Eclipse Capital Management : Tactical Alpha Program

Year-to-Date
0.62%
Apr Performance
-3.07%
Min Investment
$ 25,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.79%
Sharpe (RFR=1%)
0.23
CAROR
2.98%
Assets
$ 154.0M
Worst DD
-19.49
S&P Correlation
0.10

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
11/2016
Tactical Alpha Program -3.07 -5.33 0.62 0.41 -10.21 - - 14.13
S&P 500 5.24 16.22 14.93 48.22 63.01 - - 95.40
+/- S&P 500 -8.31 -21.55 -14.31 -47.82 -73.21 - - -81.27

Strategy Description

Investment Strategy

TACTICAL ALPHA 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. Quantitative models assess market fundamentals and... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
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 1000 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Interest Rates
54.00%
Currency Futures
24.00%
Stock Indices
14.00%
Energy
6.00%
Precious Metals
2.00%
Composition Pie Chart

Investment Strategy

TACTICAL ALPHA 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. Quantitative models assess market fundamentals and relevant macroeconomic data to identify short-term divergences between the price of a market and its macro/fundamental conditions. Positions, which are relatively short-term in nature, are established based on these divergences and maintained until market prices more accurately reflect macro/fundamental conditions.

   

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

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
-19.49 26 - 8/1/2018 10/1/2020
-5.45 1 6 9/1/2017 10/1/2017
-1.02 1 1 1/1/2017 2/1/2017
-0.49 1 1 5/1/2017 6/1/2017
-0.09 1 1 1/1/0001 11/1/2016
-0.06 1 1 3/1/2017 4/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
13.79 5 4/1/2018 8/1/2018
9.29 2 12/1/2016 1/1/2017
6.28 2 1/1/2021 2/1/2021
5.75 1 5/1/2017 5/1/2017
5.54 1 8/1/2020 8/1/2020
5.34 3 7/1/2017 9/1/2017
5.15 2 5/1/2019 6/1/2019
4.65 1 12/1/2019 12/1/2019
4.44 1 3/1/2017 3/1/2017
3.62 1 11/1/2020 11/1/2020
3.61 2 11/1/2017 12/1/2017
3.14 2 1/1/2019 2/1/2019
2.81 2 2/1/2020 3/1/2020
2.35 2 5/1/2020 6/1/2020
0.57 1 10/1/2019 10/1/2019
0.25 1 2/1/2018 2/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.70 4 9/1/2018 12/1/2018
-9.51 3 7/1/2019 9/1/2019
-6.96 2 3/1/2019 4/1/2019
-6.39 2 9/1/2020 10/1/2020
-5.45 1 10/1/2017 10/1/2017
-5.33 2 3/1/2021 4/1/2021
-5.32 1 1/1/2020 1/1/2020
-2.78 1 7/1/2020 7/1/2020
-1.84 1 11/1/2019 11/1/2019
-1.55 1 12/1/2020 12/1/2020
-1.23 1 4/1/2020 4/1/2020
-1.02 1 1/1/2018 1/1/2018
-1.02 1 2/1/2017 2/1/2017
-0.49 1 6/1/2017 6/1/2017
-0.15 1 3/1/2018 3/1/2018
-0.09 1 11/1/2016 11/1/2016
-0.06 1 4/1/2017 4/1/2017
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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.