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

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Growth of 1,000 - VAMI

Monthly Performance

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%

Composition

Currency FX: 25.00%
Interest Rates: 25.00%
Stock Indices: 25.00%
Other: 25.00%

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.

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Index: Chart Type:

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:

Monthly Annual

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	165.00	163.00	160.00	154.00	148.00	142.00	130.00	118.00	106.00
Percent Profitable	55.76	62.58	66.88	70.13	83.78	88.03	93.85	94.07	99.06
Average Period Return	0.49	1.46	2.61	4.62	6.88	9.61	14.56	20.19	25.90
Average Gain	2.63	4.25	5.94	8.16	8.69	11.32	15.65	21.65	26.15
Average Loss	-2.20	-3.21	-4.12	-3.70	-2.46	-3.00	-2.04	-3.05	-0.30
Best Period	7.65	14.74	20.06	20.67	24.30	33.17	43.72	58.41	57.80
Worst Period	-9.45	-10.59	-12.32	-12.03	-6.83	-5.09	-4.90	-5.68	-0.30
Standard Deviation	3.11	4.74	6.11	7.11	6.97	8.74	10.91	14.17	15.66
Gain Standard Deviation	2.03	3.31	4.17	5.09	6.07	7.86	10.36	13.31	15.52
Loss Standard Deviation	1.92	2.59	3.12	3.12	2.17	1.34	1.35	1.44
Sharpe Ratio (1%)	0.13	0.26	0.35	0.51	0.77	0.87	1.06	1.14	1.33
Average Gain / Average Loss	1.19	1.32	1.44	2.20	3.53	3.77	7.66	7.11	87.93
Profit / Loss Ratio	1.50	2.21	2.92	5.18	18.25	27.71	116.88	112.74	9232.33
Downside Deviation (10%)	2.15	3.15	4.22	5.23	5.08	6.09	7.79	10.44	11.71
Downside Deviation (5%)	1.98	2.64	3.20	3.07	1.83	1.82	1.34	1.86	0.61
Downside Deviation (0%)	1.94	2.52	2.96	2.63	1.31	1.13	0.60	0.81	0.03
Sortino Ratio (10%)	0.04	0.07	0.03	-0.07	-0.14	-0.11	-0.15	-0.13	-0.15
Sortino Ratio (5%)	0.21	0.46	0.66	1.18	2.94	4.18	8.62	8.67	33.95
Sortino Ratio (0%)	0.25	0.58	0.88	1.75	5.26	8.48	24.46	24.93	896.63

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.

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More Programs by Eclipse Capital Management

Program Name	CAROR
Strategic Allocation Program	7.85%
Alpha Asia	6.73%
Global Monetary	6.72%
Global Allocation Program	5.45%
Global Long/Short Momentum Program	5.05%

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Eclipse Capital Management : Global Allocation Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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