Ebisu Portfolio Management : Diversified Program

Year-to-Date: N / A
Nov Performance: 0.86%

Min Investment: $ 250k
Mgmt. Fee: 0%
Perf. Fee: 0%

Annualized Vol: 22.75%
Sharpe (RFR=1%): 0.70
CAROR: 15.32%

Assets: $ 6.8M
Worst DD: -38.45
S&P Correlation: -0.07

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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	Nov	Qtr	2020	1yr	3yr	5yr	10yr	Since 2/1977
Diversified Program	0.86	-	-	-	-	-	-	9,253.44
S&P 500	-7.48	-	-	-	-	-	-	3,624.14
+/- S&P 500	8.34	-	-	-	-	-	-	5,629.29

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 250k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	0%
Performance Fee	0%
Average Commission	$0
Available to US Investors	Request Information

Subscriptions

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

Trading

Trading Frequency	0 RT/YR/$M
Avg. Margin-to-Equity	0%
Targeted Worst DD
Worst Peak-to-Trough	0%
Sector Focus	Not Specified

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	0%

Strategy

Summary

-Ebisu Portfolio Management Pty Ltd has been a member of the NFA since August 2000. It was granted a Futures Brokers License from the Australian Securities and Investments Commission in 2001. It is a limited liability company registered in Sydney, Australia. Ebisu Portfolio Management Pty Ltd seeks to produce low correlation alpha by trading a sector diversified concentrated portfolio of futures markets using a systematic, computer based approach: System Highlights: - Short term trend following system (7-25 days) - System trades utilizing a single set of parameters (price breakout levels calculated using proprietary formulae) - No curve fitting & no optimization - Stop loss and trade exit levels calculated using proprietary formulae. - Concentrated portfolio: 16 futures markets (covering Interest Rates, Currencies, Energies & Commodities) - Volatility adjusted sector risk analysis determines market selection. - Trading is on a flat allocation basis; volatility is managed on a sector basis - Alpha is produced evenly among sectors ensuring no one major sector event (outlier) is needed to generate performance. - Emphasis placed on system research and money management Greg Mulcahy, B.Comm (NZ), is the principal of the Company and has 20 years of experience trading financial markets in New Zealand, Australia and Japan. Greg is a member of the MFA.

Compare to:

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Index: Chart Type:

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:

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
-38.45	41	26	2/1/2003	7/1/2006
-35.50	6	4	10/1/2001	4/1/2002
-33.47	9	29	3/1/1986	12/1/1986
-28.13	5	9	5/1/1989	10/1/1989
-20.81	3	5	10/1/1978	1/1/1979
-17.86	1	5	3/1/1978	4/1/1978
-17.49	3	7	12/1/1999	3/1/2000
-16.98	2	2	7/1/1985	9/1/1985
-14.79	11	7	1/1/1983	12/1/1983
-14.10	4	2	7/1/1984	11/1/1984
-13.60	2	4	7/1/1977	9/1/1977
-13.59	2	3	9/1/2002	11/1/2002
-12.93	4	2	6/1/1999	10/1/1999
-12.78	4	1	2/1/1985	6/1/1985
-11.58	4	5	1/1/1996	5/1/1996
-11.15	9	5	7/1/1997	4/1/1998
-11.06	4	2	12/1/1991	4/1/1992
-11.00	1	6	6/1/1982	7/1/1982
-10.87	8	4	12/1/1990	8/1/1991
-10.72	5	2	7/1/1981	12/1/1981
-10.27	2	1	12/1/2000	2/1/2001
-8.92	2	3	12/1/1993	2/1/1994
-8.62	1	1	2/1/1981	3/1/1981
-8.10	2	3	6/1/1994	8/1/1994
-8.06	1	4	7/1/1993	8/1/1993
-7.55	1	1	3/1/2001	4/1/2001
-7.51	1	2	4/1/1977	5/1/1977
-6.50	1	2	6/1/2001	7/1/2001
-5.75	2	3	2/1/1997	4/1/1997
-4.93	5	1	8/1/1992	1/1/1993
-4.28	2	1	4/1/1993	6/1/1993
-4.09	2	1	7/1/1980	9/1/1980
-4.01	1	2	12/1/1998	1/1/1999
-3.34	1	1	4/1/1999	5/1/1999
-3.09	1	1	12/1/1994	1/1/1995
-3.02	5	3	4/1/1995	9/1/1995
-2.97	1	1	3/1/1980	4/1/1980
-2.58	2	1	9/1/1998	11/1/1998
-2.19	2	1	3/1/1982	5/1/1982
-1.76	1	1	6/1/1979	7/1/1979
-1.07	1	1	1/1/0001	2/1/1977
-0.74	1	1	9/1/1979	10/1/1979
-0.70	1	1	2/1/1993	3/1/1993

Consecutive Gains

Run-up	Length (Mos.)	Start	End
71.45	5	5/1/2002	9/1/2002
57.10	6	10/1/1985	3/1/1986
52.39	5	11/1/1979	3/1/1980
44.74	5	10/1/1980	2/1/1981
41.72	7	6/1/1990	12/1/1990
38.98	4	12/1/1977	3/1/1978
38.05	4	4/1/1981	7/1/1981
36.63	6	9/1/1996	2/1/1997
35.68	3	8/1/2001	10/1/2001
34.99	4	5/1/1992	8/1/1992
34.89	3	10/1/2000	12/1/2000
31.42	6	9/1/2007	2/1/2008
30.73	4	1/1/1987	4/1/1987
30.60	3	2/1/1995	4/1/1995
29.37	6	11/1/1989	4/1/1990
28.82	4	7/1/1978	10/1/1978
27.29	5	2/1/1979	6/1/1979
26.38	3	12/1/1984	2/1/1985
25.07	2	5/1/1988	6/1/1988
24.27	3	1/1/1982	3/1/1982
23.50	4	8/1/2008	11/1/2008
22.02	3	10/1/1987	12/1/1987
21.20	3	12/1/2002	2/1/2003
19.22	1	7/1/1984	7/1/1984
17.96	1	3/1/2001	3/1/2001
17.30	4	12/1/2003	3/1/2004
17.04	1	5/1/1989	5/1/1989
16.93	2	8/1/1979	9/1/1979
16.47	2	11/1/1991	12/1/1991
16.24	2	11/1/1999	12/1/1999
16.21	4	10/1/1995	1/1/1996
15.92	3	4/1/2000	6/1/2000
14.81	2	5/1/2001	6/1/2001
14.68	1	7/1/1985	7/1/1985
14.65	4	9/1/1994	12/1/1994
14.00	5	1/1/1984	5/1/1984
13.63	2	7/1/1986	8/1/1986
12.85	2	8/1/1998	9/1/1998
12.78	1	5/1/1978	5/1/1978
12.11	2	12/1/1982	1/1/1983
11.94	2	3/1/2007	4/1/2007
11.23	2	8/1/1982	9/1/1982
11.01	2	4/1/2003	5/1/2003
10.70	2	5/1/1994	6/1/1994
10.47	2	11/1/1993	12/1/1993
10.34	3	5/1/1997	7/1/1997
10.16	3	5/1/1980	7/1/1980
10.08	3	2/1/1999	4/1/1999
9.05	3	4/1/2008	6/1/2008
8.99	1	6/1/1982	6/1/1982
8.64	2	3/1/1977	4/1/1977
8.57	3	9/1/1988	11/1/1988
8.46	2	8/1/2006	9/1/2006
8.24	1	11/1/1981	11/1/1981
8.13	2	6/1/1977	7/1/1977
8.03	2	12/1/1997	1/1/1998
7.71	1	8/1/2000	8/1/2000
7.67	1	3/1/1994	3/1/1994
7.53	1	3/1/1989	3/1/1989
6.57	2	3/1/1996	4/1/1996
6.45	2	5/1/1998	6/1/1998
6.10	2	12/1/2006	1/1/2007
6.00	2	10/1/2005	11/1/2005
5.80	1	6/1/1999	6/1/1999
5.78	1	2/1/1993	2/1/1993
5.77	1	4/1/1993	4/1/1993
5.57	1	8/1/1983	8/1/1983
5.39	1	1/1/2006	1/1/2006
5.33	2	6/1/1996	7/1/1996
5.11	1	7/1/1993	7/1/1993
4.80	1	10/1/1977	10/1/1977
4.14	1	9/1/1984	9/1/1984
4.04	2	2/1/1991	3/1/1991
3.18	1	1/1/1989	1/1/1989
3.16	2	8/1/1999	9/1/1999
2.82	1	10/1/2003	10/1/2003
2.71	1	12/1/1998	12/1/1998
2.66	1	11/1/1992	11/1/1992
2.64	2	9/1/2004	10/1/2004
2.46	3	3/1/2006	5/1/2006
2.39	1	5/1/2005	5/1/2005
2.25	1	10/1/1983	10/1/1983
1.63	1	6/1/1991	6/1/1991
1.43	1	8/1/1995	8/1/1995
1.30	1	2/1/1988	2/1/1988
1.20	1	9/1/1997	9/1/1997
1.14	1	3/1/1998	3/1/1998
1.13	1	5/1/1983	5/1/1983
1.12	1	7/1/1987	7/1/1987
1.09	1	9/1/1993	9/1/1993
1.07	1	12/1/2004	12/1/2004
0.99	1	6/1/1995	6/1/1995
0.92	1	2/1/2005	2/1/2005
0.91	1	9/1/1991	9/1/1991
0.66	1	7/1/2005	7/1/2005
0.25	1	3/1/2002	3/1/2002

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-28.57	4	9/1/1986	12/1/1986
-28.13	5	6/1/1989	10/1/1989
-26.30	4	11/1/2001	2/1/2002
-20.81	3	11/1/1978	1/1/1979
-19.18	5	4/1/2004	8/1/2004
-18.04	3	4/1/1986	6/1/1986
-17.86	1	4/1/1978	4/1/1978
-17.49	3	1/1/2000	3/1/2000
-16.98	2	8/1/1985	9/1/1985
-14.94	4	6/1/2003	9/1/2003
-13.60	2	8/1/1977	9/1/1977
-13.59	2	10/1/2002	11/1/2002
-13.21	4	5/1/2007	8/1/2007
-12.99	1	3/1/2003	3/1/2003
-12.78	4	3/1/1985	6/1/1985
-12.70	2	6/1/2006	7/1/2006
-12.70	1	4/1/2002	4/1/2002
-12.25	1	10/1/1999	10/1/1999
-11.06	4	1/1/1992	4/1/1992
-11.05	1	2/1/1996	2/1/1996
-11.00	1	7/1/1982	7/1/1982
-10.27	2	1/1/2001	2/1/2001
-10.00	1	12/1/1981	12/1/1981
-9.99	2	11/1/1983	12/1/1983
-9.87	2	7/1/1991	8/1/1991
-9.69	2	7/1/1988	8/1/1988
-9.38	2	8/1/1987	9/1/1987
-9.30	2	10/1/1984	11/1/1984
-9.05	1	8/1/1984	8/1/1984
-8.92	2	1/1/1994	2/1/1994
-8.62	1	1/1/2005	1/1/2005
-8.62	1	3/1/1981	3/1/1981
-8.52	1	8/1/1997	8/1/1997
-8.36	3	8/1/1981	10/1/1981
-8.23	1	1/1/1988	1/1/1988
-8.10	2	7/1/1994	8/1/1994
-8.06	1	8/1/1993	8/1/1993
-7.98	2	6/1/1983	7/1/1983
-7.55	1	4/1/2001	4/1/2001
-7.51	1	5/1/1977	5/1/1977
-7.44	2	3/1/2005	4/1/2005
-7.38	1	4/1/1998	4/1/1998
-7.31	1	7/1/2000	7/1/2000
-7.09	2	5/1/1987	6/1/1987
-6.72	1	5/1/1996	5/1/1996
-6.51	2	10/1/1982	11/1/1982
-6.50	1	7/1/2001	7/1/2001
-6.11	1	6/1/1984	6/1/1984
-5.90	2	3/1/1988	4/1/1988
-5.75	2	3/1/1997	4/1/1997
-5.66	1	5/1/1990	5/1/1990
-5.32	1	1/1/1991	1/1/1991
-4.96	1	7/1/1998	7/1/1998
-4.67	1	2/1/1989	2/1/1989
-4.65	2	10/1/2006	11/1/2006
-4.28	2	5/1/1993	6/1/1993
-4.27	1	12/1/1988	12/1/1988
-4.13	2	9/1/1992	10/1/1992
-4.09	2	8/1/1980	9/1/1980
-4.01	1	1/1/1999	1/1/1999
-3.83	2	8/1/2005	9/1/2005
-3.82	1	7/1/1999	7/1/1999
-3.79	3	2/1/1983	4/1/1983
-3.62	1	11/1/1977	11/1/1977
-3.49	1	6/1/2005	6/1/2005
-3.40	2	12/1/1992	1/1/1993
-3.34	1	5/1/1999	5/1/1999
-3.30	1	2/1/2006	2/1/2006
-3.28	1	12/1/2005	12/1/2005
-3.09	1	1/1/1995	1/1/1995
-2.97	1	4/1/1980	4/1/1980
-2.71	1	2/1/1998	2/1/1998
-2.70	1	2/1/2007	2/1/2007
-2.58	2	10/1/1998	11/1/1998
-2.57	1	6/1/1978	6/1/1978
-2.52	2	10/1/1997	11/1/1997
-2.48	1	7/1/1995	7/1/1995
-2.47	1	9/1/2000	9/1/2000
-2.37	1	11/1/2003	11/1/2003
-2.27	1	4/1/1994	4/1/1994
-2.19	2	4/1/1982	5/1/1982
-2.05	1	3/1/2008	3/1/2008
-2.05	1	9/1/1983	9/1/1983
-1.88	1	8/1/1996	8/1/1996
-1.84	1	9/1/1995	9/1/1995
-1.76	1	7/1/1979	7/1/1979
-1.51	1	4/1/1989	4/1/1989
-1.22	2	4/1/1991	5/1/1991
-1.21	1	7/1/2008	7/1/2008
-1.10	1	5/1/1995	5/1/1995
-1.07	1	2/1/1977	2/1/1977
-0.74	1	10/1/1979	10/1/1979
-0.70	1	10/1/1993	10/1/1993
-0.70	1	3/1/1993	3/1/1993
-0.55	1	11/1/2004	11/1/2004
-0.30	1	10/1/1991	10/1/1991

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	382.00	380.00	377.00	371.00	365.00	359.00	347.00	335.00	323.00
Percent Profitable	58.12	62.89	69.23	73.85	82.47	86.63	89.05	91.64	93.50
Average Period Return	1.41	4.24	8.39	17.27	26.48	37.13	61.86	87.14	112.13
Average Gain	5.70	10.53	15.51	26.03	34.33	45.08	71.72	96.91	120.85
Average Loss	-4.55	-6.42	-7.61	-7.47	-10.46	-14.40	-18.32	-19.96	-13.20
Best Period	21.73	52.95	62.74	108.24	157.75	231.08	332.45	425.52	526.55
Worst Period	-18.35	-27.53	-35.50	-27.33	-31.92	-28.41	-31.34	-34.28	-32.02
Standard Deviation	6.57	11.46	15.75	23.89	31.86	43.55	68.77	91.79	103.77
Gain Standard Deviation	4.58	9.23	13.21	21.55	29.41	41.28	66.41	89.70	101.69
Loss Standard Deviation	3.57	5.37	6.57	6.49	8.13	8.88	9.64	8.00	9.99
Sharpe Ratio (1%)	0.20	0.35	0.50	0.68	0.78	0.81	0.86	0.91	1.03
Average Gain / Average Loss	1.25	1.64	2.04	3.48	3.28	3.13	3.92	4.85	9.16
Profit / Loss Ratio	1.74	2.78	4.59	9.84	15.44	20.28	31.84	53.23	131.70
Downside Deviation (10%)	3.95	5.69	6.67	7.23	8.38	9.72	11.87	12.65	11.19
Downside Deviation (5%)	3.78	5.21	5.78	5.45	6.04	6.81	7.73	7.31	5.29
Downside Deviation (0%)	3.74	5.09	5.56	5.05	5.53	6.17	6.83	6.20	4.18
Sortino Ratio (10%)	0.25	0.53	0.89	1.70	2.25	2.77	3.88	5.19	7.55
Sortino Ratio (5%)	0.35	0.77	1.37	2.99	4.13	5.16	7.61	11.37	20.22
Sortino Ratio (0%)	0.38	0.83	1.51	3.42	4.79	6.02	9.06	14.05	26.81

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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.

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Ebisu Portfolio Management : Diversified Program

Growth of 1,000 - VAMI

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Strategy Description

Summary

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Decision-Making

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Time Windows Analysis

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Ebisu Portfolio Management : Diversified Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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