Eastside Capital : Advanced Foreign Exchange Program

archived programs
Year-to-Date
N / A
Nov Performance
-0.57%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.49%
Sharpe (RFR=1%)
1.18
CAROR
23.43%
Assets
$ 226k
Worst DD
-10.22
S&P Correlation
-0.41

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
10/2006
Advanced Foreign Exchange Program -0.57 - - - - - - 57.80
S&P 500 -7.48 - - - - - - 151.40
+/- S&P 500 6.91 - - - - - - -93.60

Strategy Description

Summary

-Eastside Capital’s Advanced Foreign Exchange (AFX) program has been designed to exploit market inefficiencies on a global macro level. As such, the AFX program will actively use foreign exchange and global interest rate markets to achieve its target of producing annualized returns... 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

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 2 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 10.22%
Sector Focus Not Specified

Holding Periods

Over 12 Months 10.00%
4-12 Months 30.00%
1-3 Months 60.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 75.00%
Systematic 25.00%

Strategy

Fundamental
30.00%
Option-purchasing
5.00%
Option-writing
5.00%
Trend-following
50.00%
Other
10.00%
Strategy Pie Chart

Summary

-Eastside Capital’s Advanced Foreign Exchange (AFX) program has been designed to exploit market inefficiencies on a global macro level. As such, the AFX program will actively use foreign exchange and global interest rate markets to achieve its target of producing annualized returns of 20%-25% with a volatility of 18%-23%. Hence, Eastside Capital’s AFX program offers attractive exposure to global foreign exchange as an asset class as well as uncorrelated returns when compared to global equity and bond markets.

Investment Strategy

Eastside Capital’s AFX program seeks to take advantage of perceived inefficiencies in foreign exchange markets via secular shifts in pricing of underlying assets, via proprietary quantitative models and via identification of multi-sigma events representing valuable but brief opportunities. Strategies are mostly directional and longer term in nature designed to capture opportunities in both rising and falling market environments and across multiple currencies generally captured by G10 and G15.

Risk Management

Risk control and the allocation of funds to particular trades are conducted within a rigid quantitative framework designed to limit overexposure and preserve capital under adverse circumstances. Leverage in the AFX program varies from zero to a maximum of 10 with typical leverage being around 5. General risk control framework • Risk parameters Basic framework is modeled around the target maximum risk filtering down to position level • VaR Eastside Capital actively employs Value-at-Risk methodology as well as Monte-Carlo simulations to estimate the stress impact of adverse scenarios for existing portfolios • Model variance Models employed are selected and included on their basis not only to contribute with positive returns but also, and perhaps even more importantly, to introduce elements of non-correlation and hence risk diversification • Discretionary risk controls By definition, models cannot accurately model the real world; occasionally, events necessitate scaling up/down position size via judgment

   

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:
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Average Gain:
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Risk
Standard Deviation:
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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:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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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
-10.22 1 3 2/1/2007 3/1/2007
-9.55 4 2 3/1/2008 7/1/2008
-2.20 3 2 9/1/2007 12/1/2007
-0.57 1 - 10/1/2008 11/1/2008
-0.41 1 2 11/1/2006 12/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
35.52 3 8/1/2008 10/1/2008
28.61 6 4/1/2007 9/1/2007
11.87 3 1/1/2008 3/1/2008
1.98 2 1/1/2007 2/1/2007
1.03 1 6/1/2008 6/1/2008
0.90 2 10/1/2006 11/1/2006
0.68 1 11/1/2007 11/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.22 1 3/1/2007 3/1/2007
-7.23 1 7/1/2008 7/1/2008
-3.49 2 4/1/2008 5/1/2008
-1.60 1 12/1/2007 12/1/2007
-1.28 1 10/1/2007 10/1/2007
-0.57 1 11/1/2008 11/1/2008
-0.41 1 12/1/2006 12/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable69.2370.8395.24100.00100.00
Average Period Return1.905.699.2720.9233.65
Average Gain4.139.3610.1320.9233.65
Average Loss-3.10-3.21-7.99
Best Period14.7235.5228.6140.7157.15
Worst Period-10.22-8.44-7.999.6416.33
Standard Deviation5.3410.099.079.2115.78
Gain Standard Deviation4.409.688.379.2115.78
Loss Standard Deviation3.653.15
Sharpe Ratio (1%)0.340.540.972.162.04
Average Gain / Average Loss1.332.911.27
Profit / Loss Ratio2.997.0725.35
Downside Deviation (10%)2.722.892.39
Downside Deviation (5%)2.592.451.85
Downside Deviation (0%)2.562.351.74
Sortino Ratio (10%)0.551.552.85
Sortino Ratio (5%)0.702.224.73
Sortino Ratio (0%)0.742.435.31

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.