Eclipse Capital Management : Global Allocation Program

Year-to-Date
13.81%
Sep Performance
-6.42%
Min Investment
$ 5,000k
Mgmt. Fee
0.60%
Perf. Fee
0%
Annualized Vol
10.79%
Sharpe (RFR=1%)
0.45
CAROR
5.45%
Assets
$ 1.9M
Worst DD
-18.23
S&P Correlation
0.16

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
1/2006
Global Allocation Program -6.42 -0.86 13.81 9.81 7.12 14.67 45.08 107.42
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 178.69 130.14
+/- S&P 500 -8.14 -2.05 -4.93 7.66 -28.77 -34.72 -133.61 -22.72

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Currency FX
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Other
25.00%
Composition Pie Chart

Summary

The Global Allocation Program (GAP) is a tactical, momentum based, asset allocation strategy.

Investment Strategy

The 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.

   

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
-18.23 9 10 1/1/2018 10/1/2018
-14.70 9 23 3/1/2015 12/1/2015
-11.93 7 7 3/1/2008 10/1/2008
-6.82 9 2 11/1/2006 8/1/2007
-6.42 1 - 8/1/2019 9/1/2019
-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
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Consecutive Gains

Run-up Length (Mos.) Start End
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
0.33 1 8/1/2008 8/1/2008
0.27 1 1/1/2007 1/1/2007
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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
-8.11 2 10/1/2016 11/1/2016
-6.62 2 9/1/2008 10/1/2008
-6.42 1 9/1/2019 9/1/2019
-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
-2.69 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods165.00163.00160.00154.00148.00142.00130.00118.00106.00
Percent Profitable55.7662.5866.8870.1383.7888.0393.8594.0799.06
Average Period Return0.491.462.614.626.889.6114.5620.1925.90
Average Gain2.634.255.948.168.6911.3215.6521.6526.15
Average Loss-2.20-3.21-4.12-3.70-2.46-3.00-2.04-3.05-0.30
Best Period7.6514.7420.0620.6724.3033.1743.7258.4157.80
Worst Period-9.45-10.59-12.32-12.03-6.83-5.09-4.90-5.68-0.30
Standard Deviation3.114.746.117.116.978.7410.9114.1715.66
Gain Standard Deviation2.033.314.175.096.077.8610.3613.3115.52
Loss Standard Deviation1.922.593.123.122.171.341.351.44
Sharpe Ratio (1%)0.130.260.350.510.770.871.061.141.33
Average Gain / Average Loss1.191.321.442.203.533.777.667.1187.93
Profit / Loss Ratio1.502.212.925.1818.2527.71116.88112.749232.33
Downside Deviation (10%)2.153.154.225.235.086.097.7910.4411.71
Downside Deviation (5%)1.982.643.203.071.831.821.341.860.61
Downside Deviation (0%)1.942.522.962.631.311.130.600.810.03
Sortino Ratio (10%)0.040.070.03-0.07-0.14-0.11-0.15-0.13-0.15
Sortino Ratio (5%)0.210.460.661.182.944.188.628.6733.95
Sortino Ratio (0%)0.250.580.881.755.268.4824.4624.93896.63

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.