County Cork LLC : County Cork Macro Equity Hedge

Year-to-Date
9.48%
Aug Performance
-0.22%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
6.25%
Sharpe (RFR=1%)
0.49
CAROR
3.91%
Assets
$ 2.7M
Worst DD
-5.60
S&P Correlation
0.61

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2016
County Cork Macro Equity Hedge -0.22 7.77 9.48 8.27 6.28 - - 14.73
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 49.91
+/- S&P 500 1.59 1.43 -7.25 7.42 -27.15 - - -35.19

Strategy Description

Investment Strategy

The Macro Equity Hedge strategy is a systematic program designed to produce stock market like returns over time with much lower volatility through a combination of protection and performance. The strategy is a made up of a long-only basket of Emini S&P futures, 10 year... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.00%
Performance Fee
10.00%
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
200 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
20.00%
1-3 Months
70.00%
1-30 Days
10.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
30.00%
Pattern Recognition
30.00%
Technical
30.00%
Other
10.00%
Strategy Pie Chart

Composition

Precious Metals
30.00%
Interest Rates
30.00%
Stock Indices
30.00%
Currency Futures
10.00%
Composition Pie Chart

Investment Strategy

The Macro Equity Hedge strategy is a systematic program designed to produce stock market like returns over time with much lower volatility through a combination of protection and performance. The strategy is a made up of a long-only basket of Emini S&P futures, 10 year note futures, and gold futures. Additionally, a smaller portion of the strategy consists of a long/short currency breakout system. The strategy is governed by a proprietary systematic model that dynamically adjusts portfolio positions and weights. -IMPORTANT DISCLOSURE- THE PERFORMANCE SET FORTH ABOVE IS FOR A PROPRIETARY ACCOUNT MAINTAINED BY A PRINCIPAL OF COUNTY CORK TRADED PURSUANT TO THE MACRO EQUITY HEDGE PROGRAM. THE PERFORMANCE HAS BEEN PRO FORMA ADJUSTED FOR A 1% (ANNUALIZED) MONTHLY MANAGEMENT FEE AND A 10% QUARTERLY INCENTIVE FEE THAT WOULD HAVE BEEN CHARGED TO A CUSTOMER ACCOUNT PARTICIPATING IN THE PROGRAM. THE PERFORMANCE IS NET OF ACTUAL BROKERAGE COMMISSIONS AND TRANSACTION FEES CHARGED TO THE ACCOUNT, WITH PROFITS REINVESTED. COUNTY CORK HAS CHOSEN TO USE PERFORMANCE OF A PROPRIETARY ACCOUNT IN THIS PRESENTATION AS IT HAS CONTINUOUSLY OPERATED SINCE INCEPTION.

   

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
-5.60 4 14 7/1/2016 11/1/2016
-5.46 9 6 1/1/2018 10/1/2018
-4.33 1 1 4/1/2019 5/1/2019
-0.22 1 - 7/1/2019 8/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
8.99 6 2/1/2016 7/1/2016
8.01 2 6/1/2019 7/1/2019
3.74 2 3/1/2019 4/1/2019
3.26 3 12/1/2016 2/1/2017
3.20 2 7/1/2017 8/1/2017
2.57 1 1/1/2019 1/1/2019
2.55 3 11/1/2017 1/1/2018
1.37 1 8/1/2018 8/1/2018
1.09 1 11/1/2018 11/1/2018
0.94 1 5/1/2017 5/1/2017
0.74 1 5/1/2018 5/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.60 4 8/1/2016 11/1/2016
-4.56 3 2/1/2018 4/1/2018
-4.33 1 5/1/2019 5/1/2019
-2.11 2 9/1/2018 10/1/2018
-1.51 2 9/1/2017 10/1/2017
-0.94 2 3/1/2017 4/1/2017
-0.93 1 6/1/2017 6/1/2017
-0.91 2 6/1/2018 7/1/2018
-0.22 1 8/1/2019 8/1/2019
-0.21 1 2/1/2019 2/1/2019
-0.06 1 12/1/2018 12/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable53.4956.1057.8959.3861.5475.00
Average Period Return0.340.931.391.541.852.44
Average Gain1.562.873.773.743.604.02
Average Loss-1.08-1.55-1.88-1.69-0.94-2.28
Best Period6.417.778.9910.007.609.72
Worst Period-4.33-4.68-4.77-3.15-1.45-4.09
Standard Deviation1.802.733.543.572.953.72
Gain Standard Deviation1.301.672.582.922.442.78
Loss Standard Deviation1.141.531.371.050.441.17
Sharpe Ratio (1%)0.140.250.250.150.120.12
Average Gain / Average Loss1.451.862.002.223.821.77
Profit / Loss Ratio1.672.372.763.246.115.30
Downside Deviation (10%)1.262.093.004.786.438.60
Downside Deviation (5%)1.091.551.771.841.582.26
Downside Deviation (0%)1.051.421.491.250.641.25
Sortino Ratio (10%)-0.06-0.14-0.36-0.72-0.89-0.91
Sortino Ratio (5%)0.230.440.500.290.220.19
Sortino Ratio (0%)0.320.660.931.232.901.95

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.