County Cork LLC : County Cork Acclivity Program

Year-to-Date
22.84%
Oct Performance
-1.37%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.34%
Sharpe (RFR=1%)
0.72
CAROR
8.23%
Assets
$ 3.5M
Worst DD
-8.96
S&P Correlation
0.25

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
1/2016
County Cork Acclivity Program -1.37 1.79 22.84 18.94 22.18 - - 35.40
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 54.96
+/- S&P 500 -3.41 -0.13 1.68 6.93 -19.24 - - -19.56

Strategy Description

Summary

The County Cork Acclivity Program is a systematic managed futures long-only strategy trading futures contracts in US 10yr Note, Euro Bund, and E-Mini S&P 500 . Trading signals are based on classical technical analysis, which combine both long and short-term trend following, momentum,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 3,000k
CTA Max Funding Factor
1.00
Management Fee
2.00%
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
1400 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Financial & Metals Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
10.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
15.00%
Pattern Recognition
15.00%
Technical
25.00%
Trend-following
25.00%
Other
20.00%
Strategy Pie Chart

Composition

Interest Rates
60.00%
Stock Indices
40.00%
Composition Pie Chart

Summary

The County Cork Acclivity Program is a systematic managed futures long-only strategy trading futures contracts in US 10yr Note, Euro Bund, and E-Mini S&P 500 . Trading signals are based on classical technical analysis, which combine both long and short-term trend following, momentum, price pattern, oscillator, and mean reversion. --- IMPORTANT DISCLOSURE --- The performance set forth above is for a proprietary account maintained by a principal of County Cork traded pursuant to the County Cork Acclivity 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 Program, as well as actual commission and transaction fees, with profits not reinvested. County Cork has chosen to use performance of a proprietary account in this presentation as it has continuously operated since inception.

Investment Strategy

The Acclivity Program is a blending of unique systems, which think independently of one another, in an effort to reduce volatility and enhance performance. Returns exhibit low or no correlation with the S&P 500 Index, offering excellent diversification benefits to any portfolio.

   

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
-8.96 4 6 8/1/2018 12/1/2018
-7.37 2 9 9/1/2016 11/1/2016
-5.31 5 2 8/1/2017 1/1/2018
-3.46 1 1 3/1/2018 4/1/2018
-2.82 1 2 3/1/2016 4/1/2016
-2.02 1 2 5/1/2018 6/1/2018
-1.37 1 - 9/1/2019 10/1/2019
-0.51 1 1 7/1/2016 8/1/2016
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
16.08 5 5/1/2019 9/1/2019
11.21 3 5/1/2016 7/1/2016
6.92 3 1/1/2016 3/1/2016
6.31 2 2/1/2018 3/1/2018
6.04 1 3/1/2019 3/1/2019
5.77 3 12/1/2016 2/1/2017
4.56 1 5/1/2018 5/1/2018
3.72 1 8/1/2017 8/1/2017
3.21 1 1/1/2019 1/1/2019
3.09 2 7/1/2018 8/1/2018
2.37 3 4/1/2017 6/1/2017
1.60 1 9/1/2016 9/1/2016
0.78 1 11/1/2018 11/1/2018
0.27 1 11/1/2017 11/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-7.37 2 10/1/2016 11/1/2016
-5.97 2 9/1/2018 10/1/2018
-4.44 2 9/1/2017 10/1/2017
-3.93 1 12/1/2018 12/1/2018
-3.46 1 4/1/2018 4/1/2018
-2.82 1 4/1/2016 4/1/2016
-2.70 1 3/1/2017 3/1/2017
-2.02 1 6/1/2018 6/1/2018
-1.37 1 10/1/2019 10/1/2019
-1.18 2 12/1/2017 1/1/2018
-1.04 1 4/1/2019 4/1/2019
-0.93 1 2/1/2019 2/1/2019
-0.51 1 8/1/2016 8/1/2016
-0.22 1 7/1/2017 7/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable60.8765.9165.8580.0086.2191.30
Average Period Return0.702.113.774.526.528.29
Average Gain2.524.647.156.068.079.20
Average Loss-2.12-2.78-2.76-1.67-3.17-1.20
Best Period8.3814.1921.3518.9419.0921.57
Worst Period-5.12-7.37-6.91-3.32-4.46-1.52
Standard Deviation2.984.896.925.476.816.62
Gain Standard Deviation2.133.806.055.005.986.19
Loss Standard Deviation1.592.392.121.121.190.46
Sharpe Ratio (1%)0.210.380.470.640.740.95
Average Gain / Average Loss1.191.672.593.642.547.68
Profit / Loss Ratio1.853.235.0014.5615.9180.65
Downside Deviation (10%)1.852.723.333.605.145.61
Downside Deviation (5%)1.682.222.251.281.831.01
Downside Deviation (0%)1.642.112.000.881.240.37
Sortino Ratio (10%)0.160.320.39-0.13-0.21-0.35
Sortino Ratio (5%)0.370.841.452.752.746.23
Sortino Ratio (0%)0.431.001.885.155.2722.68

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.