Eagle Trading Systems Inc. : Eagle Strategic Trend Macro

Year-to-Date
0.88%
Oct Performance
-2.06%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
0%
Annualized Vol
7.87%
Sharpe (RFR=1%)
-0.60
CAROR
-4.00%
Assets
$ 27.0M
Worst DD
-18.96
S&P Correlation
0.10

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
4/2016
Eagle Strategic Trend Macro -2.06 -5.43 -0.88 2.49 -11.96 - - -13.60
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 45.58
+/- S&P 500 -4.10 -7.35 -22.04 -9.51 -53.38 - - -59.18

Strategy Description

Summary

We designed Eagle Strategic Trend Macro (ESTM) in response to growing investor interest in strategies that endeavor to deliver more targeted outcomes with a more attractive fee structure. We have engineered this strategy to build on some of Eagle’s longstanding successful strategies... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.00%
Performance Fee
0%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Redemption Frequency
Investor Requirements
QEP
Lock-up Period
0

Trading

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

Holding Periods

Over 12 Months
0%
4-12 Months
100.00%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
17.00%
Energy
17.00%
Interest Rates
17.00%
Stock Indices
17.00%
Industrial Metals
8.00%
Precious Metals
8.00%
Grains
8.00%
Softs
8.00%
Composition Pie Chart

Summary

We designed Eagle Strategic Trend Macro (ESTM) in response to growing investor interest in strategies that endeavor to deliver more targeted outcomes with a more attractive fee structure. We have engineered this strategy to build on some of Eagle’s longstanding successful strategies which were modified to lighten tactical filters, increase market participation and more closely map widely followed times series momentum risk factors. Eagle Strategic Trend Macro Highlights: • Objective: Seeks to deliver attractive risk adjusted returns through tactical timing of short term price momentum and intermediate-long term trend opportunities in a broad universe of exchange traded futures. • Engineered for attractive skew characteristics. • Seeks to diversify Global Growth/Equity Risk Factor in down equity markets without detracting from positive equity risk factor periods. • Foundation predicated on long standing tactical trend and tactical momentum trading strategies. • Highly Liquid • Competitive Fee Structure (1% flat management fee for approximately 10% annualized standard deviation). Can tailor to targeted client risk preferences.

Investment Strategy

Please see above.

Risk Management

Please see above.

   

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
-18.96 22 - 12/1/2016 10/1/2018
-4.60 4 2 6/1/2016 10/1/2016
-3.21 1 1 4/1/2016 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
7.54 6 3/1/2019 8/1/2019
5.99 2 11/1/2016 12/1/2016
4.48 1 6/1/2016 6/1/2016
3.41 2 11/1/2018 12/1/2018
2.51 1 10/1/2017 10/1/2017
2.05 2 5/1/2018 6/1/2018
1.77 1 7/1/2017 7/1/2017
1.73 1 4/1/2016 4/1/2016
0.83 1 2/1/2017 2/1/2017
0.75 1 8/1/2018 8/1/2018
0.64 1 1/1/2018 1/1/2018
0.61 1 9/1/2016 9/1/2016
0.47 1 5/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.58 3 2/1/2018 4/1/2018
-6.62 2 9/1/2019 10/1/2019
-5.86 2 3/1/2017 4/1/2017
-4.30 1 6/1/2017 6/1/2017
-3.65 2 8/1/2017 9/1/2017
-3.56 2 7/1/2016 8/1/2016
-3.21 1 5/1/2016 5/1/2016
-2.95 2 9/1/2018 10/1/2018
-1.93 2 11/1/2017 12/1/2017
-1.68 1 10/1/2016 10/1/2016
-1.30 2 1/1/2019 2/1/2019
-1.07 1 1/1/2017 1/1/2017
-0.82 1 7/1/2018 7/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable48.8443.9039.4725.0011.540.00
Average Period Return-0.31-0.80-1.75-4.93-8.50-11.76
Average Gain1.552.252.543.243.07
Average Loss-2.09-3.18-4.55-7.65-10.01-11.76
Best Period4.484.857.546.525.64-2.34
Worst Period-6.00-8.58-9.77-15.58-16.43-17.08
Standard Deviation2.273.374.535.995.934.66
Gain Standard Deviation1.171.402.412.032.26
Loss Standard Deviation1.512.373.184.014.344.66
Sharpe Ratio (1%)-0.17-0.31-0.50-0.99-1.69-2.95
Average Gain / Average Loss0.740.710.560.420.31
Profit / Loss Ratio0.710.550.360.140.04
Downside Deviation (10%)2.073.736.0411.5417.1122.48
Downside Deviation (5%)1.883.104.628.2311.5414.50
Downside Deviation (0%)1.832.944.297.4510.2312.61
Sortino Ratio (10%)-0.35-0.54-0.70-0.86-0.94-0.98
Sortino Ratio (5%)-0.21-0.34-0.49-0.72-0.87-0.95
Sortino Ratio (0%)-0.17-0.27-0.41-0.66-0.83-0.93

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.