County Cork LLC : AG Long / Short Program

archived programsClosed to new investments
Year-to-Date
N / A
Feb Performance
0.77%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.52%
Sharpe (RFR=1%)
0.08
CAROR
1.32%
Assets
$ 913k
Worst DD
-18.70
S&P Correlation
0.05

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2013
AG Long / Short Program 0.77 - - - -13.35 -4.53 - 8.29
S&P 500 2.97 - - - 42.65 48.24 - 128.74
+/- S&P 500 -2.20 - - - -56.00 -52.77 - -120.45

Strategy Description

Summary

The COUNTY CORK AG L/S Program acts on the belief that the pricing of grain and livestock futures are typically tied to what happens in the cash market and that the price action in the derivative futures markets can sometimes be distorted by speculative trading. The program operates... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 400 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD
Worst Peak-to-Trough 12.11%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 33.00%
1-3 Months 34.00%
1-30 Days 33.00%
Intraday 0%

Decision-Making

Discretionary 2.00%
Systematic 98.00%

Strategy

Fundamental
75.00%
Seasonal/cyclical
2.00%
Technical
15.00%
Trend-following
8.00%
Strategy Pie Chart

Composition

Grains
84.00%
Livestock
16.00%
Composition Pie Chart

Summary

The COUNTY CORK AG L/S Program acts on the belief that the pricing of grain and livestock futures are typically tied to what happens in the cash market and that the price action in the derivative futures markets can sometimes be distorted by speculative trading. The program operates under the theory that the price action of the cash market more accurately reflects the reality of supply and demand factors that ultimately determine derivative pricing. With this in mind, the AG L/S Program monitors and analyzes cash price movements and applies additional rule sets to evaluate this cash future relationship in order to generate trading signals. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion. --- IMPORTANT DISCLOSURE --- THE PERFORMANCE SET FORTH ABOVE IS FOR A PROPRIETARY ACCOUNT MAINTAINED BY A PRINCIPAL OF COUNTY CORK TRADED PURSUANT TO THE AGRICULTURAL LONG AND SHORT MANAGED FUTURES PROGRAM, OR THE AG L/S PROGRAM. THE PERFORMANCE HAS BEEN PRO FORMA ADJUSTED FOR A 2% (ANNUALIZED) MONTHLY MANAGEMENT FEE AND A 20% QUARTERLY INCENTIVE FEE THAT WOULD HAVE BEEN CHARGED TO A CUSTOMER ACCOUNT PARTICIPATING IN THE AG L/S PROGRAM. THE PERFORMANCE IS NET OF ACTUAL BROKERAGE COMMISSIONS AND TRANSACTION FEES CHARGED TO THE ACCOUNT, WITH PROFITS REINVESTED. PLEASE NOTE THAT ACTUAL CUSTOMER ACCOUNTS HAVE BEEN TRADED PURSUANT TO THE PROGRAM. COUNTY CORK HAS CHOSEN TO USE PERFORMANCE OF A PROPRIETARY ACCOUNT IN THIS PRESENTATION AS IT HAS CONTINUOUSLY OPERATED SINCE INCEPTION. PERFORMANCE INFORMATION FOR CLIENT ACCOUNT PERFORMANCE IS AVAILABLE UPON REQUEST.

   

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
Average RoR:
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Average Gain:
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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:
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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
-18.70 28 - 8/1/2016 12/1/2018
-10.22 11 3 5/1/2013 4/1/2014
-3.73 3 4 2/1/2015 5/1/2015
-2.38 2 3 9/1/2014 11/1/2014
-2.28 3 4 10/1/2015 1/1/2016
-0.25 1 1 3/1/2013 4/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
19.83 5 5/1/2014 9/1/2014
15.83 5 4/1/2016 8/1/2016
6.34 1 6/1/2017 6/1/2017
4.83 5 6/1/2015 10/1/2015
3.73 1 5/1/2013 5/1/2013
3.13 1 8/1/2013 8/1/2013
2.78 1 11/1/2013 11/1/2013
2.76 1 11/1/2016 11/1/2016
2.19 1 12/1/2014 12/1/2014
1.96 1 1/1/2017 1/1/2017
1.85 1 2/1/2015 2/1/2015
1.65 1 2/1/2014 2/1/2014
1.19 1 2/1/2016 2/1/2016
1.12 2 2/1/2013 3/1/2013
0.87 2 1/1/2019 2/1/2019
0.69 1 9/1/2018 9/1/2018
0.46 1 4/1/2015 4/1/2015
0.37 1 9/1/2017 9/1/2017
0.34 1 4/1/2017 4/1/2017
0.31 1 5/1/2018 5/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.24 7 10/1/2017 4/1/2018
-6.90 2 3/1/2014 4/1/2014
-4.91 3 6/1/2018 8/1/2018
-4.78 2 2/1/2017 3/1/2017
-4.26 2 7/1/2017 8/1/2017
-4.08 2 9/1/2013 10/1/2013
-3.98 2 6/1/2013 7/1/2013
-3.93 3 10/1/2018 12/1/2018
-3.17 1 3/1/2015 3/1/2015
-3.16 2 9/1/2016 10/1/2016
-2.82 2 12/1/2013 1/1/2014
-2.46 1 5/1/2017 5/1/2017
-2.38 2 10/1/2014 11/1/2014
-2.28 3 11/1/2015 1/1/2016
-1.70 1 12/1/2016 12/1/2016
-1.03 1 5/1/2015 5/1/2015
-0.25 1 4/1/2013 4/1/2013
-0.07 1 1/1/2015 1/1/2015
-0.04 1 3/1/2016 3/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable46.5842.2544.1259.6873.2182.0078.9576.92
Average Period Return0.140.380.792.315.207.6913.7715.80
Average Gain2.064.256.458.9511.3012.6618.5021.45
Average Loss-1.54-2.45-3.68-7.51-11.46-14.94-3.94-3.03
Best Period8.0513.4019.7118.3522.7924.3233.9731.72
Worst Period-6.81-6.73-7.85-14.18-17.76-18.41-5.75-5.25
Standard Deviation2.464.376.669.4411.1711.9512.9312.22
Gain Standard Deviation1.933.875.935.394.845.6910.147.07
Loss Standard Deviation1.431.762.503.814.153.251.781.86
Sharpe Ratio (1%)0.020.030.040.140.330.480.830.96
Average Gain / Average Loss1.341.741.751.190.990.854.697.07
Profit / Loss Ratio1.171.271.381.762.703.8617.6023.56
Downside Deviation (10%)1.763.095.008.3710.1511.0510.1612.83
Downside Deviation (5%)1.572.443.635.907.027.313.293.50
Downside Deviation (0%)1.522.283.315.326.286.471.961.67
Sortino Ratio (10%)-0.15-0.27-0.34-0.32-0.24-0.23-0.20-0.45
Sortino Ratio (5%)0.040.050.080.220.530.783.273.35
Sortino Ratio (0%)0.090.170.240.430.831.197.029.46

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.