Great O’ Neill Ltd : Great O'Neill (Proprietary)

Year-to-Date
2.51%
Aug Performance
6.16%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.22%
Sharpe (RFR=1%)
0.33
CAROR
3.13%
Assets
$ 1.0M
Worst DD
-8.60
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
1/2016
Great O'Neill (Proprietary) 6.16 8.76 2.51 3.03 13.35 - - 15.48
S&P 500 7.01 14.98 8.34 19.61 40.39 - - 78.57
+/- S&P 500 -0.85 -6.22 -5.83 -16.58 -27.04 - - -63.09

Strategy Description

Summary

The Great O’Neill Program employs a proprietary trading technique in which fundamental factors, such as market psychology, and technical indicators are combined in an attempt to forecast market direction.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
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 811 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough 6.90%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 3.00%
1-3 Months 14.00%
1-30 Days 74.00%
Intraday 9.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Counter-trend
30.00%
Fundamental
10.00%
Option-purchasing
10.00%
Option-spreads
10.00%
Option-writing
10.00%
Pattern Recognition
10.00%
Technical
20.00%
Strategy Pie Chart

Composition

Energy
38.00%
Softs
30.00%
Grains
12.00%
Stock Indices
6.00%
Livestock
5.00%
Precious Metals
4.00%
Industrial Metals
3.00%
Currency Futures
2.00%
Composition Pie Chart

Summary

The Great O’Neill Program employs a proprietary trading technique in which fundamental factors, such as market psychology, and technical indicators are combined in an attempt to forecast market direction.

Investment Strategy

The Great O'Neill Program employs a proprietary trading technique in which fundamental factors, such as market psychology, and technical indicators are combined in an attempt to forecast market direction. (www.thegreatoneill.com)

Risk Management

Monitor overall book size. Monitor for excessive exposure to correlated markets. Use options to protect downside. (www.thegreatoneill.com)

   

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
-8.60 8 2 10/1/2019 6/1/2020
-6.91 3 25 5/1/2016 8/1/2016
-3.59 1 4 5/1/2019 6/1/2019
-1.40 1 3 10/1/2018 11/1/2018
-1.20 1 1 3/1/2019 4/1/2019
-1.11 1 1 1/1/2016 2/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
12.14 2 7/1/2020 8/1/2020
7.57 3 3/1/2016 5/1/2016
5.01 2 9/1/2016 10/1/2016
4.34 3 8/1/2018 10/1/2018
3.84 3 5/1/2017 7/1/2017
3.71 1 5/1/2019 5/1/2019
3.56 2 7/1/2019 8/1/2019
2.73 3 11/1/2017 1/1/2018
2.45 1 9/1/2017 9/1/2017
1.59 2 2/1/2020 3/1/2020
1.19 2 2/1/2019 3/1/2019
1.14 1 3/1/2017 3/1/2017
0.99 1 12/1/2018 12/1/2018
0.77 1 1/1/2016 1/1/2016
0.74 1 12/1/2016 12/1/2016
0.71 1 12/1/2019 12/1/2019
0.66 1 3/1/2018 3/1/2018
0.55 1 10/1/2019 10/1/2019
0.51 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.51 3 4/1/2020 6/1/2020
-6.91 3 6/1/2016 8/1/2016
-3.59 1 6/1/2019 6/1/2019
-3.11 1 8/1/2017 8/1/2017
-2.71 1 1/1/2020 1/1/2020
-2.59 2 1/1/2017 2/1/2017
-1.86 1 11/1/2016 11/1/2016
-1.40 1 11/1/2018 11/1/2018
-1.25 2 4/1/2018 5/1/2018
-1.20 1 4/1/2019 4/1/2019
-1.19 1 2/1/2018 2/1/2018
-1.11 1 2/1/2016 2/1/2016
-0.89 1 10/1/2017 10/1/2017
-0.79 1 4/1/2017 4/1/2017
-0.72 1 11/1/2019 11/1/2019
-0.49 1 7/1/2018 7/1/2018
-0.19 1 1/1/2019 1/1/2019
-0.03 1 9/1/2019 9/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable57.1455.5664.7180.0087.1890.9195.24
Average Period Return0.280.510.711.933.384.807.05
Average Gain1.672.442.173.044.195.437.43
Average Loss-1.58-1.90-1.96-2.50-2.18-1.49-0.66
Best Period6.168.764.847.547.5810.2613.35
Worst Period-3.59-7.51-8.59-5.42-5.06-2.62-0.66
Standard Deviation2.082.922.662.763.073.103.40
Gain Standard Deviation1.512.011.461.572.252.452.98
Loss Standard Deviation1.001.902.271.881.771.34
Sharpe Ratio (1%)0.090.090.080.340.610.901.18
Average Gain / Average Loss1.061.281.111.221.933.6411.24
Profit / Loss Ratio1.411.612.034.8613.1136.37224.84
Downside Deviation (10%)1.452.443.084.085.196.259.32
Downside Deviation (5%)1.261.901.961.761.481.160.81
Downside Deviation (0%)1.221.771.751.370.960.560.14
Sortino Ratio (10%)-0.09-0.29-0.57-0.75-0.81-0.87-0.93
Sortino Ratio (5%)0.150.140.110.531.272.414.97
Sortino Ratio (0%)0.230.290.411.413.508.6048.85

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.