Incline Investment Management, LLC : Zephyr Cove Crypto

Year-to-Date
11.82%
Sep Performance
-0.17%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
29.80%
Sharpe (RFR=1%)
-0.22
CAROR
-
Assets
$ 52k
Worst DD
-29.38
S&P Correlation
0.26

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
4/2018
Zephyr Cove Crypto -0.17 -29.38 -11.82 -8.25 - - - -13.37
S&P 500 1.72 1.19 18.74 2.15 - - - 12.40
+/- S&P 500 -1.89 -30.57 -30.56 -10.40 - - - -25.78

Strategy Description

Summary

The Zephyr Cove Crypto Strategy is a single market strategy investing only in CME and CBOE Bitcoin Futures contracts using a 100% systematic approach. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

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
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Not Specified

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Other
100.00%
Composition Pie Chart

Summary

The Zephyr Cove Crypto Strategy is a single market strategy investing only in CME and CBOE Bitcoin Futures contracts using a 100% systematic approach.

Investment Strategy

The Zephyr Cove Crypto Strategy uses a combination of traditional trend following techniques and market momentum measures to capture and provide returns from major positive and negative moves in the price of Bitcoin Futures.

Risk Management

The Zephyr Cove Crypto strategy does not buy or sell cryptocurrency assets directly. All positions are place long or short in Bitcoin Futures contracts with trailing stops adjusted for market volatility.

   

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
-29.38 3 - 6/1/2019 9/1/2019
-7.18 4 11 1/1/0001 7/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
26.40 2 5/1/2019 6/1/2019
6.24 6 8/1/2018 1/1/2019
0.13 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.38 3 7/1/2019 9/1/2019
-3.88 2 4/1/2018 5/1/2018
-3.55 1 7/1/2018 7/1/2018
-1.59 3 2/1/2019 4/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0016.0013.007.00
Percent Profitable50.0043.7561.5457.14
Average Period Return-0.46-0.781.132.44
Average Gain3.636.075.628.93
Average Loss-4.54-6.11-6.06-6.21
Best Period26.3526.2124.8627.46
Worst Period-19.43-29.38-11.32-8.25
Standard Deviation8.6010.818.9612.17
Gain Standard Deviation8.599.027.9812.63
Loss Standard Deviation6.799.224.942.97
Sharpe Ratio (1%)-0.06-0.100.070.12
Average Gain / Average Loss0.800.990.931.44
Profit / Loss Ratio0.800.771.481.92
Downside Deviation (10%)5.728.545.997.82
Downside Deviation (5%)5.588.084.914.98
Downside Deviation (0%)5.557.974.654.36
Sortino Ratio (10%)-0.15-0.24-0.22-0.33
Sortino Ratio (5%)-0.10-0.130.130.29
Sortino Ratio (0%)-0.08-0.100.240.56

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.