The Cambridge Strategy Monthly Performance Summary
| |
Extended Markets |
Asian Markets |
Global Emerging Markets |
Performance Since Inception |
86.83% |
71.08% |
50.29% |
Performance 2010 |
-2.62% |
3.13% |
9.82% |
Annualised Performance |
10.52% |
12.93% |
18.36% |
Annualised Monthly Volatility |
7.39% |
6.85% |
7.36% |
Sharpe Ratio |
1.03 |
1.45 |
2.34 |
Current Month
July 2010
|
-0.62% |
-0.87% |
-0.43% |
Returns are GROSS of all fees & exclude interest income.
Daily results are calculated using the
equal weighted average of managed accounts.
Historical Performance - The Extended Markets Alpha Strategy
Please contact us for further details.
| Performance Since Inception (April 2004):
+86.83% |
| 2004 Performance: +37.83% |
| 2005 Performance: +13.46% |
| 2006 Performance: +5.73% |
| 2007 Performance: +9.51% |
| 2008 Performance: +4.84% |
| 2009 Performance: -0.90% |
| 2010 Performance:
-2.62% |
|
 Current Month Performance
|
 |
| Information |
| Fees (Management) |
2% |
| Fees (Performance) |
20% |
| Fees Administration/Prime Brokerage |
0% |
| Interest |
Libor-0.20% |
| Target Returns |
15% |
| Target Max Drawdown |
5% |
| Liquidity |
Monthly |
| Maximum Leverage |
5:1 |
|
|
| Performance Analysis |
| Last Month |
-3.55% |
| Last Rolling 12 Months |
-7.28% |
| Year to Date |
-2.62% |
| Monthly Win Rate |
70% |
| Performance to Date |
86.83% |
| Sharpe Ratio |
1.03 |
| Standard Deviation |
7.39% |
|
Monthly Return
| Year |
YTD |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| 2004 |
39.25% |
|
|
|
0.71% |
4.38% |
0.06% |
1.41% |
1.78% |
7.64% |
8.67% |
7.86% |
1.66% |
| 2005 |
13.94% |
1.19% |
2.64% |
0.84% |
0.01% |
2.24% |
0.56% |
2.54% |
0.55% |
1.11% |
1.00% |
-0.01% |
0.51% |
| 2006 |
5.94% |
0.56% |
1.44% |
0.53% |
1.01% |
-0.48% |
0.00% |
0.69% |
-0.03% |
-0.03% |
0.84% |
0.27% |
1.00% |
| 2007 |
9.86% |
-0.07% |
-0.14% |
0.67% |
1.15% |
0.16% |
0.47% |
0.26% |
0.03% |
6.10% |
-0.33% |
1.63% |
-0.30% |
| 2008 |
4.84% |
-0.30% |
-1.28% |
0.52% |
1.43% |
-0.47% |
-0.47% |
1.26% |
0.21% |
-0.52% |
1.40% |
2.59% |
0.53% |
| 2009 |
-0.90% |
6.09% |
0.71% |
-2.53% |
0.50% |
1.01% |
-1.55% |
0.40% |
0.70% |
-0.66% |
-3.66% |
-1.70% |
0.11% |
| 2010 |
-2.62% |
-0.97% |
1.74% |
-0.14% |
-0.28% |
0.63% |
-3.55% |
|
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|
| Historical Performance - The Asian Markets Alpha Strategy
Please contact us for further details.
All performance shown is for the equal weighted average of the Managed Accounts.
| Performance Since Inception (Feb 2006):
+71.08% |
| 2006 Performance: +11.57% |
| 2007 Performance : +33.58% |
| 2008 Performance : +7.90% |
| 2009 Performance : +3.16% |
| 2010 Performance :
+3.13% |
|
Current Month Performance
|
|
| Information |
| Fees (Management) |
2% |
| Fees (Performance) |
20% |
| Target Returns |
18% |
| Target Max Drawdown (annualised) |
5% |
| Liquidity (with 7 days notice) |
Monthly |
| Maximum Leverage (guide) |
5:1 |
| Maximum VaR (24 hours to 2 SD) |
3% |
|
|
| Performance Analysis |
| Last Month |
-1.81% |
| Last Rolling 12 Months |
5.60% |
| Year to Date |
3.13% |
| Monthly Win Rate |
79% |
| Performance to Date |
74.23% |
| Sharpe Ratio |
1.45 |
| Max Drawdown (daily) |
-1.95% |
| Standard Deviation |
6.85% |
| |
|
|
Monthly Return
| Year |
YTD |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| 2006 |
11.57% |
|
1.24% |
1.01% |
3.13% |
-2.33% |
0.42% |
2.05% |
0.37% |
-0.61% |
2.51% |
0.06% |
3.30% |
| 2007 |
33.58% |
0.40% |
-0.53% |
1.63% |
3.04% |
1.61% |
1.55% |
0.33% |
4.48% |
9.81% |
3.61% |
4.14% |
-0.33% |
| 2008 |
7.90% |
1.58% |
-1.18% |
0.82% |
0.83% |
-2.57% |
1.08% |
1.31% |
0.30% |
2.55% |
2.44% |
0.41% |
0.21% |
| 2009 |
3.16% |
2.02% |
0.94% |
-1.29% |
0.25% |
-1.47% |
0.33% |
0.33% |
-0.44% |
1.18% |
0.68% |
1.91% |
-1.25% |
| 2010 |
3.13% |
0.97% |
0.30% |
2.73% |
0.02% |
0.93% |
-1.81% |
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Historical Performance - The Global Emerging Markets Alpha Programme
Please contact us for further details.
All performance shown is for the equal weighted average of the Managed Accounts.
| Performance Since Inception (Feb 2008):
+50.29% |
| 2008 Performance : +6.75% |
| 2009 Performance : +28.22% |
| 2010 Performance :
+9.82% |
|
Current Month Performance
|
|
| Information |
| Fees (Management) |
2% |
| Fees (Performance) |
20% |
| Target Returns |
18% |
| Target Max Drawdown (annualised) |
5% |
| Liquidity (with 7 days notice) |
Monthly |
| Maximum Leverage (guide) |
5:1 |
| Maximum VaR (24 hours to 2 SD) |
3% |
|
|
| Performance Analysis |
| Last Month |
-2.37% |
| Last Rolling 12 Months |
18.38% |
| Year to Date |
9.82% |
| Monthly Win Rate |
79% |
| Performance to Date |
50.29% |
| Sharpe Ratio |
2.34 |
| Max Drawdown (daily) |
-2.08% |
| Standard Deviation |
7.36% |
| |
|
|
Monthly Return
| Year |
YTD |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| 2008 |
6.75% |
|
1.19% |
0.51% |
0.91% |
-1.14% |
0.32% |
1.64% |
-0.29% |
0.25% |
2.11% |
0.90% |
0.18% |
| 2009 |
28.22% |
4.22% |
1.44% |
4.04% |
3.82% |
1.54% |
1.46% |
1.11% |
-0.11% |
-0.06% |
2.74% |
4.91% |
0.18% |
| 2010 |
9.82% |
2.26% |
2.34% |
8.20% |
0.79% |
-1.44% |
-2.37% |
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