EQA Partners LP : EQA Global Macro Program

archived programs
Year-to-Date
N / A
Aug Performance
0.41%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
3.72%
Sharpe (RFR=1%)
0.46
CAROR
2.68%
Assets
$ 16.3M
Worst DD
-6.63
S&P Correlation
-0.45

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
3/2007
EQA Global Macro Program 0.41 - - - - - 1.43 12.66
S&P 500 -5.68 - - - - - 7.52 143.81
+/- S&P 500 6.09 - - - - - -6.09 -131.14

Strategy Description

Summary

EQA employs a discretionary portfolio management process that is based on multi-model quantitative research. Combining the judgment and expertise of our experienced portfolio management team with our transparent, dynamic quantitative systems allows us to enhance returns and control... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 70.00%
Systematic 30.00%

Strategy

Composition

Summary

EQA employs a discretionary portfolio management process that is based on multi-model quantitative research. Combining the judgment and expertise of our experienced portfolio management team with our transparent, dynamic quantitative systems allows us to enhance returns and control risks simultaneously. This approach enables us to incorporate market conditions which are not otherwise captured in a quantitative-only approach.

Investment Strategy

Our multi-model quantitative system produces portfolios constructed with multiple themes that incorporate both speculative and hedge positions. By allocating among our models, the portfolio management team seeks a blended portfolio that has the greatest upside potential for a given risk level and exhibits the traits of stability and diversification. Risk management is integrated into the portfolio construction process and the result of our discretionary blending process is a balanced portfolio, not simply a series of stacked trades. Portfolio risk is also evaluated on a continuous basis as market conditions evolve. By using this hybrid approach, our portfolio management team has captured most of the models’ upside and limited most of the models’ drawdowns.

Fully Integrated Risk Management throughout the Investment Process: We construct appropriate risk-adjusted portfolios by taking into account current market risk factors, the models’ views on risk and expert information on systemic risk. We believe if you are simply measuring risk after trades are made, you are monitoring risk, not managing risk. Since relying solely on the risk management built into the research models would constitute model risk, we also apply separate, market-based, risk models to the actual portfolio. We continuously monitor the risk profile to ensure that it is inline with our research models’ expectations.

Risk Management

Liquidity, Credit and Operational Risks: We are fully aware that risk extends beyond just market volatility and that often what creates the greatest risk for a portfolio has little to do with daily market variability. Even though our investment strategies are designed to o!er high liquidity with very low credit risk, we routinely evaluate these positions and adjust the strategy if necessary. Operational risk is greatly mitigated by our state-of-the-art technology, which delivers straightthrough processing of our trading activity requiring a single point of entry for all positions. Positions are then twice reconciled against the prime broker’s positions by our systems before they are reconciled a third time by our fund administrator. This data is the basis for our data warehouse which stores everything from the models’ output and complete trading activity to the final performance values determined by our fund administrator.

   

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
-6.63 13 - 2/1/2009 3/1/2010
-1.69 2 2 9/1/2007 11/1/2007
-0.64 2 1 3/1/2007 5/1/2007
-0.40 1 1 12/1/2008 1/1/2009
-0.34 1 1 8/1/2008 9/1/2008
-0.28 1 1 7/1/2007 8/1/2007
-0.15 1 1 10/1/2008 11/1/2008
-0.12 1 1 4/1/2008 5/1/2008
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
5.86 5 12/1/2007 4/1/2008
4.09 2 8/1/2010 9/1/2010
2.40 3 4/1/2010 6/1/2010
2.27 2 7/1/2011 8/1/2011
2.25 2 6/1/2007 7/1/2007
2.16 1 9/1/2007 9/1/2007
1.88 1 10/1/2008 10/1/2008
1.73 3 2/1/2011 4/1/2011
1.63 2 6/1/2008 7/1/2008
1.31 1 2/1/2009 2/1/2009
0.93 2 9/1/2009 10/1/2009
0.60 1 12/1/2008 12/1/2008
0.45 1 3/1/2007 3/1/2007
0.28 1 12/1/2010 12/1/2010
0.23 2 1/1/2010 2/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-4.29 6 3/1/2009 8/1/2009
-2.35 1 1/1/2011 1/1/2011
-2.04 2 11/1/2009 12/1/2009
-1.69 2 10/1/2007 11/1/2007
-1.56 1 3/1/2010 3/1/2010
-0.76 2 5/1/2011 6/1/2011
-0.64 2 4/1/2007 5/1/2007
-0.55 2 10/1/2010 11/1/2010
-0.40 1 1/1/2009 1/1/2009
-0.39 1 7/1/2010 7/1/2010
-0.34 2 8/1/2008 9/1/2008
-0.28 1 8/1/2007 8/1/2007
-0.15 1 11/1/2008 11/1/2008
-0.12 1 5/1/2008 5/1/2008
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods54.0052.0049.0043.0037.0031.0019.00
Percent Profitable53.7063.4661.2267.4475.6870.97100.00
Average Period Return0.230.651.272.532.892.875.39
Average Gain0.961.773.184.924.824.695.39
Average Loss-0.65-1.31-1.76-2.44-3.10-1.59
Best Period3.184.616.849.1411.5613.039.14
Worst Period-2.35-3.13-4.29-5.31-4.92-3.180.47
Standard Deviation1.071.802.784.224.824.312.76
Gain Standard Deviation0.791.131.542.683.873.762.76
Loss Standard Deviation0.630.761.011.690.940.92
Sharpe Ratio (1%)0.130.220.280.360.290.200.85
Average Gain / Average Loss1.481.351.812.021.562.96
Profit / Loss Ratio1.782.352.864.184.847.23
Downside Deviation (10%)0.821.632.744.606.568.4910.72
Downside Deviation (5%)0.641.041.532.172.332.080.66
Downside Deviation (0%)0.600.911.251.671.590.97
Sortino Ratio (10%)-0.22-0.36-0.44-0.54-0.72-0.87-0.97
Sortino Ratio (5%)0.220.380.500.700.600.413.55
Sortino Ratio (0%)0.380.711.011.511.822.95

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.