Eclipse Capital Management : Global Alpha

Year-to-Date
1.32%
Oct Performance
-4.77%
Min Investment
$ 20,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
14.74%
Sharpe (RFR=1%)
-0.33
CAROR
-
Assets
$ 121.9M
Worst DD
-10.18
S&P Correlation
-0.13

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
9/2019
Global Alpha -4.77 -8.86 1.32 5.04 - - - -5.59
S&P 500 -2.77 -0.04 1.21 7.65 - - - 21.66
+/- S&P 500 -2.00 -8.83 0.11 -2.61 - - - -27.26

Strategy Description

Investment Strategy

The ECLIPSE GLOBAL ALPHA PROGRAM takes a systematic, multi-strategy approach by using two unique return generators. The two have historically exhibited a low correlation and as such each receives an equal 50% risk weighting. The first uses a core allocation to trendfollowing,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 20,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 10.00%
Average Commission
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 1400 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Investment Strategy

The ECLIPSE GLOBAL ALPHA PROGRAM takes a systematic, multi-strategy approach by using two unique return generators. The two have historically exhibited a low correlation and as such each receives an equal 50% risk weighting. The first uses a core allocation to trendfollowing, complemented with allocations to macro/fundamental and mean reversion models, to generate medium- to long-term positions. The second uses a short-term macro/fundamental strategy designed to establish positions based on relevant macroeconomic and fundamental data and to increase or decrease those positions based on short-term divergences between price and the macro/fundamental score.

   

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
-10.18 5 7 1/1/0001 1/1/2020
-8.86 2 - 8/1/2020 10/1/2020
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
8.83 2 2/1/2020 3/1/2020
6.29 1 8/1/2020 8/1/2020
3.67 1 12/1/2019 12/1/2019
1.56 1 6/1/2020 6/1/2020
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-10.12 3 9/1/2019 11/1/2019
-8.86 2 9/1/2020 10/1/2020
-3.60 1 1/1/2020 1/1/2020
-1.41 2 4/1/2020 5/1/2020
-0.43 1 7/1/2020 7/1/2020
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable35.7175.0077.78
Average Period Return-0.331.474.30
Average Gain4.043.487.07
Average Loss-2.75-4.54-5.42
Best Period6.867.5913.24
Worst Period-8.56-10.12-8.52
Standard Deviation4.264.886.50
Gain Standard Deviation2.462.893.57
Loss Standard Deviation2.805.024.39
Sharpe Ratio (1%)-0.100.250.58
Average Gain / Average Loss1.470.771.31
Profit / Loss Ratio0.822.304.57
Downside Deviation (10%)3.303.564.01
Downside Deviation (5%)3.113.153.15
Downside Deviation (0%)3.063.062.94
Sortino Ratio (10%)-0.220.070.46
Sortino Ratio (5%)-0.130.391.21
Sortino Ratio (0%)-0.110.481.46

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.