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/ Eamon Capital / Zephyr Program

Eamon Capital : Zephyr Program

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Year-to-Date
14.04%
Feb Performance
17.90%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.83%
Sharpe (RFR=1%)
0.67
CAROR
11.38%
Assets
$ 11.0M
Worst DD
-24.07
S&P Correlation
-0.11
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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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Zephyr Program 17.90 13.35 14.04 -8.51 -1.81 62.89 - 63.01
S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 - 109.26
+/- S&P 500 11.96 4.70 9.28 -41.71 -46.79 -38.68 - -46.25

Strategy Description

Summary

The Zephyr program seeks to provide a strong rate of return with comparatively low volatility. The program employs a fully automated, trend-following breakout system.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 300k
Trading Level Incremental Increase $ 300k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $2.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -18.00%
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 1.00%
1-30 Days 64.00%
Intraday 35.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Precious Metals
34.00%
Energy
33.00%
Softs
33.00%
Composition Pie Chart

Summary

The Zephyr program seeks to provide a strong rate of return with comparatively low volatility. The program employs a fully automated, trend-following breakout system.

Investment Strategy

The system runs independently in multiple commodity sectors (metals, energies, softs) on multiple time scales in order to further reduce overall program drawdown and improve risk-to-reward ratio.

   

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

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
-24.07 9 - 4/1/2020 1/1/2021
-17.51 20 3 4/1/2018 12/1/2019
-3.57 1 1 3/1/2017 4/1/2017
-2.00 4 1 7/1/2017 11/1/2017
-0.46 1 1 1/1/2018 2/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
53.78 15 1/1/2016 3/1/2017
29.19 4 1/1/2020 4/1/2020
17.90 1 2/1/2021 2/1/2021
15.24 3 4/1/2019 6/1/2019
12.20 3 5/1/2017 7/1/2017
7.72 2 12/1/2017 1/1/2018
6.94 1 8/1/2019 8/1/2019
6.33 1 11/1/2020 11/1/2020
4.62 2 3/1/2018 4/1/2018
1.68 1 10/1/2018 10/1/2018
0.77 1 8/1/2018 8/1/2018
0.66 1 9/1/2017 9/1/2017
0.18 1 12/1/2018 12/1/2018
0.09 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.93 6 5/1/2020 10/1/2020
-17.40 4 9/1/2019 12/1/2019
-9.43 3 1/1/2019 3/1/2019
-8.52 2 12/1/2020 1/1/2021
-5.53 1 7/1/2019 7/1/2019
-4.70 1 7/1/2018 7/1/2018
-3.57 1 4/1/2017 4/1/2017
-1.93 2 10/1/2017 11/1/2017
-1.75 1 5/1/2018 5/1/2018
-1.54 1 9/1/2018 9/1/2018
-0.73 1 8/1/2017 8/1/2017
-0.46 1 2/1/2018 2/1/2018
-0.01 1 11/1/2018 11/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable59.6865.0063.1676.4773.3379.4988.89100.00
Average Period Return1.022.194.408.8311.3713.7819.3534.21
Average Gain3.895.709.8712.9017.2118.4522.3734.21
Average Loss-3.23-4.33-4.99-4.43-4.68-4.30-4.83
Best Period17.9016.9224.7737.2649.1755.1656.5858.47
Worst Period-12.85-11.78-13.96-8.08-9.65-6.72-8.013.54
Standard Deviation4.866.119.2312.8116.4918.7317.8219.70
Gain Standard Deviation3.594.086.4811.8715.4218.2716.5019.70
Loss Standard Deviation3.043.154.282.763.471.752.86
Sharpe Ratio (1%)0.190.320.420.610.600.630.921.53
Average Gain / Average Loss1.201.321.982.913.684.294.63
Profit / Loss Ratio1.782.453.399.4710.1116.6237.05
Downside Deviation (10%)2.983.765.215.026.927.498.926.76
Downside Deviation (5%)2.833.264.192.933.642.952.740.13
Downside Deviation (0%)2.793.143.952.502.972.081.79
Sortino Ratio (10%)0.200.260.370.760.550.470.401.87
Sortino Ratio (5%)0.330.600.932.672.713.995.97224.01
Sortino Ratio (0%)0.360.701.113.533.846.6110.82

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 12.34 2/2021
Diversified Trader Index Month 9 12.34 2/2021
Trend Following Strategy Index Month 10 2.19 4/2020
Trend Following Strategy Index Month 10 2.19 4/2020
Systematic Trader Index Month 9 12.13 2/2020
Diversified Trader Index Month 7 12.13 2/2020
IASG CTA Index Month 7 12.13 2/2020
Trend Following Strategy Index Month 7 12.13 2/2020
Trend Following Strategy Index Month 3 5.92 1/2020
Systematic Trader Index Month 7 5.92 1/2020
Diversified Trader Index Month 7 5.92 1/2020
IASG CTA Index Month 7 5.92 1/2020
Systematic Trader Index Month 3 8.14 5/2019
Diversified Trader Index Month 3 8.14 5/2019
IASG CTA Index Month 4 8.14 5/2019
Trend Following Strategy Index Month 2 8.14 5/2019
IASG CTA Index 3 Year 4 66.86 2015 - 2018
IASG CTA Index Sharpe 4 1.92 2018
Trend Following Strategy Index Month 5 1.68 10/2018
Trend Following Strategy Index Month 2 2.88 4/2018
Diversified Trader Index Month 6 2.88 4/2018
Trend Following Strategy Index Month 7 1.72 3/2018
Trend Following Strategy Index Month 10 -0.50 2/2018
Systematic Trader Index Month 7 5.11 12/2017
Diversified Trader Index Month 6 5.11 12/2017
Trend Following Strategy Index Month 5 5.11 12/2017
Trend Following Strategy Index Month 8 0.65 9/2017

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

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