Ebisu Portfolio Management : Diversified Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since2/1977 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-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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel