Eclipse Capital Management : Strategic Allocation Program

Year-to-Date: 2.68%
Jan Performance: -2.68%

Min Investment: $ 5,000k
Mgmt. Fee: 0.45%
Perf. Fee: 0%

Annualized Vol: 11.72%
Sharpe (RFR=1%): 0.59
CAROR: 7.41%

Assets: $ 2.9M
Worst DD: -15.12
S&P Correlation: 0.52

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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	Jan	Qtr	YTD	1yr	3yr	5yr	10yr	Since 1/2013
Strategic Allocation Program	-2.68	-0.33	-2.68	16.61	38.22	35.09	-	65.96
S&P 500	-0.16	6.19	-0.16	19.27	40.10	60.04	-	113.12
+/- S&P 500	-2.52	-6.52	-2.52	-2.66	-1.88	-24.95	-	-47.15

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 5,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 0.45%
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: 200 RT/YR/$M
Avg. Margin-to-Equity: 9%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Not Specified

Holding Periods

Over 12 Months: 100.00%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 0%
Intraday: 0%

Decision-Making

Discretionary: 0%
Systematic: 100.00%

Strategy

Other: 100.00%

Composition

Other: 67.00%
Stock Indices: 33.00%

Summary

The Strategic Allocation Program is designed to offer investors efficient exposure to the risk premium inherent in three asset classes: global fixed income, global stock indices, and commodities. Using a risk-balanced approach, the program aims to produce attractive long-term total returns. Unlike traditional capital allocation approaches where the risk contribution is highly concentrated in equities, a risk parity approach adjusts risk to ensure near-equal risk contribution across and within asset classes.

Investment Strategy

The Strategic Allocation Program is a systematic, model-based investment program that establishes long positions in a broadly diversified global portfolio of stock index, fixed income, and commodity 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. Positions are established and actively adjusted to balance risk contribution. Additionally, a portfolio-level volatility target model is overlaid to help achieve overall volatility that is significantly more consistent than traditional approaches

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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:

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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
-15.12	8	14	4/1/2015	12/1/2015
-11.24	9	5	1/1/2018	10/1/2018
-8.46	2	5	4/1/2013	6/1/2013
-5.51	1	2	5/1/2017	6/1/2017
-4.68	2	3	8/1/2014	10/1/2014
-4.68	1	1	4/1/2019	5/1/2019
-3.47	3	-	8/1/2019	11/1/2019
-3.34	1	2	2/1/2014	3/1/2014
-2.19	1	1	8/1/2017	9/1/2017
-2.13	2	1	11/1/2013	1/1/2014
-1.40	1	2	2/1/2017	3/1/2017
-0.60	1	1	2/1/2015	3/1/2015
-0.36	1	1	6/1/2014	7/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
19.93	4	1/1/2019	4/1/2019
11.71	4	10/1/2017	1/1/2018
11.27	3	6/1/2019	8/1/2019
10.12	3	4/1/2014	6/1/2014
9.71	2	7/1/2017	8/1/2017
8.35	2	1/1/2015	2/1/2015
7.76	3	9/1/2013	11/1/2013
7.69	4	4/1/2016	7/1/2016
7.46	1	2/1/2017	2/1/2017
6.41	2	4/1/2018	5/1/2018
5.22	1	2/1/2014	2/1/2014
4.96	1	8/1/2014	8/1/2014
4.74	2	1/1/2016	2/1/2016
4.34	4	1/1/2013	4/1/2013
3.80	2	4/1/2017	5/1/2017
3.41	1	11/1/2014	11/1/2014
3.37	1	7/1/2013	7/1/2013
3.29	1	12/1/2016	12/1/2016
2.93	1	12/1/2019	12/1/2019
2.19	2	9/1/2015	10/1/2015
2.06	1	11/1/2018	11/1/2018
1.96	1	4/1/2015	4/1/2015
1.10	1	9/1/2016	9/1/2016
1.07	1	8/1/2018	8/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-11.57	4	5/1/2015	8/1/2015
-8.46	2	5/1/2013	6/1/2013
-7.92	2	2/1/2018	3/1/2018
-7.42	2	9/1/2018	10/1/2018
-6.06	2	11/1/2015	12/1/2015
-5.51	1	6/1/2017	6/1/2017
-4.68	2	9/1/2014	10/1/2014
-4.68	1	5/1/2019	5/1/2019
-3.47	3	9/1/2019	11/1/2019
-3.34	1	3/1/2014	3/1/2014
-3.26	2	10/1/2016	11/1/2016
-3.19	2	6/1/2018	7/1/2018
-2.71	1	12/1/2014	12/1/2014
-2.68	1	1/1/2020	1/1/2020
-2.19	1	9/1/2017	9/1/2017
-2.13	2	12/1/2013	1/1/2014
-1.48	1	8/1/2013	8/1/2013
-1.40	1	3/1/2017	3/1/2017
-1.36	1	8/1/2016	8/1/2016
-0.60	1	3/1/2015	3/1/2015
-0.46	1	3/1/2016	3/1/2016
-0.41	1	12/1/2018	12/1/2018
-0.36	1	7/1/2014	7/1/2014
-0.06	1	1/1/2017	1/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	85.00	83.00	80.00	74.00	68.00	62.00	50.00	38.00	26.00
Percent Profitable	56.47	65.06	72.50	79.73	83.82	95.16	100.00	100.00	100.00
Average Period Return	0.65	2.00	4.07	8.59	11.93	15.24	22.82	31.59	41.51
Average Gain	2.95	5.04	7.44	12.38	15.12	16.10	22.82	31.59	41.51
Average Loss	-2.33	-3.66	-4.81	-6.35	-4.60	-1.69
Best Period	7.46	16.46	22.60	26.37	28.34	37.97	44.33	58.80	52.97
Worst Period	-7.86	-10.25	-10.38	-11.76	-7.93	-2.26	7.39	14.42	28.40
Standard Deviation	3.38	5.27	7.35	9.90	9.81	9.91	11.27	11.72	6.90
Gain Standard Deviation	2.08	3.53	5.30	6.92	7.09	9.37	11.27	11.72	6.90
Loss Standard Deviation	2.20	2.62	3.59	3.59	2.16	0.63
Sharpe Ratio (1%)	0.17	0.33	0.49	0.77	1.06	1.33	1.76	2.35	5.27
Average Gain / Average Loss	1.27	1.38	1.55	1.95	3.29	9.54
Profit / Loss Ratio	1.65	2.57	4.08	7.67	17.02	187.61
Downside Deviation (10%)	2.30	3.27	4.27	5.44	5.29	4.18	3.03	2.08
Downside Deviation (5%)	2.14	2.76	3.34	3.66	2.60	0.84
Downside Deviation (0%)	2.10	2.64	3.12	3.26	2.03	0.39
Sortino Ratio (10%)	0.11	0.24	0.38	0.66	0.82	1.19	2.33	4.83
Sortino Ratio (5%)	0.27	0.63	1.07	2.07	4.01	15.83
Sortino Ratio (0%)	0.31	0.76	1.31	2.64	5.88	39.28

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.

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More Programs by Eclipse Capital Management

Program Name	CAROR
Strategic Allocation Program	7.41%
Global Monetary	6.62%
Alpha Asia	6.08%
Global Long/Short Momentum Program	5.12%
Global Allocation Program	4.82%

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Eclipse Capital Management : Strategic Allocation Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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