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CONTRENDIAN Ltd - CONTRENDIAN Master Fund
CONTRENDIAN Ltd
CONTRENDIAN Master Fund
Overview
Charts
Stats & Ratios
Show All
Investment Strategy
CONTRENDIAN is a systematic macro strategy that dynamically switches across different asset classes depending on the prevailing market regime. The strategy uses a proprietary algorithm that analyzes multiple market and fundamental data series to generate an indicator that shows whether the market is in a "risk-on" or "risk-off" regime. Switches across asset classes are made during times of market extremes, when the risk/reward of making an asset switch is most favorable.Â
The strategy targets an annual unlevered gross return of 15% and a volatility of 10%, for a Sharpe ratio of 1.5. The investment strategy aims to invest at 1.5x leverage, but may use a maximum of 2x leverage.
The geographical market focus is 50-100% in USA and 0-50% Global Developed and/or Emerging Markets. The strategy may switch across sectors or geographies.
The strategy includes a built-in stop-loss mechanism when the peak-to-trough drawdown reaches approximately 10% on an unlevered portfolio. The strategy aims to contain the maximum drawdown within 15% in an unlevered portfolio.
Performance (VAMI)
Monthly Returns
Fund Manager
Frank Ho and Walter Cheung, each with over 20 years of experience in institutional investment, manage CONTRENDIAN Master Fund from Hong Kong since its inception on 28-June 2017.
Frank Ho, CFA, was previously a portfolio manager at Horizon Asset, Point72 and HighBridge Capital, an equity analyst at Gartmore Investment and a strategy consultant at McKinsey & Co. He holds an MBA from INSEAD, M.Eng and B.S. from MIT.
Walter Cheung, CFA, FRM, was formerly a portfolio manager at NF Trinity Capital and Henderson Land/Shau Kee Financial and had worked in State Street Global Advisors' AEJ Active Equity team and Sanford C. Bernstein's U.S. Equity Strategy & Quantitative Research team. He holds an MBA from Columbia Business School, M.S. from Stanford University and B.S. from U.C. Berkeley.
Fund Information
Inception Date
Jun 2017
Minimum Investment
1,000,000 USD
Management Fee
1.50%
Performance Fee
15.00%
Highwater Mark
Yes
Phone
+85236110938
E-mail
[email protected]
Website
www.contrendian.com
Statistics
Total Return Cumulative
27.04%
Sharpe Ratio
0.29
Sortino Ratio
0.29
Winning Months (%)
58.89%
Correlation vs. S&P 500 TR
0.73
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
0.04
3.05
4.63
-2.42
2.79
1.78
3.26
0.50
5.05
-1.58
-0.17
17.94
2023
1.00
-5.19
5.47
1.13
2.43
2.59
0.24
-3.63
-3.77
-0.12
4.22
2.85
6.81
2022
-5.16
1.69
5.67
-3.17
-4.53
-4.48
-1.01
-3.62
-7.51
7.15
3.69
-1.63
-13.21
2021
-1.14
-1.19
-0.66
4.02
1.28
3.24
3.49
2.11
-6.21
5.75
-0.67
2.36
12.47
2020
0.24
-7.28
-3.65
5.08
-0.97
0.16
0.34
-3.58
-1.98
-1.49
5.25
4.08
-4.48
2019
11.91
2.37
2.15
2.21
-3.07
5.24
-1.70
3.12
1.25
-1.96
0.98
-0.76
23.04
2018
6.66
-11.86
-4.66
1.06
6.38
-0.67
3.71
3.96
-0.76
-10.09
1.65
-17.01
-22.33
2017
-0.53
2.54
0.67
2.18
2.77
3.77
1.14
13.18
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.
Monthly Returns
Performance (VAMI)
Distribution of Monthly Returns
12 Month Rolling ROR
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
AUM
Volatility (12 Months Rolling)
Risk/Return Comparison
Drawdown
Instruments
Data not available
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.
Return Statistics
Last Month
-0.17%
Year To Date
17.94%
3 Month ROR
3.22%
12 Months ROR
21.30%
36 Month ROR
11.92%
Total Return Cumulative
27.04%
Total Return Annualized
3.24%
Best Month
11.91%
Winning Months (%)
58.89%
Gain Deviation
2.21
Risk Statistics
Standard Deviation Annualized
14.85%
Max Drawdown (Monthly)
-27.18%
Max Drawdown # of Months
78
Worst Month
-17.01%
Losing Months (%)
41.11%
Average Losing Month
-3.51%
Loss Deviation
3.52
Correlation vs S&P 500
0.73
Correlation vs DJ/CS MF
0.17
Risk/Reward Statistics
Sharpe Ratio
0.29
Sortino Ratio
0.29
Omega Ratio
0.74
Skewness
-0.99
Kurtosis
2.92
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-27.18%
-
11
-
67
-
02/2018
-
07/2024
-
2
-1.75%
-
2
-
0
-
10/2024
-
-
-
3
-0.53%
-
1
-
1
-
06/2017
-
07/2017
-
4
-
-
-
-
-
-
-
-
-
-
5
-
-
-
-
-
-
-
-
-
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
11.91%
-17.01%
0.36%
0.99%
-0.17%
58.89%
3 Months
17.02%
-24.15%
1.07%
2.09%
3.22%
64.77%
6 Months
22.01%
-22.08%
1.74%
1.65%
9.01%
55.29%
1 Year
28.51%
-22.33%
2.27%
2.56%
21.30%
56.96%
2 Years
40.13%
-17.40%
2.05%
0.08%
23.92%
50.75%
3 Years
32.19%
-16.18%
2.56%
4.26%
11.92%
61.82%
5 Years
22.54%
-15.62%
2.71%
0.48%
16.57%
54.84%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
3.24%
10.36%
17.70%
22.04%
20.55%
29.28%
% Positive
58.89%
64.77%
55.29%
56.96%
50.75%
61.82%
Avg. Pos. Period
3.06%
5.22%
8.17%
10.24%
9.12%
8.25%
Avg. Neg. Period
-3.51%
-6.56%
-6.20%
-8.28%
-5.24%
-6.65%
Sharpe Ratio
0.29
0.54
0.70
0.71
0.70
0.98
Sortino Ratio
0.29
0.59
0.88
0.91
1.13
1.53
Standard Deviation
4.29%
6.90%
8.67%
11.03%
10.20%
9.08%
Downside Deviation
3.19%
4.85%
5.35%
6.38%
4.81%
4.91%
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.
Fund Information
Minimum Investment
1,000,000 USD
AUM
18,770,100 USD
Management Fee
1.50%
Performance Fee
15.00%
Highwater Mark
Yes
RT per Million
-
Margin to Equity
-
Legal Structure
Managed Account
Investment Restriction
Accredited Investors
Company Information
Company
CONTRENDIAN Ltd
Principal
Walter Cheung; Frank Ho
Phone
+85236110938
E-mail
[email protected]
License Number
Securities and Futures Commission of Hong Kong BIT392
Location
KOWLOON, Hong Kong
Performance Compiled by
CONTRENDIAN Ltd
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
0.04
3.05
4.63
-2.42
2.79
1.78
3.26
0.50
5.05
-1.58
-0.17
17.94
2023
1.00
-5.19
5.47
1.13
2.43
2.59
0.24
-3.63
-3.77
-0.12
4.22
2.85
6.81
2022
-5.16
1.69
5.67
-3.17
-4.53
-4.48
-1.01
-3.62
-7.51
7.15
3.69
-1.63
-13.21
2021
-1.14
-1.19
-0.66
4.02
1.28
3.24
3.49
2.11
-6.21
5.75
-0.67
2.36
12.47
2020
0.24
-7.28
-3.65
5.08
-0.97
0.16
0.34
-3.58
-1.98
-1.49
5.25
4.08
-4.48
2019
11.91
2.37
2.15
2.21
-3.07
5.24
-1.70
3.12
1.25
-1.96
0.98
-0.76
23.04
2018
6.66
-11.86
-4.66
1.06
6.38
-0.67
3.71
3.96
-0.76
-10.09
1.65
-17.01
-22.33
2017
-0.53
2.54
0.67
2.18
2.77
3.77
1.14
13.18
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
Strategy Description
CONTRENDIAN is a systematic macro strategy that dynamically switches across different asset classes depending on the prevailing market regime. The strategy uses a proprietary algorithm that analyzes multiple market and fundamental data series to generate an indicator that shows whether the market is in a "risk-on" or "risk-off" regime. Switches across asset classes are made during times of market extremes, when the risk/reward of making an asset switch is most favorable.Â
The strategy targets an annual unlevered gross return of 15% and a volatility of 10%, for a Sharpe ratio of 1.5. The investment strategy aims to invest at 1.5x leverage, but may use a maximum of 2x leverage.
The geographical market focus is 50-100% in USA and 0-50% Global Developed and/or Emerging Markets. The strategy may switch across sectors or geographies.
The strategy includes a built-in stop-loss mechanism when the peak-to-trough drawdown reaches approximately 10% on an unlevered portfolio. The strategy aims to contain the maximum drawdown within 15% in an unlevered portfolio.
Return Statistics
Last Month
-0.17%
Year To Date
17.94%
3 Month ROR
3.22%
12 Months ROR
21.30%
36 Month ROR
11.92%
Total Return Cumulative
27.04%
Total Return Annualized
3.24%
Best Month
11.91%
Winning Months (%)
58.89%
Gain Deviation
2.21
Risk Statistics
Standard Deviation Annualized
14.85%
Max Drawdown (Monthly)
-27.18%
Max Drawdown # of Months
78
Worst Month
-17.01%
Losing Months (%)
41.11%
Average Losing Month
-3.51%
Loss Deviation
3.52
Correlation vs S&P 500
0.73
Correlation vs DJ/CS MF
0.17
Risk/Reward Statistics
Sharpe Ratio
0.29
Sortino Ratio
0.29
Omega Ratio
0.74
Skewness
-0.99
Kurtosis
2.92
Monthly Returns
Performance (VAMI)
Fund Manager
Frank Ho and Walter Cheung, each with over 20 years of experience in institutional investment, manage CONTRENDIAN Master Fund from Hong Kong since its inception on 28-June 2017.
Frank Ho, CFA, was previously a portfolio manager at Horizon Asset, Point72 and HighBridge Capital, an equity analyst at Gartmore Investment and a strategy consultant at McKinsey & Co. He holds an MBA from INSEAD, M.Eng and B.S. from MIT.
Walter Cheung, CFA, FRM, was formerly a portfolio manager at NF Trinity Capital and Henderson Land/Shau Kee Financial and had worked in State Street Global Advisors' AEJ Active Equity team and Sanford C. Bernstein's U.S. Equity Strategy & Quantitative Research team. He holds an MBA from Columbia Business School, M.S. from Stanford University and B.S. from U.C. Berkeley.
Distribution of Monthly Returns
12 Month Rolling ROR
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-27.18%
-
11
-
67
-
02/2018
-
07/2024
-
2
-1.75%
-
2
-
0
-
10/2024
-
-
-
3
-0.53%
-
1
-
1
-
06/2017
-
07/2017
-
4
-
-
-
-
-
-
-
-
-
-
5
-
-
-
-
-
-
-
-
-
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
11.91%
-17.01%
0.36%
0.99%
-0.17%
58.89%
3 Months
17.02%
-24.15%
1.07%
2.09%
3.22%
64.77%
6 Months
22.01%
-22.08%
1.74%
1.65%
9.01%
55.29%
1 Year
28.51%
-22.33%
2.27%
2.56%
21.30%
56.96%
2 Years
40.13%
-17.40%
2.05%
0.08%
23.92%
50.75%
3 Years
32.19%
-16.18%
2.56%
4.26%
11.92%
61.82%
5 Years
22.54%
-15.62%
2.71%
0.48%
16.57%
54.84%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
3.24%
10.36%
17.70%
22.04%
20.55%
29.28%
% Positive
58.89%
64.77%
55.29%
56.96%
50.75%
61.82%
Avg. Pos. Period
3.06%
5.22%
8.17%
10.24%
9.12%
8.25%
Avg. Neg. Period
-3.51%
-6.56%
-6.20%
-8.28%
-5.24%
-6.65%
Sharpe Ratio
0.29
0.54
0.70
0.71
0.70
0.98
Sortino Ratio
0.29
0.59
0.88
0.91
1.13
1.53
Standard Deviation
4.29%
6.90%
8.67%
11.03%
10.20%
9.08%
Downside Deviation
3.19%
4.85%
5.35%
6.38%
4.81%
4.91%
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
Drawdown
Volatility (12 Months Rolling)
Instruments
Data not available
AUM
For the latest performance, please scan the image above with a QR Reader.
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.