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/ Eclipse Capital Management / Global Monetary

Eclipse Capital Management : Global Monetary

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Year-to-Date
21.39%
Sep Performance
5.06%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
17.51%
Sharpe (RFR=1%)
0.47
CAROR
7.98%
Assets
$ 50.1M
Worst DD
-34.71
S&P Correlation
-0.01
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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
8/1990
Global Monetary 5.06 2.87 21.39 40.21 46.38 44.66 57.56 994.00
S&P 500 -4.76 0.37 18.56 32.42 52.81 103.30 289.57 1,266.42
+/- S&P 500 9.82 2.50 2.83 7.79 -6.43 -58.63 -232.01 -272.42

Strategy Description

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,... Read More

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%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Energy
13.00%
Industrial Metals
12.00%
Composition Pie Chart

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.

   

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

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 24 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
-6.73 3 - 5/1/2021 8/1/2021
-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
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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
24.00 4 2/1/2021 5/1/2021
23.81 2 11/1/2020 12/1/2020
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
18.02 2 2/1/2020 3/1/2020
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
11.28 3 6/1/2020 8/1/2020
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
5.06 1 9/1/2021 9/1/2021
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
3.92 2 11/1/2019 12/1/2019
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
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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
-12.58 2 9/1/2020 10/1/2020
-12.58 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
-6.73 3 6/1/2021 8/1/2021
-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
-2.70 2 4/1/2020 5/1/2020
-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
-1.18 1 1/1/2020 1/1/2020
-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
-0.10 1 1/1/2021 1/1/2021
-0.03 1 11/1/1993 11/1/1993
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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 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 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 Annual 7 12.96 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.

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