Estlander & Partners : Global Markets

archived programsClosed to new investments
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

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
8/1999
Global Markets -2.86 -8.43 - -1.89 -8.03 0.15 6.66 73.28
S&P 500 -6.26 -6.42 - -1.56 40.21 87.92 61.58 49.34
+/- S&P 500 3.40 -2.02 - -0.33 -48.24 -87.76 -54.92 23.95

Strategy Description

Summary

Estlander & 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

Estlander & 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 Strategy

Estlander & 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 Management

Risk 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.

   

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
-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
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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
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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
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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.