Estlander & Partners : Global Markets Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance -2.86% Min Investment $ 10,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 10.77% Sharpe (RFR=1%) 0.28 CAROR 3.48% Assets $ 32.0M Worst DD -14.99 S&P Correlation -0.05 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since8/1999 Global Markets -2.86 - - - - - -9.44 73.28 S&P 500 -6.26 - - - - - 61.58 194.92 +/- S&P 500 3.40 - - - - - -71.03 -121.64 Strategy Description SummaryEstlander & Partners Global Markets is a highly diversified global futures trading programme that aims at producing attractive risk adjusted returns and low correlation to traditional investments. The program adopts a diversified trading approach, including strategies capturing global... Read More Account & Fees Type Managed Account Minimum Investment $ 10,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.00% 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 10% Targeted Worst DD -12.00% Worst Peak-to-Trough 15.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 4.00% 4-12 Months 21.00% 1-3 Months 46.00% 1-30 Days 23.00% Intraday 6.00% Decision-Making Discretionary 20.00% Systematic 80.00% Strategy Counter-trend 10.00% Seasonal/cyclical 10.00% Trend-following 60.00% Other 20.00% Composition Interest Rates 22.00% Stock Indices 21.00% Currency Futures 20.00% Energy 9.00% Industrial Metals 7.00% Precious Metals 7.00% Grains 6.00% Softs 5.00% Other 3.00% SummaryEstlander & Partners Global Markets is a highly diversified global futures trading programme that aims at producing attractive risk adjusted returns and low correlation to traditional investments. The program adopts a diversified trading approach, including strategies capturing global price trends in multiple time frames, ranging from intraday to several months. In addition systematic macro models are applied. These will hold small positions when expected return expectations are low. The diversified trading approach is combined with prudent risk management on several layers. The historical track record goes back to 1991. 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.Investment StrategyEstlander & Partners Global Markets adopt a systematic trading approach to global and liquid futures and forward markets. Over 110 markets are traded in the programme, where price and fundamental information is used for decision making. The core parts of Global Markets 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 Macro models take further advantage of non-price information in the decision making process. The models take advantage of global capital flows based on economic trends and extract time-varying risk premia and value opportunities. The models provide a diversifying return stream to the trend-following models. Counter-trend models models are trading on horizons ranging from a few hours to approximately 10 days. These models are a positive diversifier to the price driven trend and systematic macro models. 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 ManagementRisk management is conducted on three levels: Portfolio level Market cluster level Position level. On the portfolio level, risk management controls the overall exposure of the portfolio. When predefined maximum risk levels are met, instructions to the market cluster level are sent to reduce exposure to reinstate an overall risk level. Such instructions alter the tolerance levels of the clusters. Risk Management on the cluster level has two main functions: Firstly, it balances and controls the risk level of each market cluster. Secondly, it maintains the proper balance between the clusters, which supports the overall diversification of the portfolio. All controls are made on a continuous basis, and any changes in the environment are taken into account. Risk management on position level controls the individual risk and adjusts for changes in instrument volatility to maintain a constant risk level. The target annual volatility of the strategy is 10%, which sets all individual position, cluster and portfolio VaR limits. 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 -14.99 6 10 2/1/2004 8/1/2004 -13.97 35 - 4/1/2011 3/1/2014 -12.42 21 6 11/1/2005 8/1/2007 -11.59 6 5 10/1/2001 4/1/2002 -9.88 6 6 2/1/2003 8/1/2003 -7.58 3 2 1/1/0001 10/1/1999 -6.96 4 2 3/1/2001 7/1/2001 -5.87 3 3 4/1/2010 7/1/2010 -5.68 3 1 6/1/2008 9/1/2008 -5.22 2 3 11/1/2009 1/1/2010 -5.16 2 1 8/1/2005 10/1/2005 -3.97 2 1 9/1/2002 11/1/2002 -3.59 2 3 2/1/2009 4/1/2009 -2.77 3 2 3/1/2000 6/1/2000 -2.68 3 1 2/1/2008 5/1/2008 -1.61 1 1 10/1/2010 11/1/2010 -1.42 1 1 8/1/2000 9/1/2000 -1.35 1 1 2/1/2011 3/1/2011 -1.11 1 1 12/1/2010 1/1/2011 -0.94 1 2 7/1/2009 8/1/2009 -0.45 1 1 12/1/2000 1/1/2001 -0.28 1 1 6/1/2005 7/1/2005 Show More Consecutive Gains Run-up Length (Mos.) Start End 17.05 5 11/1/1999 3/1/2000 16.51 3 12/1/2002 2/1/2003 14.51 6 9/1/2003 2/1/2004 13.66 5 5/1/2002 9/1/2002 13.33 4 9/1/2004 12/1/2004 13.02 3 4/1/2007 6/1/2007 12.60 2 9/1/2007 10/1/2007 12.25 3 8/1/2001 10/1/2001 11.10 2 2/1/2001 3/1/2001 11.00 5 10/1/2008 2/1/2009 8.25 3 10/1/2000 12/1/2000 8.04 3 8/1/2010 10/1/2010 7.52 2 5/1/2005 6/1/2005 6.54 2 1/1/2008 2/1/2008 6.49 1 11/1/2005 11/1/2005 6.46 3 7/1/2012 9/1/2012 6.01 3 2/1/2010 4/1/2010 5.75 3 7/1/2006 9/1/2006 5.71 2 7/1/2000 8/1/2000 5.08 3 1/1/2015 3/1/2015 4.77 3 4/1/2014 6/1/2014 4.32 1 4/1/2011 4/1/2011 4.07 3 12/1/2011 2/1/2012 3.95 1 12/1/2010 12/1/2010 3.66 1 7/1/2011 7/1/2011 3.64 1 12/1/2001 12/1/2001 3.39 1 5/1/2003 5/1/2003 3.25 1 5/1/2009 5/1/2009 3.15 3 9/1/2009 11/1/2009 3.14 1 1/1/2006 1/1/2006 2.89 1 11/1/2006 11/1/2006 2.87 1 6/1/2008 6/1/2008 2.86 1 2/1/2011 2/1/2011 2.69 1 4/1/2013 4/1/2013 2.69 1 7/1/2009 7/1/2009 2.32 2 12/1/2012 1/1/2013 2.29 2 8/1/2014 9/1/2014 2.21 2 5/1/2001 6/1/2001 2.06 1 11/1/2014 11/1/2014 2.04 1 8/1/2005 8/1/2005 1.48 2 9/1/2013 10/1/2013 1.16 1 2/1/2014 2/1/2014 0.88 1 5/1/2012 5/1/2012 0.61 1 4/1/2006 4/1/2006 0.33 1 5/1/2000 5/1/2000 0.10 1 4/1/2008 4/1/2008 0.10 1 2/1/2002 2/1/2002 Show More Consecutive Losses Run-up Length (Mos.) Start End -14.99 6 3/1/2004 8/1/2004 -12.30 2 7/1/2007 8/1/2007 -9.57 5 4/1/2015 8/1/2015 -8.77 3 6/1/2003 8/1/2003 -8.01 2 5/1/2006 6/1/2006 -7.64 1 11/1/2001 11/1/2001 -7.58 3 8/1/1999 10/1/1999 -7.50 4 5/1/2013 8/1/2013 -6.89 2 5/1/2011 6/1/2011 -6.84 1 4/1/2001 4/1/2001 -6.75 4 12/1/2006 3/1/2007 -5.87 3 5/1/2010 7/1/2010 -5.68 3 7/1/2008 9/1/2008 -5.58 2 3/1/2002 4/1/2002 -5.22 2 12/1/2009 1/1/2010 -5.16 2 9/1/2005 10/1/2005 -4.94 4 8/1/2011 11/1/2011 -4.46 2 3/1/2003 4/1/2003 -4.41 2 2/1/2006 3/1/2006 -4.35 2 11/1/2007 12/1/2007 -4.19 1 6/1/2012 6/1/2012 -3.97 2 10/1/2002 11/1/2002 -3.78 2 10/1/2012 11/1/2012 -3.59 2 3/1/2009 4/1/2009 -3.49 1 12/1/2005 12/1/2005 -3.08 4 1/1/2005 4/1/2005 -2.88 3 11/1/2013 1/1/2014 -2.29 1 7/1/2001 7/1/2001 -2.28 1 1/1/2002 1/1/2002 -2.27 1 3/1/2014 3/1/2014 -2.13 1 3/1/2008 3/1/2008 -2.11 2 3/1/2012 4/1/2012 -1.84 2 2/1/2013 3/1/2013 -1.75 1 4/1/2000 4/1/2000 -1.61 1 11/1/2010 11/1/2010 -1.42 1 9/1/2000 9/1/2000 -1.36 1 6/1/2000 6/1/2000 -1.35 1 3/1/2011 3/1/2011 -1.12 1 10/1/2006 10/1/2006 -1.11 1 1/1/2011 1/1/2011 -0.94 1 8/1/2009 8/1/2009 -0.72 1 7/1/2014 7/1/2014 -0.66 1 12/1/2014 12/1/2014 -0.66 1 5/1/2008 5/1/2008 -0.45 1 1/1/2001 1/1/2001 -0.28 1 6/1/2009 6/1/2009 -0.28 1 7/1/2005 7/1/2005 -0.23 1 10/1/2014 10/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods193.00191.00188.00182.00176.00170.00158.00146.00134.00 Percent Profitable51.8158.6461.7065.9375.5778.8285.4489.0499.25 Average Period Return0.331.032.174.185.987.5311.3614.7618.67 Average Gain2.614.325.948.219.3910.6014.2216.9618.81 Average Loss-2.12-3.64-3.90-3.63-4.57-3.90-5.44-3.12-0.20 Best Period8.7216.5119.7222.2232.2848.2946.1658.7354.39 Worst Period-10.23-12.49-14.99-9.50-12.28-11.55-13.56-8.77-0.20 Standard Deviation3.115.036.077.518.659.5012.2212.8012.73 Gain Standard Deviation2.063.463.955.816.948.2310.7911.7912.67 Loss Standard Deviation1.972.653.362.753.132.803.312.34 Sharpe Ratio (1%)0.080.150.280.420.520.580.680.841.07 Average Gain / Average Loss1.231.191.522.262.052.722.615.4491.92 Profit / Loss Ratio1.331.682.464.386.3510.1215.3444.1912225.98 Downside Deviation (10%)2.223.564.475.476.727.8110.7312.6714.22 Downside Deviation (5%)2.053.023.413.143.383.033.502.631.26 Downside Deviation (0%)2.002.893.172.652.732.202.421.280.02 Sortino Ratio (10%)-0.03-0.06-0.07-0.15-0.24-0.35-0.41-0.54-0.63 Sortino Ratio (5%)0.120.260.491.011.321.822.384.0710.79 Sortino Ratio (0%)0.170.360.681.582.193.434.7011.561056.08 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 8 4.84 8/2006 Diversified Trader Index Month 8 4.84 8/2006 Systematic Trader Index Month 9 4.84 8/2006 Trend Following Strategy Index Month 5 0.62 7/2006 Trend Following Strategy Index Month 9 -1.22 1/2005 Trend Following Strategy Index Month 8 -0.60 6/2004 Trend Following Strategy Index Month 6 1.30 11/2003 Trend Following Strategy Index Month 7 0.10 2/2002 Diversified Trader Index Month 10 0.10 2/2002 Trend Following Strategy Index Month 9 0.45 7/2000 Systematic Trader Index Month 10 7.66 12/1999 Trend Following Strategy Index Month 8 7.66 12/1999 Diversified Trader Index Month 10 7.66 12/1999 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