Eamon Capital : Zephyr Program

Year-to-Date: 18.77%
Feb Performance: 12.13%

Min Investment: $ 600k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 14.20%
Sharpe (RFR=1%): 0.99
CAROR: 15.03%

Assets: $ 14.1M
Worst DD: -17.51
S&P Correlation: -0.32

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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	12.13	17.01	18.77	11.97	20.50	-	-	79.18
S&P 500	-8.41	-5.95	-8.56	6.09	23.71	-	-	50.71
+/- S&P 500	20.54	22.96	27.33	5.89	-3.21	-	-	28.47

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: $ 600k
Trading Level Incremental Increase: $ 150k
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: 4%
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%

Composition

Precious Metals: 34.00%
Energy: 33.00%
Softs: 33.00%

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.

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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:

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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
-17.51	20	-	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

Consecutive Gains

Run-up	Length (Mos.)	Start	End
53.78	15	1/1/2016	3/1/2017
18.77	2	1/1/2020	2/1/2020
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
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

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-17.40	4	9/1/2019	12/1/2019
-9.43	3	1/1/2019	3/1/2019
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	50.00	48.00	45.00	39.00	33.00	27.00	15.00
Percent Profitable	66.00	72.92	66.67	74.36	72.73	85.19	100.00
Average Period Return	1.26	3.23	6.46	13.06	18.76	25.25	38.27
Average Gain	3.36	6.87	12.54	20.37	28.64	31.10	38.27
Average Loss	-2.83	-6.55	-5.70	-8.13	-7.60	-8.36
Best Period	12.13	17.01	30.21	45.47	62.15	71.20	73.22
Worst Period	-12.85	-16.16	-16.55	-12.90	-16.12	-11.87	4.75
Standard Deviation	4.10	7.55	10.90	18.47	24.49	27.93	22.17
Gain Standard Deviation	2.76	4.51	7.58	15.53	21.15	26.08	22.17
Loss Standard Deviation	3.07	4.84	4.09	4.45	6.23	2.68
Sharpe Ratio (1%)	0.29	0.40	0.55	0.65	0.70	0.83	1.59
Average Gain / Average Loss	1.19	1.05	2.20	2.51	3.77	3.72
Profit / Loss Ratio	2.31	2.82	4.40	7.26	10.06	21.38
Downside Deviation (10%)	2.56	4.72	5.25	7.07	8.64	7.76	4.17
Downside Deviation (5%)	2.43	4.29	4.24	5.09	5.66	4.09
Downside Deviation (0%)	2.39	4.18	4.00	4.64	5.01	3.34
Sortino Ratio (10%)	0.33	0.42	0.76	1.14	1.29	1.93	5.40
Sortino Ratio (5%)	0.48	0.70	1.40	2.37	3.05	5.68
Sortino Ratio (0%)	0.52	0.77	1.61	2.82	3.74	7.56

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Month	6	12.13	2/2020
Trend Following Strategy Index	Month	7	12.13	2/2020
Diversified Trader Index	Month	7	12.13	2/2020
Systematic Trader Index	Month	9	12.13	2/2020
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
Trend Following Strategy Index	Month	3	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 Rolling	4	66.86	2015 - 2018
IASG CTA Index	Sharpe	4	1.92	2017 - 2018
Trend Following Strategy Index	Month	5	1.68	10/2018
Diversified Trader Index	Month	6	2.88	4/2018
Trend Following Strategy Index	Month	2	2.88	4/2018
Trend Following Strategy Index	Month	2	2.88	4/2018
Diversified Trader Index	Month	6	2.88	4/2018
Systematic Trader Index	Month	10	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.

^#6

Top Performer

IASG CTA INDEX

FEBRUARY
2020

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More Programs by Eamon Capital

Program Name	CAROR
Zephyr Program	15.03%

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Eamon Capital : Zephyr Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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