Eclipse Capital Management : Strategic Allocation Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance 1.81% Min Investment $ 5,000k Mgmt. Fee 0.45% Perf. Fee 0% Annualized Vol 11.72% Sharpe (RFR=1%) 0.63 CAROR 7.92% Assets $ 3.1M Worst DD -15.12 S&P Correlation 0.55 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since1/2013 Strategic Allocation Program 1.81 - - 9.70 18.12 52.28 - 73.12 S&P 500 7.01 - - 19.61 40.39 75.68 - 186.79 +/- S&P 500 -5.20 - - -9.91 -22.27 -23.40 - -113.66 Strategy Description SummaryThe 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... Read More 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% SummaryThe 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 StrategyThe 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 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 -15.12 8 14 4/1/2015 12/1/2015 -11.98 7 5 8/1/2019 3/1/2020 -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 -3.34 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 Show More Consecutive Gains Run-up Length (Mos.) Start End 19.93 4 1/1/2019 4/1/2019 14.59 5 4/1/2020 8/1/2020 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -11.57 4 5/1/2015 8/1/2015 -11.41 3 1/1/2020 3/1/2020 -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 -2.19 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 Show More 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. x {{title}} x {{title}} Add Cancel