Edgehill Investment Group LLC : Standard 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
8.58%
Sharpe (RFR=1%)
0.36
CAROR
-
Assets
$ 60.0M
Worst DD
-11.01
S&P Correlation
0.19

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
3/2013
Standard Program -2.14 - - - - - - 6.13
S&P 500 -1.55 - - - - - - 128.45
+/- S&P 500 -0.59 - - - - - - -122.32

Strategy Description

Summary

short-term technical trading strategy focusing on G10 currencies and cross-rates.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
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 5000 RT/YR/$M
Avg. Margin-to-Equity 1%
Targeted Worst DD -9.00%
Worst Peak-to-Trough 7.20%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 70.00%
Intraday 30.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
10.00%
Momentum
10.00%
Pattern Recognition
40.00%
Technical
30.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Currency FX
70.00%
Currency Futures
30.00%
Composition Pie Chart

Summary

short-term technical trading strategy focusing on G10 currencies and cross-rates.

Investment Strategy

Pattern and technical analysis in currencies focusing on a 1-4 day holding period.

Risk Management

Strict adherence to risk guidelines that reduce exposure and raise actionable signal/trade strength level in higher volatility performance periods.

   

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
-11.01 8 - 1/1/2014 9/1/2014
-1.60 1 4 7/1/2013 8/1/2013
-0.44 1 1 1/1/0001 3/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
16.90 4 4/1/2013 7/1/2013
3.35 3 11/1/2013 1/1/2014
0.88 1 9/1/2013 9/1/2013
0.30 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.33 5 2/1/2014 6/1/2014
-3.22 2 8/1/2014 9/1/2014
-1.60 1 8/1/2013 8/1/2013
-0.44 1 3/1/2013 3/1/2013
-0.12 1 10/1/2013 10/1/2013
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Time Windows Analysis

 2 Year3 Year4 Year5 Year1 Month3 Month6 Month12 Month
Number of Periods114.00102.0090.0078.0054.0019.0017.0014.008.00
Percent Profitable96.4999.02100.00100.00100.0047.3752.9450.0050.00
Average Period Return22.8533.9547.8260.9893.060.341.401.332.41
Average Gain23.8934.2947.8260.9893.062.275.678.4910.10
Average Loss-5.65-1.40-3.41-5.82-5.29
Best Period120.15145.00140.73165.19187.966.3313.1016.0418.32
Worst Period-19.090.0016.0224.4151.90-3.78-7.28-8.35-8.14
Standard Deviation17.2219.9925.5732.0926.032.485.968.509.87
Gain Standard Deviation16.5619.8025.5732.0926.032.054.605.607.95
Loss Standard Deviation8.991.202.652.442.56
Sharpe Ratio (1%)1.211.551.711.743.300.100.190.100.14
Average Gain / Average Loss4.231.631.661.461.91
Profit / Loss Ratio116.321.471.871.461.91
Downside Deviation (10%)3.842.071.460.371.553.616.077.63
Downside Deviation (5%)2.060.301.353.034.744.72
Downside Deviation (0%)1.801.312.894.414.05
Sortino Ratio (10%)3.288.7717.9589.62-0.040.05-0.19-0.34
Sortino Ratio (5%)10.14103.050.190.380.180.30
Sortino Ratio (0%)12.690.260.480.300.59

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.