Edgehill Investment Group LLC : Standard Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since3/2013 Standard Program -2.14 - - - - - - 6.13 S&P 500 -1.55 - - - - - - 134.29 +/- S&P 500 -0.59 - - - - - - -128.16 Strategy Description Summaryshort-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% Composition Currency FX 70.00% Currency Futures 30.00% Summaryshort-term technical trading strategy focusing on G10 currencies and cross-rates.Investment StrategyPattern and technical analysis in currencies focusing on a 1-4 day holding period.Risk ManagementStrict adherence to risk guidelines that reduce exposure and raise actionable signal/trade strength level in higher volatility performance periods. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -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 Show More 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 Show More 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 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. x {{title}} x {{title}} Add Cancel