Find the right managed futures programs for you with our comprehensive free CTA database.

/ Endeavour Capital LLP / Endeavour Pembroke

Endeavour Capital LLP : Endeavour Pembroke

Need help with terms?
Year-to-Date
1.68%
Jun Performance
2.44%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.89%
Sharpe (RFR=1%)
0.56
CAROR
5.23%
Assets
$ 40.0M
Worst DD
-11.74
S&P Correlation
0.10
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
7/2007
Endeavour Pembroke 2.44 2.92 1.68 6.17 9.80 22.47 39.73 104.26
S&P 500 2.22 8.17 18.13 43.11 63.21 109.25 232.50 201.74
+/- S&P 500 0.22 -5.25 -16.45 -36.94 -53.41 -86.77 -192.77 -97.47

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.

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
-11.74 25 13 7/1/2011 8/1/2013
-8.53 1 2 12/1/2007 1/1/2008
-7.89 4 11 8/1/2019 12/1/2019
-6.98 7 3 9/1/2015 4/1/2016
-6.52 3 11 6/1/2008 9/1/2008
-6.04 9 2 9/1/2018 6/1/2019
-4.97 1 3 2/1/2011 3/1/2011
-4.58 3 10 8/1/2016 11/1/2016
-4.56 1 7 1/1/2018 2/1/2018
-3.96 1 1 3/1/2015 4/1/2015
-2.88 1 4 1/1/2021 2/1/2021
-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
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
14.88 6 8/1/2014 1/1/2015
11.90 5 9/1/2017 1/1/2018
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
9.55 2 7/1/2019 8/1/2019
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
5.20 7 3/1/2018 9/1/2018
4.77 2 1/1/2020 2/1/2020
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
4.14 3 11/1/2020 1/1/2021
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
2.69 2 7/1/2020 8/1/2020
2.62 2 4/1/2017 5/1/2017
2.44 1 6/1/2021 6/1/2021
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
1.79 1 3/1/2019 3/1/2019
1.69 2 3/1/2021 4/1/2021
1.54 1 3/1/2015 3/1/2015
1.46 1 11/1/2019 11/1/2019
0.98 1 6/1/2010 6/1/2010
0.95 2 4/1/2020 5/1/2020
0.89 1 1/1/2019 1/1/2019
0.88 1 10/1/2011 10/1/2011
0.70 1 11/1/2018 11/1/2018
0.67 1 11/1/2015 11/1/2015
0.42 1 5/1/2009 5/1/2009
0.02 1 7/1/2017 7/1/2017
Show More

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
-6.67 2 9/1/2019 10/1/2019
-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
-4.56 1 2/1/2018 2/1/2018
-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
-3.30 3 4/1/2019 6/1/2019
-2.89 1 10/1/2018 10/1/2018
-2.88 1 2/1/2021 2/1/2021
-2.73 1 12/1/2019 12/1/2019
-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
-1.81 2 9/1/2020 10/1/2020
-1.76 1 4/1/2008 4/1/2008
-1.75 1 12/1/2018 12/1/2018
-1.56 1 11/1/2007 11/1/2007
-1.53 1 2/1/2019 2/1/2019
-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
-0.58 1 8/1/2017 8/1/2017
-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
-0.23 1 6/1/2017 6/1/2017
-0.15 1 3/1/2020 3/1/2020
-0.05 1 5/1/2021 5/1/2021
-0.04 1 6/1/2020 6/1/2020
Show More

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 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.

x

{{title}}

x

{{title}}