ecamos Capital AG : ecamos Core Strategy 1X

Year-to-Date
5.69%
Sep Performance
-1.49%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.40%
Sharpe (RFR=1%)
0.32
CAROR
3.85%
Assets
$ 51.2M
Worst DD
-20.29
S&P Correlation
0.27

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
8/2011
ecamos Core Strategy 1X -1.49 -5.72 5.69 -0.61 -4.22 -1.94 - 36.17
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 141.70
+/- S&P 500 -3.21 -6.91 -13.04 -2.75 -40.11 -51.34 - -105.53

Strategy Description

Summary

This program represents the 1X version of the ecamos Core Strategy which is accessible via a UCTIS IV (Ireland) compliant fund or Managed Account. ... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
100.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
70.00%
Other
30.00%
Strategy Pie Chart

Composition

Summary

This program represents the 1X version of the ecamos Core Strategy which is accessible via a UCTIS IV (Ireland) compliant fund or Managed Account.

Investment Strategy

The ecamos Core Strategy aims to achieve substantial medium to long term capital appreciation by employing a diversified portfolio of quantitative investment strategies based on economic rationales. Its main driver consists of a unique model combining trend following and mean reversion into a single concept, which is implemented globally across more than 75 highly liquid futures markets spanning all asset classes (equities, interest rates, bonds, currencies and commodities). The addition of several satellite strategies further increases portfolio stability and results in a generally uncorrelated risk-return profile. Peformance: From Aug 1st, 2011 until Dec 12th, 2014 returns correspond to real traded figures of the ecamos Core Fund USD class, adjusted to 1% management fee. Returns are subject to 20% performance fees. Since Dec 17th, 2014 returns reflect the results of the investible UCITS IV vehicle. Performance data is shown net of fees with income reinvested.

   

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
-20.29 43 - 3/1/2015 10/1/2018
-12.13 2 5 4/1/2013 6/1/2013
-3.21 1 5 9/1/2012 10/1/2012
-3.12 1 4 6/1/2014 7/1/2014
-2.99 2 3 8/1/2011 10/1/2011
-1.94 3 2 2/1/2012 5/1/2012
-1.76 1 2 11/1/2013 12/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
21.58 6 1/1/2014 6/1/2014
15.55 5 11/1/2014 3/1/2015
10.77 3 1/1/2019 3/1/2019
9.35 4 11/1/2011 2/1/2012
7.54 2 10/1/2017 11/1/2017
7.22 3 9/1/2013 11/1/2013
7.17 4 6/1/2012 9/1/2012
6.97 1 7/1/2013 7/1/2013
6.63 2 5/1/2016 6/1/2016
5.32 2 3/1/2013 4/1/2013
4.38 2 4/1/2017 5/1/2017
4.32 3 9/1/2015 11/1/2015
4.16 3 3/1/2018 5/1/2018
3.33 1 12/1/2016 12/1/2016
2.79 2 8/1/2014 9/1/2014
2.49 1 11/1/2012 11/1/2012
2.48 1 9/1/2016 9/1/2016
2.22 1 11/1/2018 11/1/2018
2.18 1 5/1/2015 5/1/2015
1.98 1 2/1/2016 2/1/2016
1.63 2 5/1/2019 6/1/2019
1.61 1 2/1/2017 2/1/2017
1.25 1 1/1/2018 1/1/2018
0.93 1 8/1/2011 8/1/2011
0.92 1 1/1/2013 1/1/2013
0.54 2 7/1/2017 8/1/2017
0.43 1 7/1/2015 7/1/2015
0.35 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.13 2 5/1/2013 6/1/2013
-9.02 3 8/1/2018 10/1/2018
-7.00 2 3/1/2016 4/1/2016
-6.58 2 10/1/2016 11/1/2016
-5.88 1 6/1/2017 6/1/2017
-5.72 3 7/1/2019 9/1/2019
-5.50 2 7/1/2016 8/1/2016
-4.72 1 6/1/2015 6/1/2015
-4.31 1 4/1/2015 4/1/2015
-4.21 1 8/1/2015 8/1/2015
-3.94 1 2/1/2018 2/1/2018
-3.21 1 10/1/2012 10/1/2012
-3.12 1 7/1/2014 7/1/2014
-2.99 2 9/1/2011 10/1/2011
-2.86 2 12/1/2015 1/1/2016
-2.29 1 3/1/2017 3/1/2017
-1.94 3 3/1/2012 5/1/2012
-1.76 1 12/1/2013 12/1/2013
-1.57 1 9/1/2017 9/1/2017
-1.55 1 6/1/2018 6/1/2018
-1.25 1 12/1/2012 12/1/2012
-1.13 1 12/1/2017 12/1/2017
-1.08 1 12/1/2018 12/1/2018
-0.85 1 2/1/2013 2/1/2013
-0.67 1 1/1/2017 1/1/2017
-0.41 1 4/1/2019 4/1/2019
-0.39 1 10/1/2014 10/1/2014
-0.27 1 8/1/2013 8/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods98.0096.0093.0087.0081.0075.0063.0051.0039.00
Percent Profitable59.1853.1355.9164.3767.9066.6761.9074.5197.44
Average Period Return0.361.132.484.657.069.8815.0017.2622.95
Average Gain2.294.977.2010.2013.4218.1528.2225.8423.60
Average Loss-2.50-3.22-3.51-5.39-6.39-6.66-6.47-7.83-1.94
Best Period6.9712.5421.5836.6245.3045.8950.4652.1242.56
Worst Period-7.00-9.51-9.18-11.37-15.02-15.33-14.81-13.13-1.94
Standard Deviation3.005.016.7010.9314.1816.3020.7918.8611.54
Gain Standard Deviation1.903.194.879.6312.7513.5914.9713.3710.94
Loss Standard Deviation1.892.472.673.253.903.814.203.86
Sharpe Ratio (1%)0.090.180.300.330.390.480.580.701.55
Average Gain / Average Loss0.921.552.051.892.102.734.363.3012.15
Profit / Loss Ratio1.361.752.603.424.445.457.089.64461.71
Downside Deviation (10%)2.183.484.386.648.6510.5614.4816.1011.30
Downside Deviation (5%)2.012.903.194.274.975.466.416.321.35
Downside Deviation (0%)1.962.772.923.744.224.414.734.380.31
Sortino Ratio (10%)-0.02-0.030.00-0.05-0.06-0.04-0.05-0.27-0.41
Sortino Ratio (5%)0.140.300.620.851.121.441.872.0913.19
Sortino Ratio (0%)0.180.410.851.241.672.243.173.9473.77

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.