Brock Capital Management : Heartland Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since2/2007 Heartland 10.20 - - - - - - 21.05 S&P 500 -0.23 - - - - - - 164.23 +/- S&P 500 10.43 - - - - - - -143.18 Strategy Description SummaryBrock 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% SummaryBrock 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 StrategyThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel