County Cork LLC : County Cork Fusion Equity

archived programs
Year-to-Date
N / A
May Performance
1.78%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.38%
Sharpe (RFR=1%)
-0.22
CAROR
-2.51%
Assets
$ 1.0M
Worst DD
-34.49
S&P Correlation
0.12

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
10/2013
County Cork Fusion Equity 1.78 0.98 - -7.45 -25.48 - - -8.89
S&P 500 1.16 2.04 - 15.01 25.38 - - 35.73
+/- S&P 500 0.62 -1.06 - -22.46 -50.87 - - -44.62

Strategy Description

Summary

The Fusion system can be thought of as a multi-strat version of an automated trading system. There are six model families that represent a combination of breakout, momentum, contrarian, support, resistance, and moving average. Within these families, there are sub models that operate... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
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
5500 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
20.00%
Momentum
20.00%
Pattern Recognition
20.00%
Technical
20.00%
Other
20.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Fusion system can be thought of as a multi-strat version of an automated trading system. There are six model families that represent a combination of breakout, momentum, contrarian, support, resistance, and moving average. Within these families, there are sub models that operate on different time frames and are weighted in a proprietary manner.

Investment Strategy

The Fusion Equities trading program utilizes multiple discrete computer models to enter and exit both long and short positions in stock index futures contracts.  These positions are short term in nature and are exited by the end of each trading day.  The models in aggregate employ a combination of trading strategy styles including, but not limited to, breakouts and momentum, support and resistance, and contrarian.  The models evaluate both price and non-price data of several different instruments to signal a directional indication at which time all model indications are aggregated to produce a net portfolio signal direction and position size.  All data analysis, signal generation, and trade execution are fully automated on a proprietary software platform.

--- IMPORTANT DISCLOSURE---FROM OCTOBER 2013 TO SEPTEMBER 17 2014, THE PERFORMANCE OF ACTUAL TRADING ACCOUNTS TRADED BY A THIRD PARTY PERSUANT TO THE PROGRAM UNDER POWER OF ATTORNEY. SINCE SEPTEMBER 17, 2014, THE DATA REFLECTS THE PERFORMANCE OF ACTUAL CUSTOMER ACCOUNTS TRADED BY COUNTY CORK LLC PURSUANT TO THE PROGRAM UNDER POWERS OF ATTORNEY. ALL PERFORMANCE HAS BEEN PRO FORMA ADJUSTED FOR A 2% (ANNUALIZED) MONTHLY MANAGEMENT FEE AND A 20% (ANNUALIZED) QUARTERLY INCENTIVE FEE. ALL PERFORMANCE IS NET OF ACTUAL FEES AND COMMISSIONS, WITH PROFITS NOT REINVESTED.

Risk Management

On a program level, we use a 3% max daily stop loss. On an individual model level there are no stops used, but models will exit or reverse based on constant verification of signal strength. If there is an electronic failure, positions can be flattened by floor execution from the County Cork risk desk.

   

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:
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Average Gain:
Gain Deviation:
Risk
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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:
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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
-34.49 29 - 11/1/2014 4/1/2017
-1.19 2 1 4/1/2014 6/1/2014
-0.39 1 1 7/1/2014 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
22.47 7 10/1/2013 4/1/2014
11.48 3 9/1/2014 11/1/2014
10.08 2 11/1/2015 12/1/2015
4.14 1 2/1/2016 2/1/2016
4.05 1 11/1/2016 11/1/2016
3.17 1 9/1/2016 9/1/2016
1.78 1 5/1/2017 5/1/2017
1.68 1 7/1/2014 7/1/2014
1.04 1 3/1/2017 3/1/2017
0.85 1 1/1/2015 1/1/2015
0.27 1 5/1/2016 5/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.26 9 2/1/2015 10/1/2015
-5.92 3 6/1/2016 8/1/2016
-5.52 1 10/1/2016 10/1/2016
-5.18 1 12/1/2014 12/1/2014
-3.94 3 12/1/2016 2/1/2017
-3.86 2 3/1/2016 4/1/2016
-3.63 1 1/1/2016 1/1/2016
-1.81 1 4/1/2017 4/1/2017
-1.19 2 5/1/2014 6/1/2014
-0.39 1 8/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable45.4545.2441.0321.2114.810.00
Average Period Return-0.15-0.74-1.84-6.04-13.65-19.94
Average Gain2.945.529.1519.837.61
Average Loss-2.84-5.91-9.48-13.01-17.35-19.94
Best Period6.9612.5917.1831.1015.97-6.37
Worst Period-8.52-14.65-22.70-32.01-27.96-33.60
Standard Deviation3.577.0811.2116.3311.958.21
Gain Standard Deviation2.104.004.8010.756.64
Loss Standard Deviation2.234.297.258.708.148.21
Sharpe Ratio (1%)-0.05-0.12-0.19-0.40-1.21-2.55
Average Gain / Average Loss1.030.930.961.520.44
Profit / Loss Ratio0.900.770.670.410.08
Downside Deviation (10%)2.836.1310.6717.7024.2131.24
Downside Deviation (5%)2.615.449.2514.1818.2522.43
Downside Deviation (0%)2.595.379.0913.8117.6221.49
Sortino Ratio (10%)-0.20-0.32-0.40-0.62-0.88-0.97
Sortino Ratio (5%)-0.07-0.16-0.23-0.46-0.79-0.93
Sortino Ratio (0%)-0.06-0.14-0.20-0.44-0.77-0.93

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 1.78 5/2017
Stock Index Trader Index Month 6 4.05 11/2016
Stock Index Trader Index Month 5 3.17 9/2016
Stock Index Trader Index Month 2 4.14 2/2016
Stock Index Trader Index Month 1 4.97 12/2015
Systematic Trader Index Month 4 4.97 12/2015
Stock Index Trader Index Month 3 4.87 11/2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.