Eclipse Capital Management : Alpha Asia

Year-to-Date
5.89%
Oct Performance
-1.48%
Min Investment
¥ 25,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
11.38%
Sharpe (RFR=1%)
0.50
CAROR
6.28%
Assets
¥ 32.8M
Worst DD
-14.42
S&P Correlation
-0.08

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2015
Alpha Asia -1.48 -2.46 -5.89 2.30 10.11 - - 34.23
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 50.71
+/- S&P 500 -3.52 -4.37 -27.05 -9.71 -31.30 - - -16.48

Strategy Description

Summary

The Alpha Asia (“AA”) Program’s objective is to generate attractive returns that are largely uncorrelated to those of traditional and alternative Chinese asset classes through a systematic, quantitative approach that is designed to offer investors exposure to trend-following and produce... Read More

Account & Fees

Type
Managed Account
Minimum Investment
¥ 25,000k
Trading Level Incremental Increase
¥ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
3200 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
35.00%
1-30 Days
60.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Other
32.00%
Grains
26.00%
Industrial Metals
13.00%
Energy
13.00%
Softs
10.00%
Precious Metals
6.00%
Composition Pie Chart

Summary

The Alpha Asia (“AA”) Program’s objective is to generate attractive returns that are largely uncorrelated to those of traditional and alternative Chinese asset classes through a systematic, quantitative approach that is designed to offer investors exposure to trend-following and produce attractive long-term absolute returns in a variety of different economic and market conditions.

Investment Strategy

The AA Program is a systematic, model-based investment program that establishes long and short positions in a diversified portfolio of Chinese commodity futures contracts listed on three local Chinese futures exchanges. The portfolio contains only liquid futures contracts traded, cleared and priced on established exchanges, which minimizes concerns with respect to liquidity, counterparty and valuation risk. Momentum-based quantitative models analyze market prices over multiple time frames to identify emerging and persistent price trends. Portfolio positions are determined using each market’s risk allocation and are actively adjusted to reflect changes in market risk. Returns from this strategy are uncorrelated with those of most traditional and alternative investments, thereby providing significant diversification to many investment portfolios. The active management of risk, a key component of the strategy, serves to control downside risk and enhance the overall risk-adjusted returns of the program.

   

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
-14.42 8 8 8/1/2017 4/1/2018
-8.64 5 1 4/1/2016 9/1/2016
-6.48 3 2 3/1/2017 6/1/2017
-5.89 10 - 12/1/2018 10/1/2019
-2.28 2 1 11/1/2015 1/1/2016
-1.42 2 2 11/1/2016 1/1/2017
-1.02 4 1 1/1/2015 5/1/2015
-0.61 1 2 7/1/2015 8/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
19.90 2 10/1/2016 11/1/2016
14.05 2 7/1/2017 8/1/2017
11.55 3 10/1/2018 12/1/2018
10.59 3 2/1/2016 4/1/2016
6.90 2 7/1/2018 8/1/2018
6.17 3 9/1/2015 11/1/2015
5.84 2 6/1/2015 7/1/2015
3.86 1 5/1/2019 5/1/2019
3.62 1 8/1/2019 8/1/2019
3.27 1 5/1/2018 5/1/2018
2.06 2 2/1/2017 3/1/2017
1.86 1 6/1/2016 6/1/2016
0.71 1 1/1/2015 1/1/2015
0.43 1 2/1/2019 2/1/2019
0.09 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.42 8 9/1/2017 4/1/2018
-8.47 3 7/1/2016 9/1/2016
-6.48 3 4/1/2017 6/1/2017
-5.86 2 9/1/2019 10/1/2019
-5.12 2 3/1/2019 4/1/2019
-2.28 2 12/1/2015 1/1/2016
-2.21 1 6/1/2018 6/1/2018
-2.15 1 9/1/2018 9/1/2018
-2.01 1 5/1/2016 5/1/2016
-1.62 2 6/1/2019 7/1/2019
-1.42 2 12/1/2016 1/1/2017
-0.91 1 1/1/2019 1/1/2019
-0.90 2 2/1/2015 3/1/2015
-0.61 1 8/1/2015 8/1/2015
-0.21 1 5/1/2015 5/1/2015
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable44.8360.7173.5882.9882.9394.29100.00
Average Period Return0.561.873.988.3011.2915.1923.02
Average Gain3.415.407.2311.0614.3316.2723.02
Average Loss-1.75-3.58-5.08-5.16-3.46-2.54
Best Period10.9119.4020.6426.3632.2134.8834.03
Worst Period-4.87-8.67-12.69-7.94-6.86-3.1810.11
Standard Deviation3.285.767.138.5510.2911.846.18
Gain Standard Deviation2.694.384.886.448.4811.326.18
Loss Standard Deviation1.292.333.692.442.020.90
Sharpe Ratio (1%)0.150.280.490.850.951.113.23
Average Gain / Average Loss1.941.511.422.154.146.41
Profit / Loss Ratio1.582.333.9710.4620.12105.79
Downside Deviation (10%)1.863.334.354.425.174.761.42
Downside Deviation (5%)1.662.793.402.712.221.14
Downside Deviation (0%)1.612.663.192.331.620.63
Sortino Ratio (10%)0.080.190.350.750.721.045.10
Sortino Ratio (5%)0.290.581.022.694.4211.55
Sortino Ratio (0%)0.350.701.253.576.9524.29

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 3.86 5/2019
Diversified Trader Index Month 9 3.86 5/2019
Trend Following Strategy Index Month 3 6.57 11/2018
Diversified Trader Index Month 5 6.57 11/2018
IASG CTA Index Month 6 6.57 11/2018
Systematic Trader Index Month 5 6.57 11/2018
Trend Following Strategy Index Month 3 2.62 10/2018
Diversified Trader Index Month 10 2.62 10/2018
Systematic Trader Index Month 8 3.14 7/2018
Trend Following Strategy Index Month 3 3.14 7/2018
Diversified Trader Index Month 3 3.14 7/2018
Trend Following Strategy Index Month 5 3.27 5/2018
Systematic Trader Index Month 8 3.27 5/2018
Diversified Trader Index Month 7 3.27 5/2018
IASG CTA Index Month 9 6.85 8/2017
Diversified Trader Index Month 3 6.85 8/2017
Trend Following Strategy Index Month 3 6.85 8/2017
Systematic Trader Index Month 5 6.85 8/2017
Diversified Trader Index Month 6 6.74 7/2017
Systematic Trader Index Month 5 6.74 7/2017
IASG CTA Index Month 6 6.74 7/2017
Trend Following Strategy Index Month 5 6.74 7/2017
Trend Following Strategy Index Month 6 1.75 3/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.