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CONTRENDIAN Ltd

CONTRENDIAN Master Fund

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. 

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 DateJun 2017
Minimum Investment1,000,000 USD
Management Fee1.50%
Performance Fee15.00%
Highwater MarkYes
Phone+85236110938
E-mail[email protected]
Websitewww.contrendian.com

Statistics

Total Return Cumulative 27.26%
Sharpe Ratio 0.29
Sortino Ratio 0.29
Winning Months (%) 59.55%
Correlation vs. S&P 500 TR 0.74

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 18.14
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 -1.58%
Year To Date 18.14%
3 Month ROR 3.90%
12 Months ROR 26.63%
36 Month ROR 11.36%
Total Return Cumulative 27.26%
Total Return Annualized 3.30%
Best Month 11.91%
Winning Months (%) 59.55%
Gain Deviation 2.21

Risk Statistics

Standard Deviation Annualized 14.93%
Max Drawdown (Monthly) -27.18%
Max Drawdown # of Months 78
Worst Month -17.01%
Losing Months (%) 40.45%
Average Losing Month -3.60%
Loss Deviation 3.52
Correlation vs S&P 500 0.74
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 2.86

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 -1.58% 1 0 10/2024 -
3 -0.53% 1 1 06/2017 07/2017
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 11.91%-17.01%0.37%1.00%-1.58%59.55%
3 Months 17.02%-24.15%1.05%2.08%3.90%64.37%
6 Months 22.01%-22.08%1.66%1.27%12.24%54.76%
1 Year 28.51%-22.33%2.03%2.51%26.63%56.41%
2 Years 40.13%-17.40%1.72%-0.01%28.71%50.00%
3 Years 32.19%-16.18%2.39%2.99%11.36%61.11%
5 Years 22.54%-15.62%2.25%0.45%17.91%53.33%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg3.30%10.00%16.48%18.77%16.27%26.69%
% Positive59.55%64.37%54.76%56.41%50.00%61.11%
Avg. Pos. Period3.06%5.26%8.15%9.99%8.67%8.14%
Avg. Neg. Period-3.60%-6.56%-6.20%-8.28%-5.24%-6.65%
Sharpe Ratio0.290.520.660.640.600.91
Sortino Ratio0.290.570.820.780.901.39
Standard Deviation4.31%6.93%8.68%10.88%9.91%9.07%
Downside Deviation3.20%4.88%5.38%6.42%4.85%4.96%
Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.

Fund Information

Minimum Investment1,000,000 USD
AUM18,778,400 USD
Management Fee1.50%
Performance Fee15.00%
Highwater MarkYes
RT per Million -
Margin to Equity -
Legal StructureManaged Account
Investment RestrictionAccredited Investors

Company Information

CompanyCONTRENDIAN Ltd
PrincipalWalter Cheung; Frank Ho
Phone+85236110938
E-mail[email protected]
License NumberSecurities and Futures Commission of Hong Kong BIT392
LocationKOWLOON, Hong Kong
Performance Compiled byCONTRENDIAN 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 18.14
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. 

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 -1.58%
Year To Date 18.14%
3 Month ROR 3.90%
12 Months ROR 26.63%
36 Month ROR 11.36%
Total Return Cumulative 27.26%
Total Return Annualized 3.30%
Best Month 11.91%
Winning Months (%) 59.55%
Gain Deviation 2.21

Risk Statistics

Standard Deviation Annualized 14.93%
Max Drawdown (Monthly) -27.18%
Max Drawdown # of Months 78
Worst Month -17.01%
Losing Months (%) 40.45%
Average Losing Month -3.60%
Loss Deviation 3.52
Correlation vs S&P 500 0.74
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 2.86

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 -1.58% 1 0 10/2024 -
3 -0.53% 1 1 06/2017 07/2017
4 - - - - -
5 - - - - -

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 11.91%-17.01%0.37%1.00%-1.58%59.55%
3 Months 17.02%-24.15%1.05%2.08%3.90%64.37%
6 Months 22.01%-22.08%1.66%1.27%12.24%54.76%
1 Year 28.51%-22.33%2.03%2.51%26.63%56.41%
2 Years 40.13%-17.40%1.72%-0.01%28.71%50.00%
3 Years 32.19%-16.18%2.39%2.99%11.36%61.11%
5 Years 22.54%-15.62%2.25%0.45%17.91%53.33%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg3.30%10.00%16.48%18.77%16.27%26.69%
% Positive59.55%64.37%54.76%56.41%50.00%61.11%
Avg. Pos. Period3.06%5.26%8.15%9.99%8.67%8.14%
Avg. Neg. Period-3.60%-6.56%-6.20%-8.28%-5.24%-6.65%
Sharpe Ratio0.290.520.660.640.600.91
Sortino Ratio0.290.570.820.780.901.39
Standard Deviation4.31%6.93%8.68%10.88%9.91%9.07%
Downside Deviation3.20%4.88%5.38%6.42%4.85%4.96%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

Data not available

AUM

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.
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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.