The Cambridge Strategy Monthly Performance Summary
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Extended Markets |
Asian Markets |
Performance Since Inception |
87.89% |
59.82% |
Performance Year to Date |
+1.75% |
+7.23% |
Annualised Performance |
14.75% |
18.59% |
Daily Volatility |
6.09% |
10.32% |
Sharpe Ratio |
1.54 |
1.80 |
Returns are GROSS of all fees.
Daily results are calculated using the weighted average of managed accounts
Historical Performance - The Extended Markets Alpha Strategy
We offer an extended markets product, which is an absolute return product, trading the major currencies and global emerging market currencies, either as co-mingled or as a managed account.
| Performance Since Inception (April 2004): +87.89% |
| 2004 Performance: +37.83% |
| 2005 Performance: +13.46% |
| 2006 Performance: +5.73% |
| 2007 Performance: +9.51% |
|
Current Month Performance
|
|
| Fund 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 |
Minimum Investment
(Managed Accounts) |
$1000k |
|
|
| Performance Analysis |
| Last Month |
+1.40% |
| Last Rolling 12 Months |
3.11% |
| Year to Date |
+1.75% |
| Monthly Win Rate |
76% |
| Performance to Date |
87.89% |
| Sharpe Ratio |
1.54 |
| Standard Deviation |
7.11% |
|
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 |
+1.75% |
-0.30% |
-1.28% |
0.52% |
1.43% |
-0.47% |
-0.47% |
+1.26% |
+0.21% |
-0.52% |
+1.40% |
|
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| Historical Performance - The Asian Markets Alpha Strategy
We offer an emerging markets strategy focused on Asia, available both via Managed Account and a Cayman Islands based offshore fund, which launched 1 March 2008. Please contact us for a prospectus and subscription documentation.
All performance shown is for Managed Accounts.
| Performance Since Inception (Feb 2006): +59.82% |
| 2006 Performance: +11.57% |
| 2007 Performance : +33.58% |
| |
|
Current Month Performance
|
|
| Fund 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% |
| Minimum Investment (Fund) |
$250,000 |
Minimum Investment
(Managed Accounts) |
$5,000,000 |
|
|
| Performance Analysis |
| Last Month |
+2.44% |
| Last Rolling 12 Months |
11.31% |
| Year to Date |
+7.23% |
| Monthly Win Rate |
81% |
| Performance to Date |
59.82% |
| Sharpe Ratio |
1.80 |
| Max Drawdown (daily) |
-1.95% |
| Standard Deviation |
10.17% |
| Current Directional Leverage |
10% |
| Current Overall Leverage |
80% |
| |
|
|
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 |
+7.23% |
1.58% |
-1.18% |
0.82% |
0.83% |
-2.57% |
+1.08% |
+1.31% |
+0.30% |
+2.55% |
+2.44% |
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