Eclipse Capital Management : Global Monetary

Year-to-Date: 1.06%
Oct Performance: -4.78%

Min Investment: $ 5,000k
Mgmt. Fee: 1.00%
Perf. Fee: 10.00%

Annualized Vol: 17.28%
Sharpe (RFR=1%): 0.39
CAROR: 6.52%

Assets: $ 68.9M
Worst DD: -34.71
S&P Correlation: -0.02

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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	Oct	Qtr	YTD	1yr	3yr	5yr	10yr	Since 8/1990
Global Monetary	-4.78	-9.89	-1.06	-5.68	-10.11	-18.33	0.11	534.73
S&P 500	2.04	1.92	21.16	12.01	41.41	48.99	190.12	831.97
+/- S&P 500	-6.82	-11.81	-22.22	-17.68	-51.52	-67.32	-190.01	-297.24

Strategy Description

Investment Strategy

Account & Fees

Type: Managed Account
Minimum Investment: $ 5,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 1.00%
Performance Fee: 10.00%
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: 1200 RT/YR/$M
Avg. Margin-to-Equity: 10%
Targeted Worst DD
Worst Peak-to-Trough: -25.95%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 20.00%
1-3 Months: 50.00%
1-30 Days: 30.00%
Intraday: 0%

Decision-Making

Discretionary: 0%
Systematic: 100.00%

Strategy

Fundamental: 20.00%
Momentum: 60.00%
Other: 20.00%

Composition

Currency Futures: 25.00%
Interest Rates: 25.00%
Stock Indices: 25.00%
Energy: 13.00%
Industrial Metals: 12.00%

Investment Strategy

The GMP 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. Quantitative models analyze market prices as well as macroeconomic and fundamental factors 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.

Compare to:

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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:
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
-34.71	48	-	2/1/2015	2/1/2019
-25.95	15	29	2/1/2004	5/1/2005
-23.93	13	5	9/1/1999	10/1/2000
-22.35	6	16	3/1/1994	9/1/1994
-18.78	3	5	1/1/0001	10/1/1990
-16.68	35	16	12/1/2008	11/1/2011
-16.51	6	2	1/1/1998	7/1/1998
-15.92	2	2	3/1/1991	5/1/1991
-12.31	2	2	9/1/2002	11/1/2002
-12.30	13	5	3/1/2013	4/1/2014
-12.06	5	2	12/1/1991	5/1/1992
-11.03	1	7	10/1/2001	11/1/2001
-10.27	1	5	8/1/1992	9/1/1992
-9.67	4	3	3/1/2001	7/1/2001
-8.62	6	2	2/1/2008	8/1/2008
-4.93	1	3	3/1/1997	4/1/1997
-4.20	5	2	5/1/2003	10/1/2003
-3.63	1	2	2/1/2003	3/1/2003
-2.57	1	1	12/1/1998	1/1/1999
-2.39	2	1	9/1/1997	11/1/1997
-2.33	1	1	10/1/1998	11/1/1998
-2.21	1	1	7/1/1997	8/1/1997
-2.21	1	3	10/1/2007	11/1/2007
-2.19	1	3	11/1/1996	12/1/1996
-2.11	1	3	2/1/1993	3/1/1993
-0.99	1	1	12/1/2003	1/1/2004
-0.96	1	1	9/1/1991	10/1/1991
-0.51	1	1	7/1/1991	8/1/1991
-0.37	2	1	1/1/1996	3/1/1996
-0.26	1	1	11/1/2014	12/1/2014
-0.03	1	1	10/1/1993	11/1/1993

Consecutive Gains

Run-up	Length (Mos.)	Start	End
40.83	3	6/1/1992	8/1/1992
35.14	3	1/1/1991	3/1/1991
31.20	3	11/1/2000	1/1/2001
27.16	8	4/1/1996	11/1/1996
26.38	6	4/1/2002	9/1/2002
26.03	4	9/1/2008	12/1/2008
24.50	4	8/1/2014	11/1/2014
22.52	2	6/1/1991	7/1/1991
22.41	4	10/1/2017	1/1/2018
22.10	3	8/1/1998	10/1/1998
21.45	8	2/1/1999	9/1/1999
21.17	3	12/1/2002	2/1/2003
19.88	2	11/1/1991	12/1/1991
19.66	6	3/1/2019	8/1/2019
16.53	5	11/1/2012	3/1/2013
15.28	4	2/1/1995	5/1/1995
15.26	4	10/1/2006	1/1/2007
13.97	2	1/1/1993	2/1/1993
13.88	4	12/1/1993	3/1/1994
13.55	3	5/1/1997	7/1/1997
13.22	5	6/1/1993	10/1/1993
13.01	3	4/1/2007	6/1/2007
12.77	3	8/1/2001	10/1/2001
12.58	2	7/1/2017	8/1/2017
12.35	2	3/1/2006	4/1/2006
10.98	3	12/1/2011	2/1/2012
10.98	2	9/1/2007	10/1/2007
10.41	2	1/1/2016	2/1/2016
10.36	4	9/1/2013	12/1/2013
9.96	2	1/1/2015	2/1/2015
9.15	3	8/1/2010	10/1/2010
9.01	1	11/1/1990	11/1/1990
8.80	2	4/1/2003	5/1/2003
8.73	1	4/1/2011	4/1/2011
7.91	2	7/1/1995	8/1/1995
7.72	1	12/1/2010	12/1/2010
7.71	1	2/1/2017	2/1/2017
7.56	1	6/1/2016	6/1/2016
6.76	1	5/1/2012	5/1/2012
6.33	4	6/1/2005	9/1/2005
6.11	3	7/1/2018	9/1/2018
6.03	1	7/1/2011	7/1/2011
5.88	2	5/1/2014	6/1/2014
5.56	2	11/1/2003	12/1/2003
5.51	1	3/1/1992	3/1/1992
5.45	1	1/1/1996	1/1/1996
5.44	2	10/1/1994	11/1/1994
5.38	2	12/1/1997	1/1/1998
5.00	1	9/1/1997	9/1/1997
5.00	2	7/1/2012	8/1/2012
4.95	1	9/1/2015	9/1/2015
4.89	5	8/1/2004	12/1/2004
4.70	1	2/1/2008	2/1/2008
4.66	1	11/1/2005	11/1/2005
4.53	1	5/1/2000	5/1/2000
4.52	1	9/1/2011	9/1/2011
4.46	1	2/1/2004	2/1/2004
4.25	2	10/1/1992	11/1/1992
4.14	1	5/1/2017	5/1/2017
4.11	1	11/1/2015	11/1/2015
4.04	1	6/1/2008	6/1/2008
4.03	1	3/1/2010	3/1/2010
3.79	1	12/1/1998	12/1/1998
3.66	1	5/1/2010	5/1/2010
3.31	2	12/1/2001	1/1/2002
3.29	1	3/1/2000	3/1/2000
3.23	1	9/1/1991	9/1/1991
3.01	1	5/1/2009	5/1/2009
2.81	1	5/1/1998	5/1/1998
2.63	1	3/1/2001	3/1/2001
2.58	1	12/1/2016	12/1/2016
2.51	2	10/1/1995	11/1/1995
2.49	1	7/1/2015	7/1/2015
2.20	1	12/1/2007	12/1/2007
2.18	1	11/1/2009	11/1/2009
2.07	1	1/1/1997	1/1/1997
2.01	1	9/1/2009	9/1/2009
1.67	1	3/1/1997	3/1/1997
1.56	1	6/1/2001	6/1/2001
1.42	1	4/1/1993	4/1/1993
1.28	1	2/1/2014	2/1/2014
0.87	1	1/1/2000	1/1/2000
0.84	1	6/1/2006	6/1/2006
0.60	1	1/1/2006	1/1/2006
0.48	1	7/1/2009	7/1/2009
0.44	1	9/1/2003	9/1/2003
0.38	1	9/1/2016	9/1/2016
0.28	1	6/1/1994	6/1/1994
0.20	1	5/1/2004	5/1/2004

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-21.32	5	2/1/2018	6/1/2018
-18.84	5	10/1/2018	2/1/2019
-18.78	3	8/1/1990	10/1/1990
-18.15	5	6/1/2000	10/1/2000
-17.41	3	7/1/1994	9/1/1994
-15.92	2	4/1/1991	5/1/1991
-14.19	5	1/1/2005	5/1/2005
-14.00	3	2/1/1998	4/1/1998
-13.88	4	1/1/2009	4/1/2009
-12.55	2	9/1/2019	10/1/2019
-12.31	2	10/1/2002	11/1/2002
-12.05	2	10/1/2016	11/1/2016
-11.80	2	10/1/2011	11/1/2011
-11.79	2	1/1/1992	2/1/1992
-11.64	2	3/1/2004	4/1/2004
-11.44	4	3/1/2015	6/1/2015
-11.03	1	11/1/2001	11/1/2001
-10.27	1	9/1/1992	9/1/1992
-9.77	5	4/1/2013	8/1/2013
-9.64	2	5/1/2011	6/1/2011
-8.65	1	12/1/2015	12/1/2015
-8.15	3	1/1/2011	3/1/2011
-8.09	3	3/1/2016	5/1/2016
-7.62	2	4/1/2001	5/1/2001
-7.53	2	7/1/2016	8/1/2016
-7.28	1	6/1/2017	6/1/2017
-7.10	1	1/1/2014	1/1/2014
-7.09	2	7/1/2007	8/1/2007
-7.08	2	6/1/2004	7/1/2004
-6.90	1	8/1/2015	8/1/2015
-6.48	3	3/1/2008	5/1/2008
-6.40	2	3/1/2014	4/1/2014
-6.24	2	4/1/1994	5/1/1994
-6.10	1	2/1/2000	2/1/2000
-6.08	2	7/1/2008	8/1/2008
-6.06	2	3/1/2012	4/1/2012
-5.79	1	6/1/2012	6/1/2012
-5.57	2	6/1/1998	7/1/1998
-5.56	2	9/1/2012	10/1/2012
-5.53	1	11/1/2010	11/1/2010
-5.52	2	4/1/1992	5/1/1992
-5.32	1	9/1/2017	9/1/2017
-5.28	1	10/1/2005	10/1/2005
-5.08	3	10/1/1999	12/1/1999
-5.00	3	7/1/2006	9/1/2006
-4.93	1	4/1/1997	4/1/1997
-4.89	2	6/1/2010	7/1/2010
-4.74	1	10/1/2015	10/1/2015
-4.47	2	12/1/1994	1/1/1995
-4.25	1	4/1/2000	4/1/2000
-4.01	3	6/1/2003	8/1/2003
-3.97	1	6/1/2009	6/1/2009
-3.72	1	7/1/2001	7/1/2001
-3.63	1	3/1/2003	3/1/2003
-3.56	1	5/1/2006	5/1/2006
-3.07	1	12/1/2005	12/1/2005
-2.80	3	12/1/2009	2/1/2010
-2.58	1	8/1/2011	8/1/2011
-2.57	1	1/1/1999	1/1/1999
-2.50	1	12/1/1992	12/1/1992
-2.43	2	2/1/2007	3/1/2007
-2.39	2	10/1/1997	11/1/1997
-2.34	1	6/1/1995	6/1/1995
-2.33	1	11/1/1998	11/1/1998
-2.21	1	11/1/2007	11/1/2007
-2.21	1	8/1/1997	8/1/1997
-2.19	1	12/1/1996	12/1/1996
-2.17	2	3/1/2017	4/1/2017
-2.11	1	3/1/1993	3/1/1993
-1.92	1	2/1/2006	2/1/2006
-1.43	1	2/1/2001	2/1/2001
-1.27	1	7/1/2014	7/1/2014
-1.16	1	1/1/2017	1/1/2017
-1.12	1	12/1/1990	12/1/1990
-1.08	2	2/1/2002	3/1/2002
-1.02	1	5/1/1993	5/1/1993
-0.99	1	1/1/2004	1/1/2004
-0.96	1	10/1/1991	10/1/1991
-0.76	1	10/1/2009	10/1/2009
-0.66	1	4/1/2010	4/1/2010
-0.66	1	1/1/2008	1/1/2008
-0.64	1	12/1/1995	12/1/1995
-0.63	1	10/1/2003	10/1/2003
-0.57	1	9/1/1995	9/1/1995
-0.51	1	8/1/1991	8/1/1991
-0.46	1	8/1/2009	8/1/2009
-0.41	1	2/1/1997	2/1/1997
-0.37	2	2/1/1996	3/1/1996
-0.26	1	12/1/2014	12/1/2014
-0.03	1	11/1/1993	11/1/1993

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	351.00	349.00	346.00	340.00	334.00	328.00	316.00	304.00	292.00
Percent Profitable	53.85	57.59	63.29	66.47	69.76	74.70	79.43	90.46	94.18
Average Period Return	0.65	2.02	4.14	8.12	12.15	16.64	24.35	31.82	42.54
Average Gain	4.08	7.47	10.73	16.65	21.13	25.41	33.22	36.45	45.50
Average Loss	-3.35	-5.38	-7.21	-8.79	-8.57	-9.24	-9.86	-12.09	-5.37
Best Period	23.70	40.83	40.88	69.76	92.44	107.17	162.10	133.79	182.89
Worst Period	-16.04	-18.78	-22.35	-31.69	-24.40	-26.04	-26.40	-34.71	-18.33
Standard Deviation	4.99	8.52	11.26	16.07	20.04	24.73	30.83	31.73	40.79
Gain Standard Deviation	3.56	6.56	8.12	12.37	17.06	22.30	28.33	29.58	40.17
Loss Standard Deviation	3.06	4.19	5.25	6.02	6.42	7.12	6.68	11.08	5.99
Sharpe Ratio (1%)	0.11	0.21	0.32	0.44	0.53	0.59	0.69	0.87	0.92
Average Gain / Average Loss	1.22	1.39	1.49	1.89	2.46	2.75	3.37	3.01	8.48
Profit / Loss Ratio	1.42	1.89	2.57	3.76	5.69	8.12	13.00	28.59	137.10
Downside Deviation (10%)	3.29	5.09	6.68	8.76	9.75	10.83	12.67	13.32	12.53
Downside Deviation (5%)	3.12	4.57	5.64	6.65	6.56	6.69	6.58	6.04	2.94
Downside Deviation (0%)	3.08	4.44	5.40	6.16	5.88	5.86	5.39	5.02	1.91
Sortino Ratio (10%)	0.07	0.16	0.25	0.36	0.47	0.59	0.68	0.77	1.19
Sortino Ratio (5%)	0.18	0.39	0.65	1.07	1.62	2.19	3.24	4.60	12.73
Sortino Ratio (0%)	0.21	0.46	0.77	1.32	2.07	2.84	4.52	6.33	22.29

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	10	0.52	4/2002
IASG CTA Index	Month	7	14.25	11/2000
Trend Following Strategy Index	Month	7	14.25	11/2000
Systematic Trader Index	Month	7	14.25	11/2000
Diversified Trader Index	Month	7	14.25	11/2000
Diversified Trader Index	Month	6	3.29	3/2000
Trend Following Strategy Index	Month	3	3.29	3/2000
IASG CTA Index	Month	10	3.29	3/2000
Systematic Trader Index	Month	9	3.29	3/2000
Trend Following Strategy Index	Month	9	-4.30	10/1999
Trend Following Strategy Index	Month	7	0.44	5/1999
Trend Following Strategy Index	Month	7	2.92	3/1999
Systematic Trader Index	Month	8	2.92	3/1999
Diversified Trader Index	Month	10	2.92	3/1999
Systematic Trader Index	Month	10	1.78	10/1998
Diversified Trader Index	Month	8	1.78	10/1998
Trend Following Strategy Index	Month	4	1.78	10/1998
Trend Following Strategy Index	Month	6	-2.21	8/1997
Diversified Trader Index	Month	8	-2.21	8/1997
Systematic Trader Index	Month	10	-2.21	8/1997
IASG CTA Index	Month	10	4.01	5/1997
Trend Following Strategy Index	Month	6	4.01	5/1997
Systematic Trader Index	Month	6	4.01	5/1997
Diversified Trader Index	Month	7	4.01	5/1997
Trend Following Strategy Index	Month	7	-2.19	12/1996
Trend Following Strategy Index	Month	4	3.04	8/1996
Systematic Trader Index	Month	5	3.04	8/1996
IASG CTA Index	Month	9	3.04	8/1996
Diversified Trader Index	Month	8	3.04	8/1996
IASG CTA Index	Month	9	0.58	7/1996
Diversified Trader Index	Month	8	0.58	7/1996
Trend Following Strategy Index	Month	6	0.58	7/1996
Systematic Trader Index	Month	8	0.58	7/1996
Trend Following Strategy Index	Month	1	1.96	5/1996
IASG CTA Index	Month	2	1.96	5/1996
Systematic Trader Index	Month	2	1.96	5/1996
Diversified Trader Index	Month	2	1.96	5/1996
Trend Following Strategy Index	Month	3	-0.07	2/1996
Systematic Trader Index	Month	5	-0.07	2/1996
IASG CTA Index	Month	6	-0.07	2/1996
Diversified Trader Index	Month	4	-0.07	2/1996
Trend Following Strategy Index	Month	7	5.45	1/1996
Systematic Trader Index	Month	8	5.45	1/1996
IASG CTA Index	5 Year Rolling	2	166.40	1990 - 1995
Diversified Trader Index	Month	7	0.34	10/1995
Systematic Trader Index	Month	7	0.34	10/1995
IASG CTA Index	Month	8	0.34	10/1995
Trend Following Strategy Index	Month	6	0.34	10/1995
Trend Following Strategy Index	Month	7	-0.57	9/1995
Diversified Trader Index	Month	7	6.80	8/1995
IASG CTA Index	Month	8	6.80	8/1995
Trend Following Strategy Index	Month	5	6.80	8/1995
Systematic Trader Index	Month	5	6.80	8/1995
Systematic Trader Index	Month	2	1.04	7/1995
IASG CTA Index	Month	4	1.04	7/1995
Trend Following Strategy Index	Month	1	1.04	7/1995
Diversified Trader Index	Month	2	1.04	7/1995
Trend Following Strategy Index	Month	9	8.09	5/1995
Trend Following Strategy Index	Month	7	-2.28	1/1995
Trend Following Strategy Index	Month	7	0.90	10/1994
Trend Following Strategy Index	Month	9	-5.12	8/1994
Trend Following Strategy Index	Month	3	3.00	2/1994
IASG CTA Index	Month	4	3.00	2/1994
Systematic Trader Index	Month	4	3.00	2/1994
Diversified Trader Index	Month	4	3.00	2/1994
Systematic Trader Index	Month	3	1.34	1/1994
IASG CTA Index	Month	3	1.34	1/1994
Diversified Trader Index	Month	2	1.34	1/1994
Trend Following Strategy Index	Month	2	1.34	1/1994
IASG CTA Index	3 Year Rolling	1	149.99	1990 - 1993
Systematic Trader Index	Month	7	2.06	10/1993
IASG CTA Index	Month	8	2.06	10/1993
Trend Following Strategy Index	Month	6	2.06	10/1993
Diversified Trader Index	Month	8	2.06	10/1993
Trend Following Strategy Index	Month	1	3.61	9/1993
Systematic Trader Index	Month	3	3.61	9/1993
Diversified Trader Index	Month	3	3.61	9/1993
IASG CTA Index	Month	4	3.61	9/1993
Trend Following Strategy Index	Month	5	3.03	6/1993
Systematic Trader Index	Month	6	3.03	6/1993
Diversified Trader Index	Month	8	3.03	6/1993
IASG CTA Index	Month	9	3.03	6/1993
Trend Following Strategy Index	Month	9	9.34	2/1993
Systematic Trader Index	Month	9	9.34	2/1993
IASG CTA Index	Month	10	9.34	2/1993
Diversified Trader Index	Month	10	9.34	2/1993
Diversified Trader Index	Month	3	4.23	1/1993
Trend Following Strategy Index	Month	2	4.23	1/1993
Systematic Trader Index	Month	2	4.23	1/1993
IASG CTA Index	Month	3	4.23	1/1993
Trend Following Strategy Index	Month	8	-2.50	12/1992
IASG CTA Index	Year Rolling	7	12.96	1991 - 1992
Systematic Trader Index	Month	9	-2.50	12/1992
Systematic Trader Index	Month	9	2.33	11/1992
Diversified Trader Index	Month	9	2.33	11/1992
IASG CTA Index	Month	10	2.33	11/1992
Trend Following Strategy Index	Month	6	2.33	11/1992
Systematic Trader Index	Month	6	1.88	10/1992
Trend Following Strategy Index	Month	6	1.88	10/1992
IASG CTA Index	Month	7	1.88	10/1992

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#10

Top Performer

TREND FOLLOWING STRATEGY INDEX

APRIL
2002

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Eclipse Capital Management : Global Monetary

Growth of 1,000 - VAMI

Monthly Performance

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Investment Strategy

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