County Cork LLC : County Cork Diversified Commodity Long Short

Year-to-Date
1.29%
Jun Performance
-0.13%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
9.52%
Sharpe (RFR=1%)
0.68
CAROR
7.26%
Assets
$ 5.0M
Worst DD
-10.67
S&P Correlation
-0.20

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
10/2018
County Cork Diversified Commodity Long Short -0.13 -0.55 1.29 14.06 - - - 21.26
S&P 500 2.22 8.17 18.13 43.11 - - - 63.61
+/- S&P 500 -2.35 -8.72 -16.84 -29.06 - - - -42.35

Strategy Description

Summary

The County Cork Diversified Commodity Long/Short Strategy uses the relationship between cash and futures prices to establish directional positions in the futures markets. It is fully systematic and focuses on timing as well as magnitude of basis changes allowing for continuous risk... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 2,000k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $5.00
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 664 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -6.00%
Worst Peak-to-Trough 10.67%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 15.00%
1-30 Days 80.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Fundamental
20.00%
Technical
80.00%
Strategy Pie Chart

Composition

Energy
30.00%
Grains
30.00%
Livestock
25.00%
Precious Metals
15.00%
Composition Pie Chart

Summary

The County Cork Diversified Commodity Long/Short Strategy uses the relationship between cash and futures prices to establish directional positions in the futures markets. It is fully systematic and focuses on timing as well as magnitude of basis changes allowing for continuous risk management of the positions. The Program trades futures contracts in three market sectors: agriculture, metals, and energy. It combines commercial logic with quantitative algorithms using fundamental price data. It leverages the decades of experience of Robert J. O’Brien Jr. in the agriculture space. Our model was developed for an under exploited niche market sector.

Investment Strategy

The general philosophy of the Diversified 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. 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 Diversified Commodity L/S Program monitors and analyzes cash price vs futures price movements in order to generate trading signals. This Program is a culmination of over 10 years of work and extensive research. It began with Robert J. O’Brien Jr.’s theory derived from years of experience working in agricultural research and sales that significant change in the basis between the cash and the futures price of a specific commodity should be indicative of future price movement. This theory has been tested and evaluated by in house researchers as well as paid consultants. Our conclusions are that the theory bears out, and basis change can be predictive of price movement of the futures product.

Risk Management

County Cork focuses on risk and money management. We therefore concluded that regardless of how it is done, all trading strategies must have a stop loss point. Forcing an entry signal to always act as an exit signal, as in the original program, can cause significant distortion when evaluating parameters. Forcing any trade to exit if it loses a set amount from entry is the key element of risk management in the new models. • “Trade management” rules have also been applied. • A breakeven “plus” stop. • A time in trade stop • Volatility management dovetails with risk management but has distinctive differences as well. Diversification works best when the allocation to an instrument is adjusted for volatility. Without this, the two or three most volatile instruments will swing the portfolio and minimize the contributions of the other instruments. • We also theorized that having a methodology that can dynamically allocate risk based on performance of any given market/model pair is essential not only to minimizing drawdowns but also as a guard against overfitting the portfolio allocation. • In allocating to all the model/market combinations, long term correlations of the components are evaluated to detect obvious over allocations of risk and adjusted accordingly.

   

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
-10.67 10 4 1/1/2019 11/1/2019
-5.32 3 1 3/1/2020 6/1/2020
-2.59 2 - 4/1/2021 6/1/2021
-2.51 1 1 12/1/2020 1/1/2021
-0.32 1 1 7/1/2020 8/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
16.26 4 12/1/2019 3/1/2020
8.12 4 10/1/2018 1/1/2019
6.70 4 9/1/2020 12/1/2020
6.66 3 2/1/2021 4/1/2021
5.87 1 7/1/2020 7/1/2020
2.13 2 5/1/2019 6/1/2019
0.02 1 5/1/2020 5/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.71 5 7/1/2019 11/1/2019
-5.23 3 2/1/2019 4/1/2019
-4.03 1 6/1/2020 6/1/2020
-2.59 2 5/1/2021 6/1/2021
-2.51 1 1/1/2021 1/1/2021
-1.36 1 4/1/2020 4/1/2020
-0.32 1 8/1/2020 8/1/2020
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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.