Eclipse Capital Management : Global Monetary Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 36.67% Dec Performance 7.33% Min Investment $ 5,000k Mgmt. Fee 1.00% Perf. Fee 10.00% Annualized Vol 17.51% Sharpe (RFR=1%) 0.44 CAROR 7.50% Assets $ 53.3M Worst DD -34.71 S&P Correlation -0.01 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since8/1990 Global Monetary 7.33 15.50 36.67 36.67 10.97 20.74 26.45 801.20 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 1,052.48 +/- S&P 500 3.62 3.81 20.41 20.41 -29.51 -61.16 -169.12 -251.28 Strategy Description Investment StrategyThe 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% Composition Currency Futures 25.00% Interest Rates 25.00% Stock Indices 25.00% Energy 13.00% Industrial Metals 12.00% Investment StrategyThe 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: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 Show More 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 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 5.00 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 Show More 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 -6.48 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 -0.03 1 11/1/1993 11/1/1993 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods365.00363.00360.00354.00348.00342.00330.00318.00306.00 Percent Profitable54.2558.1363.3367.5169.8374.5678.7988.0590.85 Average Period Return0.732.124.308.3812.1516.1123.4630.3740.11 Average Gain4.177.5110.9216.6021.1024.9032.3336.0645.12 Average Loss-3.35-5.37-7.14-8.72-8.56-9.65-9.47-11.61-9.57 Best Period23.7040.8340.8869.7692.44107.17162.10133.79182.89 Worst Period-16.04-18.78-22.35-31.69-24.40-27.21-26.40-34.71-28.53 Standard Deviation5.058.5211.2815.9119.8724.6030.4931.9141.46 Gain Standard Deviation3.656.548.1012.2016.8122.1328.2329.5040.13 Loss Standard Deviation3.044.195.176.046.307.336.6010.228.66 Sharpe Ratio (1%)0.130.220.340.460.540.570.670.820.84 Average Gain / Average Loss1.241.401.531.902.462.583.413.114.71 Profit / Loss Ratio1.481.942.643.965.707.5712.6822.8946.81 Downside Deviation (10%)3.275.066.618.599.7011.0812.7214.2014.98 Downside Deviation (5%)3.104.535.586.516.526.946.516.465.16 Downside Deviation (0%)3.064.405.336.045.836.105.305.323.87 Sortino Ratio (10%)0.100.180.280.390.470.530.610.620.83 Sortino Ratio (5%)0.210.410.681.131.632.033.144.076.79 Sortino Ratio (0%)0.240.480.811.392.082.644.425.7110.36 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. x {{title}} x {{title}} Add Cancel