Pinstripe Capital : Hybrid Program

archived programs
Year-to-Date
N / A
Sep Performance
0.23%
Min Investment
$ 350k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.12%
Sharpe (RFR=1%)
1.18
CAROR
9.53%
Assets
$ 12.5M
Worst DD
-8.78
S&P Correlation
0.38

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
1/2005
Hybrid Program 0.23 - - - - - - 40.70
S&P 500 -9.08 - - - - - - 193.26
+/- S&P 500 9.31 - - - - - - -152.55

Strategy Description

Account & Fees

Type Managed Account
Minimum Investment $ 350k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $2.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 16%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

   

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
-8.78 1 - 12/1/2007 1/1/2008
-3.15 2 3 6/1/2007 8/1/2007
-2.22 1 1 1/1/2007 2/1/2007
-0.83 1 1 3/1/2005 4/1/2005
-0.63 1 1 9/1/2006 10/1/2006
-0.37 1 1 4/1/2006 5/1/2006
-0.22 1 1 11/1/2006 12/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
23.44 12 5/1/2005 4/1/2006
10.79 4 3/1/2007 6/1/2007
8.39 4 6/1/2006 9/1/2006
3.57 4 9/1/2007 12/1/2007
3.41 3 1/1/2005 3/1/2005
2.80 2 6/1/2008 7/1/2008
1.61 3 2/1/2008 4/1/2008
1.58 1 1/1/2007 1/1/2007
1.09 1 11/1/2006 11/1/2006
0.23 1 9/1/2008 9/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.78 1 1/1/2008 1/1/2008
-3.15 2 7/1/2007 8/1/2007
-2.22 1 2/1/2007 2/1/2007
-2.11 1 8/1/2008 8/1/2008
-0.83 1 4/1/2005 4/1/2005
-0.63 1 10/1/2006 10/1/2006
-0.49 1 5/1/2008 5/1/2008
-0.37 1 5/1/2006 5/1/2006
-0.22 1 12/1/2006 12/1/2006
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Time Windows Analysis

 4 Year5 Year1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods108.0096.0072.0045.0043.0040.0034.0028.0022.00
Percent Profitable21.3023.9631.9477.7879.0785.0076.47100.00100.00
Average Period Return4.164.682.950.782.465.1011.6919.1225.68
Average Gain62.6162.6135.861.543.997.1016.4119.1225.68
Average Loss-22.01-22.01-18.55-1.88-3.32-6.25-3.64
Best Period62.6162.6162.613.449.5114.8725.3832.4741.43
Worst Period-33.89-33.89-30.27-8.78-7.87-8.00-6.400.322.92
Standard Deviation32.7734.7528.792.053.936.0410.1212.3514.02
Gain Standard Deviation0.000.0026.351.012.283.905.9612.3514.02
Loss Standard Deviation10.4610.4610.102.583.441.472.13
Sharpe Ratio (1%)0.00-0.01-0.150.340.560.761.061.431.69
Average Gain / Average Loss2.842.841.930.821.201.144.51
Profit / Loss Ratio1.451.451.352.874.546.4314.65
Downside Deviation (10%)31.7437.7946.581.582.563.474.322.832.10
Downside Deviation (5%)18.2720.0619.001.482.212.672.450.22
Downside Deviation (0%)15.7016.6514.251.452.122.482.01
Sortino Ratio (10%)-0.55-0.61-0.810.240.480.761.554.087.34
Sortino Ratio (5%)0.01-0.02-0.220.471.001.724.3779.00
Sortino Ratio (0%)0.270.280.210.541.162.065.81

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.