Endeavour Capital LLP : Endeavour Pembroke

Year-to-Date
0.39%
Apr Performance
0.71%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.25%
Sharpe (RFR=1%)
0.57
CAROR
5.50%
Assets
$ 31.9M
Worst DD
-11.74
S&P Correlation
0.06

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
7/2007
Endeavour Pembroke 0.71 2.07 -0.39 6.61 23.06 19.83 - 69.24
S&P 500 0.91 4.62 6.49 15.44 26.55 70.55 - 62.33
+/- S&P 500 -0.20 -2.55 -6.88 -8.83 -3.50 -50.73 - 6.91

Strategy Description

Summary

The Endeavour Pembroke Fund Limited (the “Fund”) employs statistical arbitrage strategies to extract alpha from large liquid futures and forward markets. By allocating capital to a range of unrelated statistical arbitrage situations, the Fund aims to provide a smooth income profile... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
Investor Requirements
QEP
Lock-up Period
2

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
9.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
20.00%
4-12 Months
30.00%
1-3 Months
30.00%
1-30 Days
0%
Intraday
20.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
30.00%
Counter-trend
15.00%
Fundamental
15.00%
Trend-following
15.00%
Other
25.00%
Strategy Pie Chart

Composition

Interest Rates
50.00%
Currency Futures
20.00%
Stock Indices
20.00%
Industrial Metals
3.00%
Energy
3.00%
Grains
3.00%
Currency FX
1.00%
Composition Pie Chart

Summary

The Endeavour Pembroke Fund Limited (the “Fund”) employs statistical arbitrage strategies to extract alpha from large liquid futures and forward markets. By allocating capital to a range of unrelated statistical arbitrage situations, the Fund aims to provide a smooth income profile without the sacrifice of absolute returns. Further details of the Fund’s investment objective and approach are set out in the Fund’s prospectus.

Investment Strategy

The Endeavour Pembroke Fund Limited (the “Fund”) is a multistrategy Futures funds.

Risk Management

Risk reducing procedures are in place in the case 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
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
-11.74 25 13 7/1/2011 8/1/2013
-8.53 1 2 12/1/2007 1/1/2008
-6.98 7 3 9/1/2015 4/1/2016
-6.52 3 11 6/1/2008 9/1/2008
-4.97 1 3 2/1/2011 3/1/2011
-4.58 3 - 8/1/2016 11/1/2016
-3.96 1 1 3/1/2015 4/1/2015
-2.66 3 3 8/1/2010 11/1/2010
-2.30 1 2 11/1/2009 12/1/2009
-1.76 1 1 3/1/2008 4/1/2008
-1.56 1 1 10/1/2007 11/1/2007
-1.08 1 1 6/1/2010 7/1/2010
-1.04 1 1 7/1/2015 8/1/2015
-0.45 1 1 1/1/2015 2/1/2015
-0.39 1 1 4/1/2010 5/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
14.88 6 8/1/2014 1/1/2015
11.89 5 7/1/2009 11/1/2009
11.63 2 2/1/2008 3/1/2008
11.29 4 7/1/2007 10/1/2007
8.84 4 5/1/2016 8/1/2016
7.69 3 5/1/2015 7/1/2015
7.28 4 1/1/2010 4/1/2010
6.90 4 4/1/2011 7/1/2011
5.82 2 5/1/2008 6/1/2008
4.75 3 1/1/2009 3/1/2009
4.70 2 6/1/2012 7/1/2012
4.49 1 8/1/2010 8/1/2010
4.19 1 12/1/2007 12/1/2007
4.12 3 12/1/2010 2/1/2011
3.81 3 4/1/2014 6/1/2014
3.45 1 4/1/2012 4/1/2012
3.17 3 2/1/2013 4/1/2013
3.06 1 12/1/2016 12/1/2016
2.91 3 9/1/2013 11/1/2013
2.89 2 1/1/2014 2/1/2014
2.20 1 9/1/2015 9/1/2015
2.19 1 1/1/2016 1/1/2016
2.10 2 10/1/2008 11/1/2008
1.93 2 12/1/2011 1/1/2012
1.91 1 2/1/2017 2/1/2017
1.54 1 3/1/2015 3/1/2015
0.98 1 6/1/2010 6/1/2010
0.88 1 10/1/2011 10/1/2011
0.71 1 4/1/2017 4/1/2017
0.67 1 11/1/2015 11/1/2015
0.42 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.89 6 8/1/2012 1/1/2013
-8.53 1 1/1/2008 1/1/2008
-6.52 3 7/1/2008 9/1/2008
-6.43 2 8/1/2011 9/1/2011
-4.97 1 3/1/2011 3/1/2011
-4.78 3 2/1/2016 4/1/2016
-4.77 4 5/1/2013 8/1/2013
-4.58 3 9/1/2016 11/1/2016
-3.96 1 4/1/2015 4/1/2015
-3.72 2 2/1/2012 3/1/2012
-3.57 1 12/1/2015 12/1/2015
-2.66 3 9/1/2010 11/1/2010
-2.41 1 1/1/2017 1/1/2017
-2.30 1 12/1/2009 12/1/2009
-1.76 1 4/1/2008 4/1/2008
-1.56 1 11/1/2007 11/1/2007
-1.53 1 10/1/2015 10/1/2015
-1.19 1 5/1/2012 5/1/2012
-1.13 1 12/1/2008 12/1/2008
-1.08 1 7/1/2010 7/1/2010
-1.05 1 3/1/2014 3/1/2014
-1.05 1 6/1/2009 6/1/2009
-1.04 1 8/1/2015 8/1/2015
-0.98 1 12/1/2013 12/1/2013
-0.80 1 4/1/2009 4/1/2009
-0.56 1 11/1/2011 11/1/2011
-0.55 1 3/1/2017 3/1/2017
-0.45 1 2/1/2015 2/1/2015
-0.39 1 5/1/2010 5/1/2010
-0.26 1 7/1/2014 7/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods118.00116.00113.00107.00101.0095.0083.0071.0059.00
Percent Profitable59.3263.7967.2669.1674.2674.7480.7298.59100.00
Average Period Return0.471.402.635.237.8310.8715.1216.3519.40
Average Gain2.003.685.428.8711.9515.8819.8716.5919.40
Average Loss-1.76-2.62-3.10-2.92-4.08-3.94-4.75-0.67
Best Period8.4510.7214.8821.1625.7729.7039.7547.4545.38
Worst Period-8.53-6.52-8.89-10.39-10.17-10.73-9.13-0.679.35
Standard Deviation2.383.734.987.649.6311.0612.6310.107.07
Gain Standard Deviation1.492.333.316.197.487.798.859.977.07
Loss Standard Deviation1.511.812.002.622.552.952.31
Sharpe Ratio (1%)0.160.310.430.550.660.800.961.222.02
Average Gain / Average Loss1.141.401.753.032.934.034.1824.90
Profit / Loss Ratio1.672.473.596.808.4411.9217.511742.71
Downside Deviation (10%)1.682.563.424.876.487.749.8910.0310.18
Downside Deviation (5%)1.512.042.352.613.113.333.571.05
Downside Deviation (0%)1.471.912.102.162.432.452.310.08
Sortino Ratio (10%)0.040.070.050.050.040.08-0.06-0.52-0.81
Sortino Ratio (5%)0.260.570.911.622.032.663.3911.69
Sortino Ratio (0%)0.320.731.252.423.224.436.56206.70

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 4.20 5/2015
Systematic Trader Index Month 10 4.20 5/2015
IASG CTA Index Sharpe 7 3.22 2006 - 2007

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