Endeavour Capital LLP : Endeavour Pembroke

Year-to-Date: 7.28%
Jul Performance: 1.62%

Min Investment: $ 2,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 8.05%
Sharpe (RFR=1%): 0.55
CAROR: 5.26%

Assets: $ 38.6M
Worst DD: -11.74
S&P Correlation: 0.09

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Growth of 1,000 - VAMI

Monthly Performance

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	Since 7/2007
Endeavour Pembroke	1.62	2.25	7.28	4.38	13.61	15.86	41.92	95.51
S&P 500	5.51	12.32	1.25	9.76	31.27	53.90	193.87	122.45
+/- S&P 500	-3.89	-10.07	6.03	-5.38	-17.66	-38.04	-151.95	-26.94

Strategy Description

Summary

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%

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.

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Index: Chart Type:

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:

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	-	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
-2.66	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

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
4.12	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
2.62	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
1.62	1	7/1/2020	7/1/2020
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

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
-2.73	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
-1.76	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
-0.04	1	6/1/2020	6/1/2020

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	157.00	155.00	152.00	146.00	140.00	134.00	122.00	110.00	98.00
Percent Profitable	60.51	64.52	69.74	71.92	78.57	80.60	86.89	99.09	100.00
Average Period Return	0.45	1.33	2.51	4.90	7.28	9.98	14.82	18.72	23.48
Average Gain	1.90	3.45	4.88	7.84	10.29	13.27	17.78	18.90	23.48
Average Loss	-1.76	-2.53	-2.94	-2.64	-3.75	-3.70	-4.75	-0.67
Best Period	8.45	10.72	14.88	21.16	25.77	29.70	39.75	47.45	46.08
Worst Period	-8.53	-6.52	-8.89	-10.39	-10.17	-10.73	-9.13	-0.67	9.35
Standard Deviation	2.32	3.58	4.61	6.93	8.56	9.71	10.64	10.37	9.44
Gain Standard Deviation	1.49	2.32	3.21	5.79	7.01	7.67	7.90	10.24	9.44
Loss Standard Deviation	1.48	1.78	1.90	2.44	2.53	2.95	2.31
Sharpe Ratio (1%)	0.16	0.30	0.44	0.56	0.67	0.82	1.11	1.41	1.95
Average Gain / Average Loss	1.08	1.36	1.66	2.97	2.74	3.59	3.74	28.36
Profit / Loss Ratio	1.66	2.47	3.82	7.62	10.05	14.91	24.78	3090.71
Downside Deviation (10%)	1.64	2.48	3.20	4.55	5.96	7.00	8.39	8.70	8.58
Downside Deviation (5%)	1.48	1.96	2.16	2.32	2.70	2.82	2.95	0.84
Downside Deviation (0%)	1.44	1.84	1.92	1.89	2.08	2.07	1.90	0.06
Sortino Ratio (10%)	0.03	0.04	0.01	-0.02	-0.05	-0.04	-0.11	-0.33	-0.48
Sortino Ratio (5%)	0.25	0.55	0.93	1.68	2.14	2.82	4.00	17.35
Sortino Ratio (0%)	0.32	0.72	1.31	2.59	3.49	4.82	7.79	294.59

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.

^#9

Top Performer

DIVERSIFIED TRADER INDEX

MAY
2015

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Endeavour Pembroke	5.26%

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Endeavour Capital LLP : Endeavour Pembroke

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Endeavour Capital LLP : Endeavour Pembroke

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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