County Cork LLC : County Cork Acclivity Program

Year-to-Date
2.01%
Oct Performance
-0.47%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.42%
Sharpe (RFR=1%)
0.55
CAROR
6.42%
Assets
$ 3.0M
Worst DD
-8.96
S&P Correlation
0.19

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 -0.47 3.47 2.01 -1.33 19.53 - - 35.10
S&P 500 -2.77 -0.04 1.21 7.65 26.97 - - 66.82
+/- S&P 500 2.30 3.51 0.80 -8.98 -7.44 - - -31.71

Strategy Description

Summary

The Acclivity Program is a diversified managed futures approach which trades an evolving portfolio of quantitative strategies. By applying rules based investment strategies the Acclivity Program has the ability to capture both up and down price trends in global futures markets, allowing... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 1,000k
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 Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 2.00%
1-30 Days 98.00%
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

Currency Futures
25.00%
Interest Rates
20.00%
Grains
15.00%
Precious Metals
10.00%
Energy
10.00%
Livestock
10.00%
Softs
10.00%
Composition Pie Chart

Summary

The Acclivity Program is a diversified managed futures approach which trades an evolving portfolio of quantitative strategies. By applying rules based investment strategies the Acclivity Program has the ability to capture both up and down price trends in global futures markets, allowing the program to capitalize on and navigate a broad range of market environments. The Acclivity Program offers diversification benefits by exhibiting no or low correlation with popular equity and fixed income indices such as the S&P 500 Index or Barclays Capital U.S. Aggregate Bond Index. Innovation is critical for ensuring a managed futures strategy can continue to deliver, and our research has allowed us to adapt our trading systems over time to changes in market conditions.

Investment Strategy

The Acclivity Program’s objective is to achieve stable portfolio growth with controlled volatility, high risk adjusted returns, and reasonable drawdowns regardless of the economic or market environment. This is achieved through a long and short strategy comprised of a multitude of component models. The Acclivity program is a long and short positioning approach determined by a multitude of unique component models developed using data analysis techniques which utilize predictive analytics to assist in model building. Technical analysis factors include long and short term trend following, momentum, price, pattern, oscillator, and mean reversion signals. Component models: • Operate independently from one another • Exploit a market niche • Are independently viable (with each model exhibiting its own edge) Component models are aggregated to establish positions. Position sizing is determined by the number of models signaling a trading position.

Risk Management

Models independently determine position recommendations. These models are then aggregated and both positioning and position sizing for each product are determined with a goal of reducing volatility and enhancing performance. Research indicates that this approach allows for increased flexibility in managing risk, drawdowns, and market time exposure. Additionally, this approach provides diversification on multiple levels: * Diversification among markets: By trading uncorrelated products, the overall risk and volatility of the combined program is reduced. * Diversification among strategies: By trading multiple systems within each market, overall risk is further reduced while maintaining the return profile of the individual systems. The Acclivity strategy is opportunistic with an absolute return objective. Average position holding period to date has averaged approximately 4 days.

   

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
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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
-7.27 7 - 1/1/2020 8/1/2020
-5.31 5 2 8/1/2017 1/1/2018
-3.53 3 1 9/1/2019 12/1/2019
-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
-0.51 1 1 7/1/2016 8/1/2016
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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
6.32 1 1/1/2020 1/1/2020
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
3.96 1 9/1/2020 9/1/2020
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
1.46 2 6/1/2020 7/1/2020
1.12 1 11/1/2019 11/1/2019
0.78 1 11/1/2018 11/1/2018
0.27 1 11/1/2017 11/1/2017
0.01 1 4/1/2020 4/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.37 2 10/1/2016 11/1/2016
-6.34 2 2/1/2020 3/1/2020
-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
-3.27 1 12/1/2019 12/1/2019
-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
-1.60 1 8/1/2020 8/1/2020
-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
-0.84 1 5/1/2020 5/1/2020
-0.51 1 8/1/2016 8/1/2016
-0.47 1 10/1/2020 10/1/2020
-0.22 1 7/1/2017 7/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable58.6260.7160.3876.6090.2494.29100.00
Average Period Return0.561.563.035.658.8910.5616.19
Average Gain2.454.246.917.8710.2011.2816.19
Average Loss-2.11-2.58-2.88-1.62-3.17-1.20
Best Period8.3814.1921.3523.7819.5226.0626.54
Worst Period-6.19-7.37-6.91-4.53-4.46-1.527.05
Standard Deviation3.014.636.736.956.996.884.65
Gain Standard Deviation2.163.675.866.436.036.414.65
Loss Standard Deviation1.732.351.991.411.190.46
Sharpe Ratio (1%)0.160.280.380.671.061.242.83
Average Gain / Average Loss1.161.642.404.873.229.42
Profit / Loss Ratio1.652.543.6615.9329.75155.43
Downside Deviation (10%)1.962.803.623.714.324.572.81
Downside Deviation (5%)1.782.282.451.431.540.82
Downside Deviation (0%)1.742.162.191.021.040.30
Sortino Ratio (10%)0.080.120.150.180.300.070.15
Sortino Ratio (5%)0.270.571.033.264.7910.46
Sortino Ratio (0%)0.320.721.395.558.5435.65

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.