Edgehill Investment Group LLC : High Alpha Currency Program

archived programs
Year-to-Date
N / A
Sep Performance
-2.14%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.92%
Sharpe (RFR=1%)
-1.67
CAROR
-
Assets
$ 20.0M
Worst DD
-11.00
S&P Correlation
-0.09

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
11/2013
High Alpha Currency Program -2.14 - - - - - - -8.02
S&P 500 -1.55 - - - - - - 91.86
+/- S&P 500 -0.59 - - - - - - -99.88

Strategy Description

Summary

The Edgehill High Alpha Currency Program utilizes a short term systematic strategy to capture alpha in the relative value trading of currency cross-rates.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $1.50
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 7500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -12.00%
Worst Peak-to-Trough 7.28%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 90.00%
Intraday 10.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
25.00%
Technical
75.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

The Edgehill High Alpha Currency Program utilizes a short term systematic strategy to capture alpha in the relative value trading of currency cross-rates.

Investment Strategy

The Strategy is 100% systematic and operates by scanning multiple USD exchange rates as well as major cross-rates. The investment tenor is short, averaging a holding period of between 3-6 days.

Risk Management

Risk management parameters focus on decreasing leverage and increasing the minimum acceptable trade signal weighting in times of drawdowns.

   

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
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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
-8.27 5 - 1/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
3.35 3 11/1/2013 1/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.27 5 2/1/2014 6/1/2014
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable37.5033.33
Average Period Return-0.65-2.63
Average Gain1.112.90
Average Loss-1.70-5.39
Best Period1.623.35
Worst Period-3.87-7.35
Standard Deviation1.934.63
Gain Standard Deviation0.800.64
Loss Standard Deviation1.582.26
Sharpe Ratio (1%)-0.38-0.62
Average Gain / Average Loss0.650.54
Profit / Loss Ratio0.390.27
Downside Deviation (10%)2.015.63
Downside Deviation (5%)1.804.87
Downside Deviation (0%)1.754.68
Sortino Ratio (10%)-0.53-0.68
Sortino Ratio (5%)-0.41-0.59
Sortino Ratio (0%)-0.37-0.56

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.