Eclipse Capital Management : Global Long/Short Momentum Program

Year-to-Date
14.73%
Jul Performance
3.68%
Min Investment
$ 5,000k
Mgmt. Fee
0.75%
Perf. Fee
0%
Annualized Vol
15.93%
Sharpe (RFR=1%)
0.36
CAROR
5.58%
Assets
$ 2.1M
Worst DD
-27.97
S&P Correlation
0.44

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
Global Long/Short Momentum Program 3.68 4.91 14.73 -1.16 -6.61 24.68 - 43.01
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 - 96.92
+/- S&P 500 2.37 3.74 -4.15 -6.98 -42.34 -28.12 - -53.91

Strategy Description

Summary

The Global Long/Short Momentum program is designed to offer investors efficient exposure to trend-following and produce attractive long-term absolute returns in a variety of different economic and market conditions. Returns from this strategy are uncorrelated with those of most traditional... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0.75%
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
400 RT/YR/$M
Avg. Margin-to-Equity
11%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
50.00%
4-12 Months
25.00%
1-3 Months
15.00%
1-30 Days
10.00%
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 Long/Short Momentum program is designed to offer investors efficient exposure to trend-following and produce attractive long-term absolute returns in a variety of different economic and market conditions. 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.

Investment Strategy

The Global Long/Short Momentum program is a systematic, model-based investment program that establishes long and short positions in a broadly diversified global portfolio of stock index, fixed income, commodity, and currency futures contracts. The portfolio contains only the most liquid futures contracts traded, cleared, and priced on established global futures 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.

   

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
-27.97 13 - 1/1/2018 2/1/2019
-12.58 11 12 2/1/2016 1/1/2017
-12.42 5 5 3/1/2015 8/1/2015
-7.50 4 3 4/1/2013 8/1/2013
-5.11 1 7 12/1/2013 1/1/2014
-0.68 1 1 9/1/2014 10/1/2014
-0.66 1 1 1/1/2013 2/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
24.53 5 11/1/2014 3/1/2015
21.02 4 10/1/2017 1/1/2018
16.03 4 9/1/2013 12/1/2013
13.45 3 9/1/2015 11/1/2015
10.70 2 3/1/2019 4/1/2019
9.42 1 2/1/2017 2/1/2017
9.28 2 6/1/2019 7/1/2019
8.65 2 8/1/2014 9/1/2014
7.96 1 7/1/2015 7/1/2015
7.23 3 5/1/2016 7/1/2016
7.22 2 7/1/2017 8/1/2017
6.59 2 3/1/2013 4/1/2013
6.12 2 1/1/2016 2/1/2016
4.25 3 4/1/2014 6/1/2014
3.56 1 1/1/2013 1/1/2013
3.24 1 2/1/2014 2/1/2014
2.46 1 4/1/2018 4/1/2018
2.18 1 7/1/2013 7/1/2013
1.65 1 5/1/2015 5/1/2015
1.31 1 5/1/2017 5/1/2017
0.91 1 9/1/2018 9/1/2018
0.65 1 9/1/2016 9/1/2016
0.50 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.13 5 10/1/2018 2/1/2019
-14.11 2 2/1/2018 3/1/2018
-11.36 1 8/1/2015 8/1/2015
-8.64 2 3/1/2016 4/1/2016
-7.25 2 10/1/2016 11/1/2016
-6.28 2 5/1/2013 6/1/2013
-6.26 1 6/1/2017 6/1/2017
-5.62 1 4/1/2015 4/1/2015
-5.11 1 1/1/2014 1/1/2014
-4.65 1 9/1/2017 9/1/2017
-4.60 1 6/1/2015 6/1/2015
-4.42 4 5/1/2018 8/1/2018
-4.00 1 5/1/2019 5/1/2019
-3.81 1 12/1/2015 12/1/2015
-3.41 1 8/1/2013 8/1/2013
-3.34 1 8/1/2016 8/1/2016
-2.70 2 3/1/2017 4/1/2017
-2.49 1 7/1/2014 7/1/2014
-2.14 1 3/1/2014 3/1/2014
-1.60 1 1/1/2017 1/1/2017
-0.68 1 10/1/2014 10/1/2014
-0.66 1 2/1/2013 2/1/2013
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods79.0077.0074.0068.0062.0056.0044.0032.00
Percent Profitable56.9658.4460.8166.1861.2960.7172.7371.88
Average Period Return0.561.402.384.938.3011.8814.7719.97
Average Gain3.646.147.8711.9318.3223.3024.4831.87
Average Loss-3.51-5.27-6.14-8.76-7.57-5.77-11.12-10.43
Best Period10.9719.8129.2836.6048.7545.7451.9553.08
Worst Period-12.52-14.10-15.37-27.70-16.88-17.65-21.23-17.16
Standard Deviation4.607.059.5313.2516.6818.8921.1221.35
Gain Standard Deviation2.764.637.339.7913.3315.4815.7910.26
Loss Standard Deviation3.123.615.356.834.854.485.955.47
Sharpe Ratio (1%)0.100.160.200.300.410.520.560.75
Average Gain / Average Loss1.031.161.281.362.424.042.203.06
Profit / Loss Ratio1.371.641.992.663.836.245.877.81
Downside Deviation (10%)3.274.786.349.0110.0210.9015.1817.47
Downside Deviation (5%)3.114.235.306.886.375.617.988.16
Downside Deviation (0%)3.064.105.066.415.564.546.536.17
Sortino Ratio (10%)0.050.04-0.01-0.010.070.15-0.07-0.09
Sortino Ratio (5%)0.150.270.350.571.071.761.471.95
Sortino Ratio (0%)0.180.340.470.771.492.622.263.24

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.