Drury Capital : Diversified Trend-Following Program

Year-to-Date
13.20%
Aug Performance
6.96%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.38%
Sharpe (RFR=1%)
0.51
CAROR
9.43%
Assets
$ 211.0M
Worst DD
-32.52
S&P Correlation
-0.13

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
5/1997
Diversified Trend-Following Program 6.96 16.33 13.20 8.09 18.75 32.34 21.60 648.76
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 241.42
+/- S&P 500 8.77 9.99 -3.53 7.23 -14.68 -12.25 -162.17 407.34

Strategy Description

Summary

The strategy is trend following, systematically executed and broadly diversified. The aim is long term capital growth with particular focus on targeting risk-adjusted rates of return.

Numerous models are traded, but all are trend-following in nature. The benefit of numerous... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
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
1200 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
17.00%
Precious Metals
17.00%
Interest Rates
17.00%
Stock Indices
17.00%
Other
17.00%
Grains
8.00%
Softs
7.00%
Composition Pie Chart

Summary

The strategy is trend following, systematically executed and broadly diversified. The aim is long term capital growth with particular focus on targeting risk-adjusted rates of return.

Numerous models are traded, but all are trend-following in nature. The benefit of numerous models is to provide diversification, for any given instrument, away from a single entry and exit point, hence to reduce the volatility of the overall portfolio.

The trading program targets net performance of 20% annually with volatility of 17%. Average trade duration for a winning trade is about 6 months, for a losing trade, 2 months.

Investment Strategy

The Drury Diversified Trend-Following Program portfolio is broadly diversified. Approximately half of the risk exposure is in financial markets, and half in commodities. Among financial markets, approximately equal weighting is given to three sectors – stock indices, interest rates, and currencies. Among commodities, approximately equal weighting is given to three sectors – energies, metals, and agricultural products (grains and softs).

Risk Management

Diversification is done on extremely broad basis to cushion risks.

   

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
-32.52 32 23 3/1/2004 11/1/2006
-29.52 37 46 2/1/2011 3/1/2014
-15.63 7 3 10/1/2001 5/1/2002
-14.83 2 2 9/1/2002 11/1/2002
-14.74 13 6 1/1/2018 2/1/2019
-13.51 7 5 12/1/2009 7/1/2010
-13.12 3 1 7/1/1997 10/1/1997
-12.77 6 2 2/1/2003 8/1/2003
-10.07 3 5 4/1/1999 7/1/1999
-7.82 2 4 8/1/1998 10/1/1998
-6.76 3 1 12/1/1999 3/1/2000
-6.31 2 2 11/1/2000 1/1/2001
-6.26 2 3 2/1/2009 4/1/2009
-5.46 1 1 3/1/1998 4/1/1998
-4.57 1 1 1/1/0001 5/1/1997
-4.41 1 2 5/1/2000 6/1/2000
-4.19 1 2 3/1/2001 4/1/2001
-3.66 1 2 6/1/2001 7/1/2001
-3.53 1 1 9/1/2009 10/1/2009
-2.82 1 1 2/1/1999 3/1/1999
-1.82 1 1 12/1/2008 1/1/2009
-1.70 1 1 8/1/2000 9/1/2000
-1.38 1 1 6/1/1998 7/1/1998
-1.03 1 1 10/1/2003 11/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
64.77 5 8/1/2008 12/1/2008
48.34 5 11/1/1997 3/1/1998
32.41 4 8/1/2014 11/1/2014
29.34 2 6/1/1997 7/1/1997
26.98 3 12/1/2002 2/1/2003
26.67 4 6/1/2002 9/1/2002
24.20 4 12/1/2003 3/1/2004
21.20 2 2/1/2001 3/1/2001
19.88 3 12/1/2010 2/1/2011
19.34 1 8/1/1998 8/1/1998
18.71 2 1/1/2008 2/1/2008
18.55 2 9/1/2003 10/1/2003
16.65 5 12/1/2012 4/1/2013
16.33 3 6/1/2019 8/1/2019
15.11 4 3/1/2007 6/1/2007
14.56 2 5/1/2008 6/1/2008
13.34 4 11/1/1998 2/1/1999
13.19 2 4/1/2000 5/1/2000
12.53 3 8/1/2001 10/1/2001
12.29 5 11/1/2011 3/1/2012
12.18 2 3/1/2019 4/1/2019
12.14 4 8/1/2005 11/1/2005
11.37 3 8/1/2010 10/1/2010
11.10 3 7/1/2009 9/1/2009
10.69 3 9/1/2013 11/1/2013
10.49 1 11/1/2015 11/1/2015
10.33 2 11/1/1999 12/1/1999
10.24 1 10/1/2017 10/1/2017
10.15 2 5/1/1998 6/1/1998
9.80 2 10/1/2000 11/1/2000
9.42 1 5/1/2003 5/1/2003
8.69 2 7/1/2017 8/1/2017
8.54 1 8/1/1999 8/1/1999
8.18 3 3/1/2018 5/1/2018
8.00 1 9/1/2011 9/1/2011
7.78 1 9/1/2004 9/1/2004
7.50 2 5/1/2001 6/1/2001
7.20 1 11/1/2004 11/1/2004
6.99 3 4/1/2014 6/1/2014
6.96 1 2/1/2017 2/1/2017
6.82 2 12/1/2006 1/1/2007
6.58 2 11/1/2009 12/1/2009
6.52 2 3/1/2010 4/1/2010
6.48 2 7/1/2000 8/1/2000
6.40 1 7/1/2015 7/1/2015
5.98 3 10/1/2016 12/1/2016
5.80 2 1/1/2016 2/1/2016
5.37 2 12/1/2001 1/1/2002
5.12 2 12/1/2017 1/1/2018
4.46 1 4/1/1999 4/1/1999
4.15 1 9/1/2015 9/1/2015
3.78 1 4/1/2011 4/1/2011
3.56 1 11/1/2007 11/1/2007
3.43 2 8/1/2018 9/1/2018
3.17 1 7/1/2012 7/1/2012
2.96 2 11/1/2018 12/1/2018
2.93 1 9/1/2007 9/1/2007
2.76 2 3/1/2006 4/1/2006
2.56 2 6/1/2016 7/1/2016
2.32 1 1/1/2015 1/1/2015
2.10 1 2/1/2009 2/1/2009
1.82 1 5/1/2009 5/1/2009
1.20 1 3/1/2015 3/1/2015
1.04 1 7/1/2013 7/1/2013
0.91 1 9/1/2006 9/1/2006
0.52 1 7/1/2011 7/1/2011
0.35 1 2/1/2000 2/1/2000
0.35 1 4/1/2017 4/1/2017
0.27 1 3/1/2005 3/1/2005
0.18 1 6/1/2010 6/1/2010
0.10 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.08 5 4/1/2004 8/1/2004
-15.82 2 5/1/2011 6/1/2011
-14.83 2 10/1/2002 11/1/2002
-13.72 4 12/1/2013 3/1/2014
-13.43 2 3/1/2008 4/1/2008
-13.12 3 8/1/1997 10/1/1997
-12.12 4 4/1/2005 7/1/2005
-12.02 3 3/1/2016 5/1/2016
-11.68 4 2/1/2002 5/1/2002
-11.26 3 6/1/2003 8/1/2003
-10.73 4 5/1/2006 8/1/2006
-10.61 2 7/1/2007 8/1/2007
-10.53 2 10/1/2006 11/1/2006
-10.16 2 3/1/2003 4/1/2003
-10.07 3 5/1/1999 7/1/1999
-9.49 1 10/1/2018 10/1/2018
-9.45 1 7/1/2008 7/1/2008
-9.34 1 11/1/2001 11/1/2001
-9.26 1 6/1/2015 6/1/2015
-9.04 4 8/1/2012 11/1/2012
-8.98 1 10/1/2011 10/1/2011
-8.97 1 2/1/2018 2/1/2018
-8.34 1 8/1/2011 8/1/2011
-7.92 3 4/1/2012 6/1/2012
-7.87 1 5/1/2010 5/1/2010
-7.82 2 9/1/1998 10/1/1998
-7.72 2 5/1/2017 6/1/2017
-7.52 2 1/1/2010 2/1/2010
-7.44 2 1/1/2019 2/1/2019
-7.14 3 12/1/2004 2/1/2005
-7.05 1 3/1/2011 3/1/2011
-6.48 1 8/1/2013 8/1/2013
-6.31 2 12/1/2000 1/1/2001
-6.28 1 5/1/2019 5/1/2019
-6.26 2 3/1/2009 4/1/2009
-6.19 2 5/1/2013 6/1/2013
-5.58 1 1/1/2000 1/1/2000
-5.46 1 4/1/1998 4/1/1998
-4.93 1 9/1/2017 9/1/2017
-4.88 1 7/1/2010 7/1/2010
-4.79 2 9/1/1999 10/1/1999
-4.63 1 8/1/2015 8/1/2015
-4.57 1 5/1/1997 5/1/1997
-4.51 1 4/1/2015 4/1/2015
-4.41 1 6/1/2000 6/1/2000
-4.34 1 3/1/2017 3/1/2017
-4.19 1 11/1/2010 11/1/2010
-4.19 1 4/1/2001 4/1/2001
-3.94 3 12/1/2005 2/1/2006
-3.66 1 7/1/2001 7/1/2001
-3.53 1 10/1/2009 10/1/2009
-3.51 1 2/1/2007 2/1/2007
-3.41 2 8/1/2016 9/1/2016
-3.29 1 12/1/2007 12/1/2007
-3.13 1 12/1/2015 12/1/2015
-3.12 1 2/1/2015 2/1/2015
-2.95 2 6/1/2018 7/1/2018
-2.82 1 3/1/1999 3/1/1999
-1.87 1 12/1/2014 12/1/2014
-1.82 1 1/1/2009 1/1/2009
-1.74 1 7/1/2014 7/1/2014
-1.70 1 9/1/2000 9/1/2000
-1.60 1 11/1/2017 11/1/2017
-1.59 1 3/1/2000 3/1/2000
-1.58 1 1/1/2017 1/1/2017
-1.38 1 7/1/1998 7/1/1998
-1.13 1 10/1/2004 10/1/2004
-1.03 1 11/1/2003 11/1/2003
-0.77 1 10/1/2015 10/1/2015
-0.67 1 10/1/2007 10/1/2007
-0.23 1 6/1/2009 6/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods268.00266.00263.00257.00251.00245.00233.00221.00209.00
Percent Profitable55.2257.8961.9864.9866.5369.8075.9780.0994.26
Average Period Return0.912.645.069.7114.4719.0928.8138.7046.99
Average Gain4.818.6212.5718.6525.9331.3741.6850.4550.28
Average Loss-3.91-5.59-7.17-6.89-8.33-9.29-11.84-8.58-7.04
Best Period23.3753.7562.0575.6596.34106.80134.53190.68181.61
Worst Period-9.49-15.38-25.18-20.44-25.70-27.00-30.39-20.55-12.13
Standard Deviation5.599.7313.6718.9224.2728.3335.1942.1842.41
Gain Standard Deviation4.118.2411.7317.5921.8225.1130.3838.9741.45
Loss Standard Deviation2.643.855.064.885.706.607.495.353.69
Sharpe Ratio (1%)0.150.250.330.460.530.600.730.820.99
Average Gain / Average Loss1.231.541.752.713.113.383.525.887.14
Profit / Loss Ratio1.522.122.865.026.197.8011.1323.64117.23
Downside Deviation (10%)3.385.076.727.679.8911.6014.5814.9212.88
Downside Deviation (5%)3.204.535.665.486.567.198.156.133.10
Downside Deviation (0%)3.154.405.404.995.836.256.854.501.89
Sortino Ratio (10%)0.150.280.390.610.690.760.901.151.50
Sortino Ratio (5%)0.260.530.811.591.972.383.165.6513.52
Sortino Ratio (0%)0.290.600.941.952.483.054.218.6024.90

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 5.72 5/2014
Trend Following Strategy Index Month 10 3.49 1/2011
Trend Following Strategy Index Month 4 6.57 7/2009
Systematic Trader Index Month 6 6.57 7/2009
Diversified Trader Index Month 7 6.57 7/2009
IASG CTA Index Month 8 6.57 7/2009
IASG CTA Index Month 1 16.95 9/2008
Trend Following Strategy Index Month 1 16.95 9/2008
Systematic Trader Index Month 1 16.95 9/2008
Diversified Trader Index Month 1 16.95 9/2008
Trend Following Strategy Index Month 8 7.44 5/2008
Diversified Trader Index Month 7 7.79 6/2007
Trend Following Strategy Index Month 5 7.79 6/2007
Systematic Trader Index Month 8 7.79 6/2007
Systematic Trader Index Month 9 7.78 9/2004
Diversified Trader Index Month 10 7.78 9/2004
Trend Following Strategy Index Month 8 7.78 9/2004
Trend Following Strategy Index Month 10 -1.21 6/2004
IASG CTA Index Month 10 13.80 10/2003
Diversified Trader Index Month 7 13.80 10/2003
Systematic Trader Index Month 6 13.80 10/2003
Trend Following Strategy Index Month 5 13.80 10/2003
IASG CTA Index 5 Year Rolling 9 139.74 1997 - 2002
Diversified Trader Index Month 8 4.82 12/2001
Trend Following Strategy Index Month 10 4.82 12/2001
Systematic Trader Index Month 10 4.82 12/2001
IASG CTA Index Month 5 4.97 6/2001
Systematic Trader Index Month 4 4.97 6/2001
Diversified Trader Index Month 4 4.97 6/2001
Trend Following Strategy Index Month 3 4.97 6/2001
Trend Following Strategy Index Month 4 15.48 3/2001
Systematic Trader Index Month 5 15.48 3/2001
Diversified Trader Index Month 5 15.48 3/2001
IASG CTA Index Month 6 15.48 3/2001
IASG CTA Index Month 6 4.95 2/2001
Diversified Trader Index Month 5 4.95 2/2001
Systematic Trader Index Month 5 4.95 2/2001
Trend Following Strategy Index Month 4 4.95 2/2001
IASG CTA Index 3 Year Rolling 8 88.31 1997 - 2000
Trend Following Strategy Index Month 9 3.26 10/2000
Systematic Trader Index Month 7 1.49 7/2000
Diversified Trader Index Month 6 1.49 7/2000
Trend Following Strategy Index Month 5 1.49 7/2000
IASG CTA Index Month 2 11.91 4/2000
Trend Following Strategy Index Month 2 11.91 4/2000
Systematic Trader Index Month 2 11.91 4/2000
Diversified Trader Index Month 2 11.91 4/2000
Trend Following Strategy Index Month 10 4.88 12/1999
Systematic Trader Index Month 9 -1.24 10/1999
Trend Following Strategy Index Month 3 -1.24 10/1999
Diversified Trader Index Month 5 -1.24 10/1999
IASG CTA Index Month 3 8.54 8/1999
Trend Following Strategy Index Month 3 8.54 8/1999
Systematic Trader Index Month 3 8.54 8/1999
Diversified Trader Index Month 3 8.54 8/1999
Trend Following Strategy Index Month 7 0.06 1/1999
Systematic Trader Index Month 10 0.06 1/1999
Diversified Trader Index Month 10 0.06 1/1999
IASG CTA Index Sharpe 9 1.52 1997 - 1998
IASG CTA Index Year Rolling 3 47.21 1997 - 1998
Trend Following Strategy Index Month 4 4.25 11/1998
Systematic Trader Index Month 7 4.25 11/1998
IASG CTA Index Month 10 4.25 11/1998
Diversified Trader Index Month 8 4.25 11/1998
Trend Following Strategy Index Month 7 2.20 6/1998
Trend Following Strategy Index Month 7 7.78 5/1998
Systematic Trader Index Month 8 7.78 5/1998
IASG CTA Index Month 8 7.78 5/1998
Diversified Trader Index Month 8 7.78 5/1998
IASG CTA Index Month 3 6.60 3/1998
Diversified Trader Index Month 2 6.60 3/1998
Systematic Trader Index Month 2 6.60 3/1998
Trend Following Strategy Index Month 2 6.60 3/1998
IASG CTA Index Month 2 6.11 2/1998
Diversified Trader Index Month 1 6.11 2/1998
Systematic Trader Index Month 1 6.11 2/1998
Trend Following Strategy Index Month 1 6.11 2/1998
IASG CTA Index Month 4 7.84 1/1998
Trend Following Strategy Index Month 4 7.84 1/1998
Diversified Trader Index Month 4 7.84 1/1998
Systematic Trader Index Month 4 7.84 1/1998
IASG CTA Index Month 1 17.34 11/1997
Trend Following Strategy Index Month 1 17.34 11/1997
Systematic Trader Index Month 1 17.34 11/1997
Diversified Trader Index Month 1 17.34 11/1997
Trend Following Strategy Index Month 5 -2.12 8/1997
Diversified Trader Index Month 7 -2.12 8/1997
Systematic Trader Index Month 9 -2.12 8/1997
Trend Following Strategy Index Month 10 12.49 7/1997
Systematic Trader Index Month 10 12.49 7/1997
IASG CTA Index Month 1 14.98 6/1997
Diversified Trader Index Month 1 14.98 6/1997
Systematic Trader Index Month 1 14.98 6/1997
Trend Following Strategy Index Month 1 14.98 6/1997

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