Brock Capital Management : Heartland

archived programs
Year-to-Date
N / A
Nov Performance
10.20%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
27.10%
Sharpe (RFR=1%)
0.28
CAROR
5.11%
Assets
$ 2.6M
Worst DD
-29.52
S&P Correlation
-0.09

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
2/2007
Heartland 10.20 - - - - - 5.61 21.05
S&P 500 -0.23 - - - - - -10.22 146.24
+/- S&P 500 10.43 - - - - - 15.83 -125.18

Strategy Description

Summary

Brock Capital Management LLC utilizes technical trading systems, consisting of both trend following and reversal systems for the Discretionary Agricultural Program. A portion of the grain/oilseed and livestock technical trading systems also utilize a fundamental filter that will limit... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
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 2000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Grains
60.00%
Livestock
20.00%
Softs
20.00%
Composition Pie Chart

Summary

Brock Capital Management LLC utilizes technical trading systems, consisting of both trend following and reversal systems for the Discretionary Agricultural Program. A portion of the grain/oilseed and livestock technical trading systems also utilize a fundamental filter that will limit exposure to certain markets in the event of extreme price variance from forecasted fundamental average levels. Fundamental analysis consists of using supply and demand analysis to predict average prices for commodities over a specific period of time. By utilizing our experience and knowledge of fundamentals, we are able to combine the benefits of both systematic trading with a fundamental overlay. This unique trading approach sets us apart from other CTA's who solely utilize technical systems and from those who are completely discretionary. Such an unique trading approach has led to very little correlation between the Discretionary Agricultural Program and equities, fixed income, or even to other CTA's.

Through the combination of both technical trading systems and fundamental analysis, Brock Capital Management LLC is able to benefit from timing as well as economical directional trades. The difficulty with only using fundamental analysis is that it provides no means for timing of purchases or sales. On the other hand, focusing exclusively on technical analysis can often lead to buying at market tops and selling at market bottoms. The unique combination of a systematic approach with a fundamental overlay allows Brock Capital Management LLC to capture the majority of a trend when a market reverses. This approach has a limitation as it often will not catch the final leg of a large bull or bear move, but it will allow Brock Capital Management LLC to enter the market sooner than most other programs when the particular market reverses.Brock Capital Management LLC utilizes several technical systems for analyzing the price behavior of commodities to determine the time and price at which a particular commodity should be bought or sold. Some of these systems are designed to take advantage of longer-term price trends, while others attempt to identify short or intermediate term trends. Some methods will usually maintain a position in a particular commodity for some time, while others may experience a long period of time without a position. Given the nature of agricultural markets and the correlation among them, there can be times when limited price movements materialize for a lengthy time period. These periods of limited price movements can at times be followed by periods of substantial price movements, which the Discretionary Agricultural Program is designed to capture.

Investment Strategy

The Discretionary Agricultural Program portfolio is comprised of grains/oilseeds, livestock, and soft commodities. A greater percentage of the Discretionary Agricultural Programs' assets are allocated to the grain and oilseed markets given the unique technical trading systems that Brock Capital Management LLC utilizes for these particular markets. In addition to the grain/oilseed markets, Brock Capital Management LLC also allocates capital to the livestock and soft commodity markets. 

   

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
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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
-29.52 14 - 8/1/2009 10/1/2010
-25.32 7 4 7/1/2007 2/1/2008
-4.68 1 1 4/1/2009 5/1/2009
-4.46 1 4 9/1/2008 10/1/2008
-2.57 1 2 4/1/2007 5/1/2007
-0.42 1 1 6/1/2009 7/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
30.83 2 3/1/2008 4/1/2008
27.25 3 6/1/2008 8/1/2008
15.67 1 6/1/2009 6/1/2009
14.69 1 10/1/2007 10/1/2007
10.20 1 11/1/2010 11/1/2010
7.13 3 2/1/2009 4/1/2009
7.07 2 6/1/2007 7/1/2007
4.01 1 5/1/2010 5/1/2010
3.89 1 1/1/2010 1/1/2010
3.79 3 2/1/2007 4/1/2007
3.21 2 11/1/2008 12/1/2008
3.07 1 8/1/2009 8/1/2009
0.92 1 1/1/2008 1/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.13 5 6/1/2010 10/1/2010
-20.45 1 2/1/2008 2/1/2008
-16.28 2 8/1/2007 9/1/2007
-9.16 4 9/1/2009 12/1/2009
-8.97 3 2/1/2010 4/1/2010
-4.68 1 5/1/2009 5/1/2009
-4.46 2 9/1/2008 10/1/2008
-3.12 2 11/1/2007 12/1/2007
-2.95 1 1/1/2009 1/1/2009
-2.57 1 5/1/2007 5/1/2007
-0.42 1 7/1/2009 7/1/2009
-0.22 1 5/1/2008 5/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable47.8347.7356.1074.2982.7678.26
Average Period Return0.701.393.5210.9522.8529.51
Average Gain5.899.5613.7520.3830.4241.10
Average Loss-4.23-6.08-9.55-16.31-13.47-12.22
Best Period27.1630.5566.1368.3192.7477.59
Worst Period-20.45-21.68-21.11-26.46-20.24-16.24
Standard Deviation7.8211.1316.6521.8324.8725.70
Gain Standard Deviation7.309.4614.7015.9719.9914.01
Loss Standard Deviation4.686.237.0510.196.434.02
Sharpe Ratio (1%)0.080.100.180.460.861.07
Average Gain / Average Loss1.391.571.441.252.263.36
Profit / Loss Ratio1.331.441.843.6110.8412.11
Downside Deviation (10%)4.616.889.1811.889.1110.61
Downside Deviation (5%)4.456.358.0610.046.666.84
Downside Deviation (0%)4.416.227.799.606.085.94
Sortino Ratio (10%)0.060.020.110.501.671.82
Sortino Ratio (5%)0.140.180.380.993.214.02
Sortino Ratio (0%)0.160.220.451.143.764.97

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.