County Cork LLC : Commodity Long / Short

Year-to-Date
21.06%
Oct Performance
0.13%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.65%
Sharpe (RFR=1%)
-0.63
CAROR
-6.12%
Assets
$ 1.7M
Worst DD
-21.16
S&P Correlation
0.00

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2017
Commodity Long / Short 0.13 -5.71 -21.06 -12.59 - - - -14.60
S&P 500 2.04 1.92 21.16 12.01 - - - 24.66
+/- S&P 500 -1.91 -7.63 -42.22 -24.60 - - - -39.26

Strategy Description

Summary

The COMMODITY L/S Program, or the Commodity Long and Short Managed Futures Program, is a systematic trading system that uses detailed, algorithmic analyses in order initiate and hold long or short futures positions in U.S. grain, livestock, precious metals and energy futures markets. The... 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
$0
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
354 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
Worst Peak-to-Trough
-10.50%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
8.00%
1-30 Days
92.00%
Intraday
0%

Decision-Making

Discretionary
2.00%
Systematic
98.00%

Strategy

Fundamental
80.00%
Seasonal/cyclical
15.00%
Technical
5.00%
Strategy Pie Chart

Composition

Energy
35.00%
Grains
30.00%
Precious Metals
25.00%
Livestock
10.00%
Composition Pie Chart

Summary

The COMMODITY L/S Program, or the Commodity Long and Short Managed Futures Program, is a systematic trading system that uses detailed, algorithmic analyses in order initiate and hold long or short futures positions in U.S. grain, livestock, precious metals and energy futures markets. The general philosophy of the COMMODITY L/S Program is that the pricing of grain, livestock, precious metals and energy 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.

Investment Strategy

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 COMMODITY L/S Program monitors and analyzes cash price vs futures price movements in order to generate trading signals.

Risk Management

The COMMODITY L/S Program focuses on futures contracts with substantial open interest and is intended to employ very limited leverage, which should tend to reduce risk and provide significant liquidity during stressful market periods.

   

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:
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
-21.16 9 - 12/1/2018 9/1/2019
-9.51 9 2 1/1/2018 10/1/2018
-0.99 3 2 7/1/2017 10/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
10.72 2 11/1/2018 12/1/2018
4.44 3 5/1/2017 7/1/2017
4.41 3 11/1/2017 1/1/2018
2.16 1 6/1/2019 6/1/2019
1.75 1 9/1/2018 9/1/2018
0.67 3 3/1/2018 5/1/2018
0.23 1 3/1/2019 3/1/2019
0.13 1 10/1/2019 10/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.94 3 7/1/2019 9/1/2019
-9.61 2 4/1/2019 5/1/2019
-5.90 3 6/1/2018 8/1/2018
-5.41 2 1/1/2019 2/1/2019
-5.27 1 10/1/2018 10/1/2018
-0.99 3 8/1/2017 10/1/2017
-0.90 1 2/1/2018 2/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable50.0035.7152.0021.057.69
Average Period Return-0.48-1.58-3.03-4.85-7.67
Average Gain1.623.232.424.683.74
Average Loss-2.57-4.25-8.94-7.40-8.62
Best Period8.416.263.937.473.74
Worst Period-8.35-10.45-16.84-17.31-20.54
Standard Deviation3.074.656.786.888.33
Gain Standard Deviation2.131.771.212.70
Loss Standard Deviation2.373.405.055.147.93
Sharpe Ratio (1%)-0.18-0.39-0.52-0.85-1.10
Average Gain / Average Loss0.630.760.270.630.43
Profit / Loss Ratio0.630.420.290.170.04
Downside Deviation (10%)2.665.138.6111.9017.24
Downside Deviation (5%)2.484.487.358.6712.16
Downside Deviation (0%)2.444.327.047.9211.04
Sortino Ratio (10%)-0.33-0.55-0.64-0.83-0.89
Sortino Ratio (5%)-0.23-0.41-0.48-0.68-0.75
Sortino Ratio (0%)-0.20-0.37-0.43-0.61-0.69

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.