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/ Eclipse Capital Management / Strategic Allocation Program

Eclipse Capital Management : Strategic Allocation Program

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archived programsClosed to new investments
Year-to-Date
1.52%
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
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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 Aug Qtr 2020 1yr 3yr 5yr 10yr Since
1/2013
Strategic Allocation Program 1.81 - 1.52 1.52 19.11 61.21 - 73.12
S&P 500 7.01 - 8.34 19.61 40.39 75.68 - 148.17
+/- S&P 500 -5.20 - -6.82 -18.09 -21.28 -14.47 - -75.05

Strategy Description

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... 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%
Strategy Pie Chart

Composition

Other
67.00%
Stock Indices
33.00%
Composition Pie Chart

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

   

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
-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
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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
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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

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods92.0090.0087.0081.0075.0069.0057.0045.0033.00
Percent Profitable57.6163.3368.9777.7885.3395.65100.00100.00100.00
Average Period Return0.661.893.497.9212.3015.1523.0932.9139.87
Average Gain2.945.257.3311.8615.2015.9223.0932.9139.87
Average Loss-2.44-3.91-5.03-5.84-4.60-1.69
Best Period7.4616.4622.6026.3728.3437.9744.3358.8054.75
Worst Period-7.89-11.41-10.38-11.76-7.93-2.267.3914.4221.76
Standard Deviation3.425.547.449.829.519.5310.7111.308.63
Gain Standard Deviation2.003.565.257.106.869.0210.7111.308.63
Loss Standard Deviation2.332.893.373.502.160.63
Sharpe Ratio (1%)0.170.300.400.711.141.381.872.554.03
Average Gain / Average Loss1.201.341.462.033.309.43
Profit / Loss Ratio1.632.323.247.1019.22207.48
Downside Deviation (10%)2.383.564.595.495.043.982.841.911.39
Downside Deviation (5%)2.223.053.593.602.470.79
Downside Deviation (0%)2.182.933.353.191.930.37
Sortino Ratio (10%)0.100.190.220.530.931.232.585.948.83
Sortino Ratio (5%)0.260.540.831.924.3716.58
Sortino Ratio (0%)0.300.651.042.496.3741.20

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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