Ebisu Portfolio Management : Diversified Program

archived programs
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

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
2/1977
Diversified Program 0.86 - - - - - - 9,253.44
S&P 500 -7.48 - - - - - - 3,370.56
+/- S&P 500 8.34 - - - - - - 5,882.88

Strategy Description

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... Read More

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.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods382.00380.00377.00371.00365.00359.00347.00335.00323.00
Percent Profitable58.1262.8969.2373.8582.4786.6389.0591.6493.50
Average Period Return1.414.248.3917.2726.4837.1361.8687.14112.13
Average Gain5.7010.5315.5126.0334.3345.0871.7296.91120.85
Average Loss-4.55-6.42-7.61-7.47-10.46-14.40-18.32-19.96-13.20
Best Period21.7352.9562.74108.24157.75231.08332.45425.52526.55
Worst Period-18.35-27.53-35.50-27.33-31.92-28.41-31.34-34.28-32.02
Standard Deviation6.5711.4615.7523.8931.8643.5568.7791.79103.77
Gain Standard Deviation4.589.2313.2121.5529.4141.2866.4189.70101.69
Loss Standard Deviation3.575.376.576.498.138.889.648.009.99
Sharpe Ratio (1%)0.200.350.500.680.780.810.860.911.03
Average Gain / Average Loss1.251.642.043.483.283.133.924.859.16
Profit / Loss Ratio1.742.784.599.8415.4420.2831.8453.23131.70
Downside Deviation (10%)3.955.696.677.238.389.7211.8712.6511.19
Downside Deviation (5%)3.785.215.785.456.046.817.737.315.29
Downside Deviation (0%)3.745.095.565.055.536.176.836.204.18
Sortino Ratio (10%)0.250.530.891.702.252.773.885.197.55
Sortino Ratio (5%)0.350.771.372.994.135.167.6111.3720.22
Sortino Ratio (0%)0.380.831.513.424.796.029.0614.0526.81

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.