Drury Capital : Drury Multi-Strategy Program

archived programs
Year-to-Date
9.03%
Jul Performance
2.79%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
Sharpe (RFR=1%)
CAROR
Assets
$ 10.9M
Worst DD
N/A
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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
3/2020
Drury Multi-Strategy Program 2.79 0.00 9.03 - - - - 9.03
S&P 500 5.51 12.32 1.25 - - - - 26.52
+/- S&P 500 -2.72 -12.32 7.78 - - - - -17.49

Strategy Description

Summary

Utilizing futures, the Strategy is diversified among allocations to equity and fixed income markets, along with elements of systematic trading, taken from more than 23 years of operating in that space. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 15.00%
Average Commission
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 500 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough
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
50.00%
Other
50.00%
Strategy Pie Chart

Composition

Interest Rates
33.00%
Stock Indices
33.00%
Currency Futures
8.00%
Energy
8.00%
Industrial Metals
6.00%
Grains
5.00%
Softs
4.00%
Precious Metals
3.00%
Composition Pie Chart

Summary

Utilizing futures, the Strategy is diversified among allocations to equity and fixed income markets, along with elements of systematic trading, taken from more than 23 years of operating in that space.

Investment Strategy

The Strategy recognizes the potential portfolio benefits through allocations to the non-correlated elements of equity markets, fixed income markets, and systematic trading; and has been constructed accordingly. In addition, the Strategy aims for an improved risk to return relationship compared to single investments in each of these different elements.

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

Consecutive Gains

Run-up Length (Mos.) Start End
9.03 5 3/1/2020 7/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
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Time Windows Analysis

 1 Month
Number of Periods5.00
Percent Profitable100.00
Average Period Return1.75
Average Gain1.75
Average Loss
Best Period2.79
Worst Period0.79
Standard Deviation0.72
Gain Standard Deviation0.72
Loss Standard Deviation
Sharpe Ratio (1%)2.30
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)
Downside Deviation (5%)
Downside Deviation (0%)
Sortino Ratio (10%)
Sortino Ratio (5%)
Sortino Ratio (0%)

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.