527.3910.0412.4717.5323.1228.73
Downside Deviation (5%)1.292.303.335.076.537.559.5511.8412.96
Downside Deviation (0%)1.252.163.064.565.776.497.839.569.95
Sortino Ratio (10%)-0.07-0.11-0.13-0.23-0.31-0.37-0.48-0.56-0.68
Sortino Ratio (5%)0.170.280.410.450.450.470.460.390.23
Sortino Ratio (0%)0.240.420.610.720.770.860.940.900.81

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 2 5.84 6/2018
Systematic Trader Index Month 5 5.84 6/2018
IASG CTA Index Month 6 5.84 6/2018
Discretionary Trader Index Month 5 4.28 3/2017
IASG CTA Index Month 5 4.28 3/2017
Systematic Trader Index Month 3 4.28 3/2017
Discretionary Trader Index Month 5 3.25 2/2017
Discretionary Trader Index Month 8 2.63 1/2016
Discretionary Trader Index Month 5 4.48 11/2015
Discretionary Trader Index Month 10 4.11 3/2015
Discretionary Trader Index Month 8 3.46 12/2014
Discretionary Trader Index Month 3 4.68 11/2014
Discretionary Trader Index Month 7 13.09 9/2014
Discretionary Trader Index Month 6 2.16 3/2013
Discretionary Trader Index Month 8 5.00 5/2012
Discretionary Trader Index Month 4 4.71 1/2009
Discretionary Trader Index Month 10 0.75 4/2007
Discretionary Trader Index Month 9 0.37 3/2007
IASG CTA Index Sharpe 8 2.55 2004 - 2005
Discretionary Trader Index Month 6 0.64 10/2005
Discretionary Trader Index Month 10 1.87 7/2005
Discretionary Trader Index Month 10 1.63 5/2005
Discretionary Trader Index Month 7 1.94 2/2005
Discretionary Trader Index Month 5 0.79 1/2005
IASG CTA Index Sharpe 2 3.54 2003 - 2004
Discretionary Trader Index Month 7 1.17 12/2004
Discretionary Trader Index Month 4 6.13 11/2004
Discretionary Trader Index Month 3 6.77 10/2004
Discretionary Trader Index Month 4 5.94 9/2004
Discretionary Trader Index Month 4 3.34 5/2004

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