Estlander & Partners : Global XL

archived programsClosed to new investments
Year-to-Date
N / A
Aug Performance
-5.68%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.91%
Sharpe (RFR=1%)
0.43
CAROR
8.76%
Assets
$ 16.0M
Worst DD
-28.15
S&P Correlation
-0.02

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
8/1991
Global XL -5.68 -16.28 - -3.76 -16.40 -2.28 3.92 656.13
S&P 500 -6.26 -6.42 - -1.56 40.21 87.92 61.58 398.66
+/- S&P 500 0.58 -9.86 - -2.20 -56.61 -90.20 -57.67 257.47

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
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
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
20%
Targeted Worst DD
30.00%
Worst Peak-to-Trough
-28.00%
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.

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. The Global XL program operates at two times the leverage of the Global Markets program. The information is provided on strategy level for the investment programme in question. Performance figures and other information on funds applying the investment programme in question are available by contacting Estlander & Partners Ltd.

Risk Management

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 and is used for balancing risk in the models.

   

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
-28.15 13 10 9/1/1998 10/1/1999
-27.57 6 12 2/1/2004 8/1/2004
-27.38 35 - 4/1/2011 3/1/2014
-27.32 21 15 11/1/2005 8/1/2007
-24.25 6 9 10/1/2001 4/1/2002
-19.97 5 3 11/1/1996 4/1/1997
-18.55 2 6 1/1/1996 3/1/1996
-18.25 5 2 5/1/1995 10/1/1995
-17.98 6 1 1/1/1998 7/1/1998
-17.26 15 2 10/1/1993 1/1/1995
-17.04 6 6 2/1/2003 8/1/2003
-16.85 4 3 3/1/2001 7/1/2001
-11.60 3 3 4/1/2010 7/1/2010
-10.30 2 3 11/1/2009 1/1/2010
-9.80 2 1 8/1/2005 10/1/2005
-9.51 5 2 10/1/1992 3/1/1993
-7.23 1 3 5/1/1993 6/1/1993
-7.15 2 3 2/1/2009 4/1/2009
-7.12 2 1 1/1/0001 9/1/1991
-6.87 1 1 7/1/1997 8/1/1997
-5.45 1 2 9/1/1997 10/1/1997
-4.70 1 1 8/1/2000 9/1/2000
-4.25 3 3 12/1/1991 3/1/1992
-3.25 1 1 10/1/2010 11/1/2010
-2.79 1 1 2/1/2011 3/1/2011
-2.27 1 1 12/1/2010 1/1/2011
-1.92 1 2 7/1/2009 8/1/2009
-0.91 1 1 12/1/2000 1/1/2001
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
64.12 4 2/1/1995 5/1/1995
56.46 4 8/1/1996 11/1/1996
35.74 7 4/1/1992 10/1/1992
34.90 3 12/1/2002 2/1/2003
33.90 3 11/1/1995 1/1/1996
31.30 2 8/1/1998 9/1/1998
30.70 3 5/1/1997 7/1/1997
29.25 6 9/1/2003 2/1/2004
29.20 2 11/1/1999 12/1/1999
28.20 3 4/1/2007 6/1/2007
27.60 5 5/1/2002 9/1/2002
27.15 4 9/1/2004 12/1/2004
26.78 2 9/1/2007 10/1/2007
26.55 3 8/1/2001 10/1/2001
26.42 3 10/1/1991 12/1/1991
24.21 5 10/1/2008 2/1/2009
22.21 2 2/1/2001 3/1/2001
19.87 3 10/1/2000 12/1/2000
16.69 3 8/1/2010 10/1/2010
15.35 2 5/1/2005 6/1/2005
14.08 2 1/1/2008 2/1/2008
13.77 2 4/1/1993 5/1/1993
13.27 3 7/1/2012 9/1/2012
13.09 1 11/1/2005 11/1/2005
12.40 1 8/1/2000 8/1/2000
12.34 3 11/1/1997 1/1/1998
12.17 3 2/1/2010 4/1/2010
11.80 1 4/1/1999 4/1/1999
10.74 4 7/1/1993 10/1/1993
10.73 3 1/1/2015 3/1/2015
10.69 3 7/1/2006 9/1/2006
9.99 1 5/1/1998 5/1/1998
9.78 1 4/1/1996 4/1/1996
9.56 3 4/1/2014 6/1/2014
8.69 1 4/1/2011 4/1/2011
8.32 1 9/1/1997 9/1/1997
8.22 3 12/1/2011 2/1/2012
8.06 1 12/1/2010 12/1/2010
7.52 1 7/1/2011 7/1/2011
7.42 1 12/1/2001 12/1/2001
6.65 1 1/1/2006 1/1/2006
6.61 1 5/1/2009 5/1/2009
6.47 1 5/1/1994 5/1/1994
6.18 3 9/1/2009 11/1/2009
6.14 1 6/1/2008 6/1/2008
6.11 1 5/1/2003 5/1/2003
5.78 1 2/1/2011 2/1/2011
5.69 1 11/1/2006 11/1/2006
5.44 1 7/1/2009 7/1/2009
5.42 1 4/1/2013 4/1/2013
4.56 1 3/1/1994 3/1/1994
4.56 2 8/1/2014 9/1/2014
4.53 2 12/1/2012 1/1/2013
4.16 1 11/1/2014 11/1/2014
4.07 1 2/1/2000 2/1/2000
4.01 1 3/1/1998 3/1/1998
3.87 1 8/1/2005 8/1/2005
3.34 2 1/1/1997 2/1/1997
3.12 1 2/1/1999 2/1/1999
2.91 2 5/1/2001 6/1/2001
2.85 1 10/1/2013 10/1/2013
2.75 1 12/1/1993 12/1/1993
2.44 1 9/1/1994 9/1/1994
2.31 1 2/1/2014 2/1/2014
2.20 1 11/1/1994 11/1/1994
1.88 1 4/1/2006 4/1/2006
1.76 1 2/1/1993 2/1/1993
1.71 1 5/1/2012 5/1/2012
1.10 1 6/1/1999 6/1/1999
0.89 1 5/1/2000 5/1/2000
0.45 1 12/1/1992 12/1/1992
0.41 1 12/1/1998 12/1/1998
0.29 1 7/1/1995 7/1/1995
0.21 1 2/1/2002 2/1/2002
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-27.57 6 3/1/2004 8/1/2004
-23.96 2 7/1/2007 8/1/2007
-19.98 4 7/1/1999 10/1/1999
-18.55 2 2/1/1996 3/1/1996
-18.37 5 4/1/2015 8/1/2015
-16.38 2 3/1/1997 4/1/1997
-16.24 1 11/1/2001 11/1/2001
-16.01 3 6/1/2003 8/1/2003
-15.59 3 8/1/1995 10/1/1995
-15.40 1 4/1/1998 4/1/1998
-14.95 1 4/1/2001 4/1/2001
-14.93 2 5/1/2006 6/1/2006
-14.59 5 5/1/2013 9/1/2013
-13.84 4 12/1/2006 3/1/2007
-13.57 2 5/1/2011 6/1/2011
-12.71 2 1/1/1994 2/1/1994
-11.60 3 5/1/2010 7/1/2010
-11.53 2 3/1/2002 4/1/2002
-11.32 3 7/1/2008 9/1/2008
-10.88 2 6/1/1998 7/1/1998
-10.30 2 12/1/2009 1/1/2010
-10.05 2 2/1/2006 3/1/2006
-9.87 4 8/1/2011 11/1/2011
-9.80 2 9/1/2005 10/1/2005
-8.98 2 11/1/2007 12/1/2007
-8.97 1 12/1/2005 12/1/2005
-8.92 1 5/1/1999 5/1/1999
-8.34 1 6/1/2012 6/1/2012
-8.14 2 10/1/2002 11/1/2002
-7.50 2 10/1/2012 11/1/2012
-7.47 3 5/1/1996 7/1/1996
-7.39 1 12/1/1996 12/1/1996
-7.23 1 6/1/1993 6/1/1993
-7.15 2 3/1/2009 4/1/2009
-7.12 2 8/1/1991 9/1/1991
-6.91 2 3/1/2003 4/1/2003
-6.87 1 8/1/1997 8/1/1997
-6.82 2 12/1/1994 1/1/1995
-6.81 3 6/1/1994 8/1/1994
-6.48 2 10/1/1998 11/1/1998
-6.12 4 1/1/2005 4/1/2005
-6.06 3 3/1/2008 5/1/2008
-5.82 3 11/1/2013 1/1/2014
-5.72 1 1/1/1993 1/1/1993
-5.62 1 1/1/1999 1/1/1999
-5.45 1 10/1/1997 10/1/1997
-5.24 1 10/1/1994 10/1/1994
-5.04 1 1/1/2002 1/1/2002
-4.99 1 7/1/2001 7/1/2001
-4.91 1 2/1/1998 2/1/1998
-4.70 1 9/1/2000 9/1/2000
-4.56 1 3/1/1999 3/1/1999
-4.53 1 3/1/2014 3/1/2014
-4.35 2 3/1/2012 4/1/2012
-4.25 3 1/1/1992 3/1/1992
-4.14 2 6/1/2000 7/1/2000
-3.69 2 2/1/2013 3/1/2013
-3.66 1 11/1/1993 11/1/1993
-3.52 1 11/1/1992 11/1/1992
-3.43 1 6/1/1995 6/1/1995
-3.25 1 11/1/2010 11/1/2010
-2.91 2 3/1/2000 4/1/2000
-2.79 1 3/1/2011 3/1/2011
-2.68 1 3/1/1993 3/1/1993
-2.27 1 1/1/2011 1/1/2011
-2.26 1 10/1/2006 10/1/2006
-1.92 1 8/1/2009 8/1/2009
-1.49 1 7/1/2014 7/1/2014
-1.34 1 12/1/2014 12/1/2014
-0.99 1 1/1/2000 1/1/2000
-0.91 1 1/1/2001 1/1/2001
-0.74 1 7/1/2005 7/1/2005
-0.61 1 6/1/2009 6/1/2009
-0.51 1 10/1/2014 10/1/2014
-0.16 1 4/1/1994 4/1/1994
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods289.00287.00284.00278.00272.00266.00254.00242.00230.00
Percent Profitable51.2156.1061.2767.6373.5377.8287.4089.2696.96
Average Period Return0.942.885.5110.6715.2720.5833.0247.3463.05
Average Gain5.9810.6214.0519.5023.5328.4439.2853.7565.10
Average Loss-4.39-7.01-7.99-7.79-7.68-6.99-10.38-5.91-2.36
Best Period28.0652.8558.9579.6675.36120.85160.67156.49179.27
Worst Period-20.17-22.47-27.57-24.21-22.61-25.86-26.75-18.35-3.63
Standard Deviation6.9011.9814.7118.1620.3325.0332.7538.9545.81
Gain Standard Deviation5.1310.0311.9415.1917.0722.7530.1636.2445.00
Loss Standard Deviation3.924.875.925.665.955.596.725.071.15
Sharpe Ratio (1%)0.120.220.340.530.680.740.921.111.27
Average Gain / Average Loss1.361.511.762.503.074.073.789.1027.59
Profit / Loss Ratio1.441.942.785.238.5114.2726.2675.60878.86
Downside Deviation (10%)4.306.347.488.008.618.8710.5010.459.46
Downside Deviation (5%)4.135.796.435.945.624.985.323.691.49
Downside Deviation (0%)4.095.656.185.474.984.204.372.530.45
Sortino Ratio (10%)0.120.260.410.710.891.171.642.473.75
Sortino Ratio (5%)0.210.450.781.632.453.735.6411.7238.93
Sortino Ratio (0%)0.230.510.891.953.064.907.5618.70139.64

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 6 6.34 5/2014
Trend Following Strategy Index Month 7 6.34 5/2014
Diversified Trader Index Month 8 6.34 5/2014
IASG CTA Index Month 10 6.34 5/2014
Trend Following Strategy Index Month 8 11.36 7/2012
Trend Following Strategy Index Month 10 1.88 10/2009
Trend Following Strategy Index Month 6 5.44 7/2009
Systematic Trader Index Month 6 13.60 4/2007
IASG CTA Index Month 7 13.60 4/2007
Diversified Trader Index Month 6 13.60 4/2007
Trend Following Strategy Index Month 4 13.60 4/2007
Trend Following Strategy Index Month 1 9.43 8/2006
IASG CTA Index Month 2 9.43 8/2006
Systematic Trader Index Month 2 9.43 8/2006
Diversified Trader Index Month 2 9.43 8/2006
Trend Following Strategy Index Month 4 1.03 7/2006
Trend Following Strategy Index Month 7 8.34 6/2005
Systematic Trader Index Month 7 8.34 6/2005
Diversified Trader Index Month 7 8.34 6/2005
IASG CTA Index Month 10 8.34 6/2005
Trend Following Strategy Index Month 10 12.38 11/2004
Systematic Trader Index Month 10 12.38 11/2004
Diversified Trader Index Month 10 7.39 10/2004
Systematic Trader Index Month 9 7.39 10/2004
Trend Following Strategy Index Month 7 7.39 10/2004
IASG CTA Index Month 8 2.22 11/2003
Diversified Trader Index Month 6 2.22 11/2003
Trend Following Strategy Index Month 3 2.22 11/2003
Systematic Trader Index Month 3 2.22 11/2003
Trend Following Strategy Index Month 7 13.16 1/2003
IASG CTA Index Month 9 13.16 1/2003
Systematic Trader Index Month 8 13.16 1/2003
Diversified Trader Index Month 9 13.16 1/2003
Diversified Trader Index Month 9 0.21 2/2002
Trend Following Strategy Index Month 6 0.21 2/2002
IASG CTA Index Month 5 7.42 12/2001
Diversified Trader Index Month 3 7.42 12/2001
Trend Following Strategy Index Month 4 7.42 12/2001
Systematic Trader Index Month 4 7.42 12/2001
IASG CTA Index Month 10 11.42 9/2001
Diversified Trader Index Month 8 11.42 9/2001
Trend Following Strategy Index Month 9 11.42 9/2001
Systematic Trader Index Month 9 11.42 9/2001
IASG CTA Index Month 1 17.30 3/2001
Systematic Trader Index Month 1 17.30 3/2001
Diversified Trader Index Month 1 17.30 3/2001
Trend Following Strategy Index Month 1 17.30 3/2001
Trend Following Strategy Index Month 8 4.19 2/2001
Systematic Trader Index Month 9 4.19 2/2001
Diversified Trader Index Month 9 4.19 2/2001
Diversified Trader Index Month 7 5.95 10/2000
IASG CTA Index Month 7 5.95 10/2000
Systematic Trader Index Month 5 5.95 10/2000
Trend Following Strategy Index Month 4 5.95 10/2000
Systematic Trader Index Month 5 12.40 8/2000
Trend Following Strategy Index Month 5 12.40 8/2000
IASG CTA Index Month 6 12.40 8/2000
Diversified Trader Index Month 6 12.40 8/2000
Trend Following Strategy Index Month 7 4.07 2/2000
Systematic Trader Index Month 1 16.12 12/1999
Trend Following Strategy Index Month 1 16.12 12/1999
IASG CTA Index Month 2 16.12 12/1999
Diversified Trader Index Month 2 16.12 12/1999
IASG CTA Index 5 Year Rolling 9 153.56 1994 - 1999
Trend Following Strategy Index Month 3 11.26 11/1999
Systematic Trader Index Month 4 11.26 11/1999
IASG CTA Index Month 5 11.26 11/1999
Diversified Trader Index Month 5 11.26 11/1999
IASG CTA Index Month 3 11.80 4/1999
Systematic Trader Index Month 2 11.80 4/1999
Diversified Trader Index Month 3 11.80 4/1999
Trend Following Strategy Index Month 2 11.80 4/1999
IASG CTA Index 5 Year Rolling 10 120.34 1993 - 1998
Diversified Trader Index Month 9 28.06 8/1998
Systematic Trader Index Month 9 28.06 8/1998
Trend Following Strategy Index Month 9 28.06 8/1998
IASG CTA Index Month 9 28.06 8/1998
IASG CTA Index Month 4 9.99 5/1998
Diversified Trader Index Month 4 9.99 5/1998
Systematic Trader Index Month 4 9.99 5/1998
Trend Following Strategy Index Month 4 9.99 5/1998
Trend Following Strategy Index Month 4 4.01 3/1998
IASG CTA Index Month 6 4.01 3/1998
Diversified Trader Index Month 5 4.01 3/1998
Systematic Trader Index Month 4 4.01 3/1998
IASG CTA Index Month 8 5.96 1/1998
Diversified Trader Index Month 8 5.96 1/1998
Trend Following Strategy Index Month 8 5.96 1/1998
Systematic Trader Index Month 8 5.96 1/1998
IASG CTA Index 3 Year Rolling 6 139.37 1994 - 1997
Trend Following Strategy Index Month 6 8.32 9/1997
Diversified Trader Index Month 6 8.32 9/1997
Systematic Trader Index Month 6 8.32 9/1997
IASG CTA Index Month 6 8.32 9/1997
Trend Following Strategy Index Month 4 19.93 7/1997
Diversified Trader Index Month 4 19.93 7/1997
Systematic Trader Index Month 4 19.93 7/1997
IASG CTA Index Month 4 19.93 7/1997
Trend Following Strategy Index Month 8 4.58 6/1997
Systematic Trader Index Month 8 4.58 6/1997

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