Eclipse Capital Management : Global Allocation Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance 4.53% Min Investment $ 5,000k Mgmt. Fee 0.60% Perf. Fee 0% Annualized Vol 10.75% Sharpe (RFR=1%) 0.42 CAROR 5.07% Assets $ 3.1M Worst DD -18.23 S&P Correlation 0.14 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since1/2006 Global Allocation Program 4.53 - - 21.21 11.18 33.35 47.81 135.16 S&P 500 7.01 - - 19.61 40.39 75.68 230.13 187.16 +/- S&P 500 -2.48 - - 1.60 -29.21 -42.33 -182.31 -52.00 Strategy Description SummaryThe Global Allocation Program (GAP) is a tactical, momentum based, asset allocation strategy.... Read More Account & Fees Type Managed Account Minimum Investment $ 5,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 0.60% Performance Fee 0% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 450 RT/YR/$M Avg. Margin-to-Equity 6% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 10.00% 4-12 Months 30.00% 1-3 Months 40.00% 1-30 Days 20.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Momentum 100.00% Composition Currency FX 25.00% Interest Rates 25.00% Stock Indices 25.00% Other 25.00% SummaryThe Global Allocation Program (GAP) is a tactical, momentum based, asset allocation strategy.Investment StrategyThe Global Allocation Program (GAP) is a tactical, momentum based, asset allocation strategy. GAP utilizes a quantitative approach that integrates two types of momentum-driven models to dynamically allocate risk across four major asset classes - stock indices, fixed income, currencies and commodities. Long positions in global markets are established using regulated futures contracts. These contracts are traded, cleared, and priced on established global futures exchanges, thereby minimizing concerns with respect to liquidity, counterparty, and valuation risk. The portfolio is monitored daily, and positions are actively adjusted as needed. A top-down, cross-sectional momentum model measures the risk-adjusted returns of over 30 different markets and holds positions in those markets exhibiting the greatest relative strength, subject to constraints limiting the total risk that may be allocated to each asset class. A bottom-up, time-series momentum model is also used to measure each market’s return over various time periods, ensuring that positions are only established and maintained in markets that exhibit sufficient upside momentum. The total amount of portfolio risk allocated varies over time, dependent upon the number of markets exhibiting positive momentum and their distribution across asset classes. Eligible Investment: Traded with proprietary capital since January 2006, GAP is available as a managed account to 4.7-eligible (QEP) investors. 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 -18.23 9 10 1/1/2018 10/1/2018 -14.70 9 23 3/1/2015 12/1/2015 -12.47 5 6 8/1/2019 1/1/2020 -11.93 7 7 3/1/2008 10/1/2008 -6.82 9 2 11/1/2006 8/1/2007 -6.40 5 12 3/1/2013 8/1/2013 -6.21 1 3 4/1/2011 5/1/2011 -5.17 8 9 8/1/2011 4/1/2012 -3.90 3 1 8/1/2010 11/1/2010 -3.35 3 4 4/1/2006 7/1/2006 -2.56 1 2 5/1/2009 6/1/2009 -2.56 2 1 8/1/2014 10/1/2014 -2.45 2 3 11/1/2009 1/1/2010 -2.34 1 1 1/1/2006 2/1/2006 -2.01 1 2 10/1/2007 11/1/2007 -1.72 1 1 1/1/2013 2/1/2013 -1.46 1 1 4/1/2010 5/1/2010 -1.26 1 1 9/1/2009 10/1/2009 -0.98 1 1 2/1/2011 3/1/2011 -0.10 1 1 6/1/2010 7/1/2010 Show More Consecutive Gains Run-up Length (Mos.) Start End 21.21 7 2/1/2020 8/1/2020 15.16 2 3/1/2006 4/1/2006 13.79 4 5/1/2019 8/1/2019 12.49 2 9/1/2007 10/1/2007 11.71 4 10/1/2017 1/1/2018 11.68 2 1/1/2016 2/1/2016 11.28 3 6/1/2011 8/1/2011 10.70 4 12/1/2007 3/1/2008 10.05 3 3/1/2009 5/1/2009 9.57 5 11/1/2014 3/1/2015 8.66 3 12/1/2010 2/1/2011 7.58 3 11/1/2018 1/1/2019 7.21 3 12/1/2016 2/1/2017 7.13 3 7/1/2009 9/1/2009 7.00 1 3/1/2019 3/1/2019 6.78 4 5/1/2014 8/1/2014 6.10 2 6/1/2016 7/1/2016 5.93 1 4/1/2011 4/1/2011 5.73 1 1/1/2006 1/1/2006 5.65 2 7/1/2017 8/1/2017 5.61 2 11/1/2008 12/1/2008 5.44 1 5/1/2012 5/1/2012 5.40 2 12/1/2012 1/1/2013 4.95 3 9/1/2013 11/1/2013 4.54 1 8/1/2018 8/1/2018 4.52 4 4/1/2007 7/1/2007 4.09 1 8/1/2010 8/1/2010 3.62 1 11/1/2006 11/1/2006 3.59 1 5/1/2017 5/1/2017 3.23 1 11/1/2009 11/1/2009 3.14 1 6/1/2010 6/1/2010 2.96 3 2/1/2010 4/1/2010 2.80 2 5/1/2008 6/1/2008 2.42 1 9/1/2015 9/1/2015 2.34 1 7/1/2013 7/1/2013 2.22 2 4/1/2018 5/1/2018 1.99 1 2/1/2014 2/1/2014 1.79 1 3/1/2013 3/1/2013 1.74 3 12/1/2011 2/1/2012 1.42 1 7/1/2012 7/1/2012 1.13 2 8/1/2006 9/1/2006 1.03 1 4/1/2016 4/1/2016 1.01 1 9/1/2016 9/1/2016 0.81 1 10/1/2010 10/1/2010 0.36 1 12/1/2019 12/1/2019 0.33 1 8/1/2008 8/1/2008 0.27 1 1/1/2007 1/1/2007 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.62 5 4/1/2015 8/1/2015 -11.69 2 2/1/2018 3/1/2018 -11.02 2 9/1/2018 10/1/2018 -10.17 3 9/1/2019 11/1/2019 -8.11 2 10/1/2016 11/1/2016 -6.62 2 9/1/2008 10/1/2008 -6.21 1 5/1/2011 5/1/2011 -6.17 3 4/1/2013 6/1/2013 -5.39 1 8/1/2007 8/1/2007 -5.03 1 4/1/2008 4/1/2008 -4.82 2 2/1/2007 3/1/2007 -4.76 3 9/1/2011 11/1/2011 -4.69 3 10/1/2015 12/1/2015 -3.89 1 6/1/2017 6/1/2017 -3.71 1 7/1/2008 7/1/2008 -3.54 1 5/1/2016 5/1/2016 -3.35 3 5/1/2006 7/1/2006 -3.03 1 9/1/2017 9/1/2017 -2.94 4 8/1/2012 11/1/2012 -2.91 1 1/1/2020 1/1/2020 -2.69 2 3/1/2017 4/1/2017 -2.62 2 6/1/2018 7/1/2018 -2.56 1 6/1/2009 6/1/2009 -2.56 2 9/1/2014 10/1/2014 -2.52 1 8/1/2013 8/1/2013 -2.45 2 12/1/2009 1/1/2010 -2.39 1 11/1/2010 11/1/2010 -2.34 1 9/1/2010 9/1/2010 -2.34 1 2/1/2006 2/1/2006 -2.30 1 6/1/2012 6/1/2012 -2.13 2 3/1/2012 4/1/2012 -2.11 2 3/1/2014 4/1/2014 -2.02 2 12/1/2013 1/1/2014 -2.01 1 11/1/2007 11/1/2007 -1.77 2 1/1/2009 2/1/2009 -1.72 1 2/1/2013 2/1/2013 -1.46 1 5/1/2010 5/1/2010 -1.39 1 4/1/2019 4/1/2019 -1.27 1 12/1/2006 12/1/2006 -1.26 1 10/1/2009 10/1/2009 -0.98 1 3/1/2011 3/1/2011 -0.78 1 2/1/2019 2/1/2019 -0.69 1 3/1/2016 3/1/2016 -0.53 1 10/1/2006 10/1/2006 -0.23 1 8/1/2016 8/1/2016 -0.10 1 7/1/2010 7/1/2010 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods176.00174.00171.00165.00159.00153.00141.00129.00117.00 Percent Profitable56.8262.6466.6772.1284.9187.5894.3394.5799.15 Average Period Return0.531.472.654.847.319.5214.3919.7424.71 Average Gain2.624.346.088.149.0511.3215.3821.0524.92 Average Loss-2.21-3.35-4.21-3.70-2.46-3.14-2.04-3.05-0.30 Best Period7.6514.7420.0620.6727.3833.1743.7258.4157.80 Worst Period-9.45-10.59-12.32-12.03-6.83-8.27-4.90-5.68-0.30 Standard Deviation3.104.846.266.987.258.7510.5513.6815.67 Gain Standard Deviation2.023.304.304.956.407.8010.0312.8915.56 Loss Standard Deviation1.902.673.133.122.171.881.351.44 Sharpe Ratio (1%)0.150.250.340.550.800.861.081.151.25 Average Gain / Average Loss1.191.301.442.203.683.617.536.9183.80 Profit / Loss Ratio1.562.172.895.6920.6825.45125.21120.479720.50 Downside Deviation (10%)2.123.244.285.054.926.217.6210.2412.36 Downside Deviation (5%)1.952.733.262.971.771.951.281.780.73 Downside Deviation (0%)1.912.613.022.541.261.280.570.770.03 Sortino Ratio (10%)0.060.070.04-0.03-0.06-0.12-0.18-0.18-0.24 Sortino Ratio (5%)0.230.450.661.293.293.858.848.8226.79 Sortino Ratio (0%)0.280.560.881.905.797.4425.1825.49898.57 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