Endeavour Capital LLP : Endeavour Pembroke Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 2.23% Jul Performance 0.54% Min Investment $ 2,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 7.87% Sharpe (RFR=1%) 0.56 CAROR 5.24% Assets $ 41.0M 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since7/2007 Endeavour Pembroke 0.54 2.94 2.23 5.04 10.16 19.85 38.57 105.37 S&P 500 2.27 5.12 20.81 38.73 61.12 106.65 247.53 208.60 +/- S&P 500 -1.73 -2.18 -18.58 -33.68 -50.96 -86.80 -208.96 -103.24 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyThe Endeavour Pembroke Fund Limited (the “Fund”) is a multistrategy Futures funds.Risk ManagementRisk reducing procedures are in place in the case of drawdowns. 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 -11.74 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 2.99 2 6/1/2021 7/1/2021 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 2.20 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}} Add Cancel