Estlander & Partners : Freedom

Year-to-Date
1.84%
Apr Performance
-0.34%
Min Investment
$ 20,000k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
11.07%
Sharpe (RFR=1%)
-0.04
CAROR
-0.10%
Assets
$ 122.0M
Worst DD
-25.81
S&P Correlation
0.00

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
8/2010
Freedom -0.34 1.03 -1.84 -6.39 10.80 -3.71 - -0.69
S&P 500 0.91 4.62 6.49 15.44 26.55 70.55 - 125.13
+/- S&P 500 -1.25 -3.59 -8.33 -21.83 -15.75 -74.27 - -125.81

Strategy Description

Summary

Estlander & Partners Freedom is a highly diversified global futures trading programme that aims at capitalising on price trends in both rising and falling markets, whilst employing strict risk management policies to ensure that downside is controlled. Positions are initiated based... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 20,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.75%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-16.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
2.00%
4-12 Months
15.00%
1-3 Months
46.00%
1-30 Days
33.00%
Intraday
4.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
5.00%
Fundamental
15.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Interest Rates
22.00%
Currency Futures
18.00%
Stock Indices
15.00%
Energy
10.00%
Industrial Metals
9.00%
Softs
8.00%
Precious Metals
7.00%
Grains
7.00%
Other
4.00%
Composition Pie Chart

Summary

Estlander & Partners Freedom is a highly diversified global futures trading programme that aims at capitalising on price trends in both rising and falling markets, whilst employing strict risk management policies to ensure that downside is controlled. Positions are initiated based on signals generated based on price patterns and analysis of relevant fundamental information. The programme is available both as on-shore non-UCITS and UCITS. The information is provided on strategy level for the investment program in question. Performance figures and other information on funds applying the investment program in question are available by contacting Estlander & Partners Ltd. The Freedom Programme is a combination the investment models employed in other EP programs with actual track records that go back to 1991. Actual trading with the Freedom Programme was commenced on 12 July 2010.

Investment Strategy

Estlander & Partners Freedom adopt a systematic trading approach to global and liquid futures and forward markets. Over 120 markets are traded in the programme, where price and fundamental information is used for decision making. The core parts of Freedom are trend following models. Return extraction is based on behavioural biases and cyclical risk premiums as well as changes in global economies. Here, models with holding periods from a few hours up to several months are combined. In the decision making process, data from the underlying market as well as related markets is used. Positions are both long and short. Systematic Fundamental models take further advantage of non-price information in the decision making process. The models provide a diversifying return stream to the trend-following models. Systematic Macro take advantage of global capital flows based on economic trends and extract time-varying risk premia and value opportunities. Risk is balanced in the portfolio with Achilles risk management. It is a forward looking estimation of the worst case outcome (including correlation breakdowns) for each model.

Risk Management

The risk management applied by the company in respect of the Freedom Programme builds upon risk targeting in combination with limited tail risk. The general risk level of the Freedom Programme is targeted to a long-term volatility of 16% in annualized terms. The individual models facilitate this by adjusting to the varying volatilities and correlations in the underlying markets to keep risk taking balanced both over time and markets. As the targeting is long-term, the exposure at any single point in time is highly dependent on estimated opportunities and risks. In order to limit tail risk, a proprietary stress test measure named Achilles is used. Through dynamic forward simulation of future market outcomes, taking model response into account, a worst case scenario is built. By keeping the risk from such scenarios limited, the overall risk from unforeseen changes in the marketplace can be mitigated and the drawdown risk can be decreased. Value at risk is mainly used for regulatory purposes and external reporting.

   

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
-25.81 36 - 4/1/2011 4/1/2014
-1.64 1 1 10/1/2010 11/1/2010
-1.10 1 1 12/1/2010 1/1/2011
-1.07 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
15.67 5 11/1/2014 3/1/2015
10.18 3 8/1/2010 10/1/2010
7.49 3 12/1/2012 2/1/2013
7.43 2 11/1/2016 12/1/2016
6.26 2 1/1/2016 2/1/2016
6.14 1 7/1/2012 7/1/2012
5.55 2 8/1/2014 9/1/2014
5.50 2 4/1/2012 5/1/2012
5.44 1 12/1/2010 12/1/2010
5.17 3 7/1/2011 9/1/2011
4.98 1 4/1/2011 4/1/2011
4.77 2 5/1/2014 6/1/2014
3.68 3 12/1/2011 2/1/2012
3.64 1 11/1/2015 11/1/2015
3.27 1 4/1/2013 4/1/2013
2.94 1 2/1/2011 2/1/2011
2.30 1 2/1/2014 2/1/2014
1.81 1 7/1/2015 7/1/2015
1.65 1 7/1/2016 7/1/2016
1.56 1 9/1/2015 9/1/2015
1.38 1 10/1/2013 10/1/2013
1.37 2 2/1/2017 3/1/2017
0.68 1 12/1/2013 12/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.81 5 5/1/2013 9/1/2013
-10.45 2 10/1/2011 11/1/2011
-10.30 2 5/1/2011 6/1/2011
-9.93 4 8/1/2012 11/1/2012
-9.69 4 3/1/2016 6/1/2016
-8.21 3 8/1/2016 10/1/2016
-6.43 3 4/1/2015 6/1/2015
-6.32 1 6/1/2012 6/1/2012
-4.35 2 3/1/2014 4/1/2014
-3.98 1 3/1/2012 3/1/2012
-3.15 1 10/1/2015 10/1/2015
-2.84 1 1/1/2017 1/1/2017
-2.57 1 1/1/2014 1/1/2014
-2.17 1 12/1/2015 12/1/2015
-2.05 1 8/1/2015 8/1/2015
-1.64 1 11/1/2010 11/1/2010
-1.27 1 10/1/2014 10/1/2014
-1.10 1 1/1/2011 1/1/2011
-1.07 1 3/1/2011 3/1/2011
-0.61 1 11/1/2013 11/1/2013
-0.34 1 4/1/2017 4/1/2017
-0.24 1 3/1/2013 3/1/2013
-0.15 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00
Percent Profitable50.6251.9040.7930.0034.3841.3860.8726.47
Average Period Return0.040.01-0.29-1.36-1.42-1.33-1.87-2.57
Average Gain2.614.377.0911.1611.489.965.433.97
Average Loss-2.59-4.69-5.37-6.72-8.18-9.30-13.22-4.93
Best Period6.4515.0619.9025.6221.9519.8912.006.17
Worst Period-8.08-10.38-12.16-15.68-19.01-18.67-25.81-11.31
Standard Deviation3.205.507.629.6110.7310.7010.524.63
Gain Standard Deviation1.733.155.507.126.725.413.621.81
Loss Standard Deviation1.953.063.683.714.204.396.912.56
Sharpe Ratio (1%)-0.01-0.04-0.10-0.25-0.27-0.31-0.47-1.43
Average Gain / Average Loss1.010.931.321.661.401.070.410.81
Profit / Loss Ratio1.031.010.910.710.740.760.640.29
Downside Deviation (10%)2.514.616.6810.2913.3215.5120.4724.55
Downside Deviation (5%)2.324.015.327.168.549.2711.048.03
Downside Deviation (0%)2.273.874.996.417.437.859.284.74
Sortino Ratio (10%)-0.15-0.26-0.41-0.62-0.68-0.75-0.86-0.98
Sortino Ratio (5%)-0.02-0.06-0.15-0.33-0.34-0.36-0.44-0.83
Sortino Ratio (0%)0.020.00-0.06-0.21-0.19-0.17-0.20-0.54

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Sharpe 5 3.37 2009 - 2010

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