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/ Edgehill Investment Group LLC / Standard Program

Edgehill Investment Group LLC : Standard Program

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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
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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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
3/2013
Standard Program -2.14 - - - - - - 6.13
S&P 500 -1.55 - - - - - - 194.94
+/- S&P 500 -0.59 - - - - - - -188.81

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.

Monthly Annual
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
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Loss Frequency:
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Sharpe Ratio: (RF=1%)
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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
-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
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.

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