County Cork LLC : Commodity Long / Short Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 20.19% Dec Performance 2.00% Min Investment $ 500k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 10.41% Sharpe (RFR=1%) -0.57 CAROR -5.36% Assets $ 1.7M Worst DD -21.76 S&P Correlation 0.01 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 Dec Qtr 2019 1yr 3yr 5yr 10yr Since5/2017 Commodity Long / Short 2.00 1.22 -20.19 -20.19 - - - -13.67 S&P 500 2.86 8.53 28.87 28.87 - - - 32.59 +/- S&P 500 -0.86 -7.31 -49.06 -49.06 - - - -46.26 Strategy Description SummaryThe 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% Composition Energy 35.00% Grains 30.00% Precious Metals 25.00% Livestock 10.00% SummaryThe 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 StrategyThe 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 ManagementThe 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. 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 -21.76 11 - 12/1/2018 11/1/2019 -9.51 9 2 1/1/2018 10/1/2018 -0.99 3 2 7/1/2017 10/1/2017 Show More 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 2.00 1 12/1/2019 12/1/2019 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 Show More 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 -0.89 1 11/1/2019 11/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods32.0030.0027.0021.0015.00 Percent Profitable50.0036.6748.1519.056.67 Average Period Return-0.41-1.63-3.46-6.08-9.33 Average Gain1.643.042.424.683.74 Average Loss-2.47-4.34-8.91-8.61-10.26 Best Period8.416.263.937.473.74 Worst Period-8.35-10.45-16.84-20.19-21.42 Standard Deviation3.014.596.697.638.88 Gain Standard Deviation2.061.781.212.70 Loss Standard Deviation2.333.334.655.978.42 Sharpe Ratio (1%)-0.17-0.41-0.59-0.93-1.22 Average Gain / Average Loss0.660.700.270.540.36 Profit / Loss Ratio0.660.410.250.130.03 Downside Deviation (10%)2.595.128.8313.3318.97 Downside Deviation (5%)2.414.477.5110.0913.80 Downside Deviation (0%)2.364.317.189.3312.64 Sortino Ratio (10%)-0.32-0.56-0.67-0.83-0.89 Sortino Ratio (5%)-0.21-0.42-0.53-0.70-0.78 Sortino Ratio (0%)-0.18-0.38-0.48-0.65-0.74 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