Melissinos Trading : Eupatrid Global Trends

Year-to-Date
16.50%
Jul Performance
-3.05%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
15.01%
Sharpe (RFR=1%)
-0.06
CAROR
-1.05%
Assets
$ 40.0M
Worst DD
-43.07
S&P Correlation
-0.01

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Eupatrid Global Trends -3.05 -7.51 -16.50 -16.70 -25.79 -36.69 - -9.62
S&P 500 5.51 12.32 1.25 9.76 31.27 53.90 - 151.72
+/- S&P 500 -8.56 -19.82 -17.75 -26.45 -57.06 -90.59 - -161.34

Strategy Description

Summary

Melissinos Trading has been registered as a Commodity Trading Advisor (CTA) with the Commodity Futures Trading Commission and a member of the National Futures Association since November 2010. Melissinos Trading is an investment firm designed to produce attractive absolute and risk-adjusted... Read More

Account & Fees

Type Fund
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 350 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 10.00%
4-12 Months 70.00%
1-3 Months 20.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 1.00%
Systematic 99.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

SSF
29.00%
Currency Futures
20.00%
Grains
13.00%
Interest Rates
10.00%
Softs
10.00%
Livestock
6.00%
Energy
5.00%
Industrial Metals
4.00%
Precious Metals
3.00%
Composition Pie Chart

Summary

Melissinos Trading has been registered as a Commodity Trading Advisor (CTA) with the Commodity Futures Trading Commission and a member of the National Futures Association since November 2010. Melissinos Trading is an investment firm designed to produce attractive absolute and risk-adjusted returns by capitalizing on trends in stocks, bonds, currencies, crypto and commodities. The firm was founded in 2011. We invest in a variety of asset classes using trend following techniques while also maintaining robust risk controls. This allows us to be nimble, to take advantage of opportunities all across the globe and to cut our losses before they inflict too much damage to our portfolio. The firm’s portfolio is managed by Michael Melissinos.

Investment Strategy

Eupatrid Global Trends (EGT) is our global trend following strategy that has a track record dating back to 2011. It combines portfolio selection, entry and exit timing techniques as well as risk management into one system. Its modus operandi is to produce attractive absolute and risk-adjusted returns by capitalizing on long-term trends in a globally diversified portfolio of stocks, bonds, currencies, crypto and commodities. Market conditions influence how much risk EGT takes. In general, it takes more risk in markets exhibiting strong trending behavior, less in those that don’t. EGT monitors market conditions (trend strength, correlation, sentiment and volatility) and adjusts risk exposures accordingly. We strive to outperform our peers, both on an absolute and risk-adjusted basis, during any 5-15 year holding 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.

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
-43.07 66 - 1/1/2015 7/1/2020
-22.71 16 21 8/1/2011 12/1/2012
-9.06 1 3 4/1/2011 5/1/2011
-1.19 1 2 1/1/0001 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
37.97 6 8/1/2014 1/1/2015
17.86 3 2/1/2011 4/1/2011
16.95 3 6/1/2011 8/1/2011
14.52 3 2/1/2014 4/1/2014
12.68 2 7/1/2019 8/1/2019
10.71 2 4/1/2012 5/1/2012
10.56 2 12/1/2017 1/1/2018
9.72 6 1/1/2013 6/1/2013
9.38 4 2/1/2019 5/1/2019
8.06 2 1/1/2016 2/1/2016
7.16 1 6/1/2014 6/1/2014
7.13 1 11/1/2015 11/1/2015
7.12 2 7/1/2012 8/1/2012
4.97 1 9/1/2015 9/1/2015
4.94 2 6/1/2016 7/1/2016
4.42 3 10/1/2013 12/1/2013
4.39 2 7/1/2018 8/1/2018
3.17 1 10/1/2017 10/1/2017
1.93 1 2/1/2017 2/1/2017
1.60 1 3/1/2015 3/1/2015
1.56 1 9/1/2016 9/1/2016
1.40 1 1/1/2020 1/1/2020
1.07 1 5/1/2015 5/1/2015
0.96 1 4/1/2020 4/1/2020
0.87 1 11/1/2018 11/1/2018
0.49 1 7/1/2015 7/1/2015
0.09 1 6/1/2017 6/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.91 5 2/1/2018 6/1/2018
-16.85 7 9/1/2011 3/1/2012
-15.84 4 9/1/2012 12/1/2012
-11.82 2 2/1/2020 3/1/2020
-10.68 1 10/1/2015 10/1/2015
-10.67 3 7/1/2017 9/1/2017
-9.79 3 3/1/2016 5/1/2016
-9.06 1 5/1/2011 5/1/2011
-7.75 4 9/1/2019 12/1/2019
-7.51 3 5/1/2020 7/1/2020
-7.43 1 4/1/2015 4/1/2015
-7.40 2 12/1/2018 1/1/2019
-6.88 1 6/1/2012 6/1/2012
-6.39 1 8/1/2015 8/1/2015
-5.94 1 7/1/2014 7/1/2014
-5.88 4 10/1/2016 1/1/2017
-5.56 2 9/1/2018 10/1/2018
-5.23 3 3/1/2017 5/1/2017
-4.88 1 2/1/2015 2/1/2015
-3.74 3 7/1/2013 9/1/2013
-2.83 1 1/1/2014 1/1/2014
-2.82 1 5/1/2014 5/1/2014
-2.22 1 12/1/2015 12/1/2015
-1.19 1 1/1/2011 1/1/2011
-1.04 1 6/1/2015 6/1/2015
-0.71 1 6/1/2019 6/1/2019
-0.70 1 8/1/2016 8/1/2016
-0.21 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods115.00113.00110.00104.0098.0092.0080.0068.0056.00
Percent Profitable47.8345.1344.5536.5433.6738.0453.7557.3558.93
Average Period Return0.000.080.060.300.550.732.994.962.93
Average Gain3.526.559.1215.1621.3423.0022.9524.6216.78
Average Loss-3.33-5.24-7.22-8.25-10.00-12.95-20.20-21.47-16.95
Best Period9.5622.4437.9754.7751.7763.8848.9860.6843.20
Worst Period-10.68-14.37-17.65-23.48-21.28-25.08-31.37-39.61-36.92
Standard Deviation4.337.2810.2714.0117.8621.1724.1925.5820.20
Gain Standard Deviation2.985.108.0112.3215.2117.5113.6712.2110.24
Loss Standard Deviation2.443.484.394.655.656.426.1410.0512.92
Sharpe Ratio (1%)-0.02-0.02-0.04-0.05-0.05-0.060.000.04-0.11
Average Gain / Average Loss1.061.251.261.842.131.781.141.150.99
Profit / Loss Ratio1.001.031.011.061.081.091.321.541.42
Downside Deviation (10%)3.165.437.9211.2015.0819.0825.1529.1431.68
Downside Deviation (5%)2.974.806.608.2310.4312.8016.3317.8816.31
Downside Deviation (0%)2.924.656.287.539.3411.3614.3415.4313.55
Sortino Ratio (10%)-0.13-0.21-0.30-0.42-0.47-0.50-0.51-0.57-0.78
Sortino Ratio (5%)-0.03-0.03-0.07-0.08-0.09-0.100.000.05-0.13
Sortino Ratio (0%)0.000.020.010.040.060.060.210.320.22

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 2.91 4/2020
Trend Following Strategy Index Month 8 2.91 4/2020
IASG CTA Index Month 9 8.15 8/2019
Diversified Trader Index Month 9 8.15 8/2019
Trend Following Strategy Index Month 10 8.15 8/2019
Systematic Trader Index Month 10 8.15 8/2019
Trend Following Strategy Index Month 9 4.20 7/2019
Trend Following Strategy Index Month 7 1.56 9/2016
Trend Following Strategy Index Month 6 7.16 6/2014
Diversified Trader Index Month 6 7.16 6/2014
Systematic Trader Index Month 9 7.16 6/2014
IASG CTA Index Month 10 7.16 6/2014
IASG CTA Index Month 10 5.26 3/2014
Systematic Trader Index Month 8 5.26 3/2014
Diversified Trader Index Month 7 5.26 3/2014
Trend Following Strategy Index Month 3 5.26 3/2014
Trend Following Strategy Index Month 4 1.17 6/2011
Systematic Trader Index Month 4 8.20 3/2011
Diversified Trader Index Month 5 8.20 3/2011
Trend Following Strategy Index Month 2 8.20 3/2011
IASG CTA Index Month 9 8.20 3/2011

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