JLC Futures Management Company : JLC Managed Futures Fund I, LP. Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 2.30% Jun Performance -2.87% Min Investment $ 100k Mgmt. Fee 1.90% Perf. Fee 20.00% Annualized Vol 9.73% Sharpe (RFR=0.50%) -0.61 CAROR -5.69% Assets $ 1.3M Worst DD -45.54 S&P Correlation -0.04 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since8/2009 JLC Managed Futures Fund I, LP. -2.87 4.19 -2.30 -15.85 -29.71 -31.03 - -36.79 S&P 500 0.33 2.41 8.08 15.29 23.44 77.64 - 137.04 +/- S&P 500 -3.20 1.78 -10.38 -31.13 -53.15 -108.66 - -173.83 Strategy Description SummaryJLC Managed Futures Fund, LP("The Fund") is a diversified multi-advisor, multi-strategy commodity pool operated by JLC Futures Management Company, LLC("JLC"). The goal of the fund is to outperform the Barclay CTA index or return a range of 7-15% per year.... Read More Account & Fees Type Fund Minimum Investment $ 100k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.90% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 7-14 Days Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 3200 RT/YR/$M Avg. Margin-to-Equity 12% Targeted Worst DD -13.00% Worst Peak-to-Trough 21.22% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 20.00% 1-3 Months 30.00% 1-30 Days 40.00% Intraday 10.00% Decision-Making Discretionary 35.00% Systematic 65.00% Strategy Arbitrage 7.00% Counter-trend 11.00% Fundamental 20.00% Momentum 10.00% Option-writing 18.00% Pattern Recognition 8.00% Technical 5.00% Trend-following 20.00% Other 1.00% Composition Stock Indices 30.00% Grains 20.00% Interest Rates 15.00% Softs 10.00% Currency Futures 10.00% Energy 7.00% Precious Metals 5.00% Livestock 3.00% SummaryJLC Managed Futures Fund, LP("The Fund") is a diversified multi-advisor, multi-strategy commodity pool operated by JLC Futures Management Company, LLC("JLC"). The goal of the fund is to outperform the Barclay CTA index or return a range of 7-15% per year.Investment StrategyThe Fund invests in 6-10 CTA programs across four main futures strategies with all assets being invested in cash and commodity futures and options contracts. The objective is to achieve capital appreciation of 7% to 15% net of fees through a proprietary CTA diversification and rebalancing process of the General Partner.Risk ManagementThe general partner's primary goal is to keep losses or maximum draw down levels within 5 to 13% range. The strategy is to maintain an approximate allocation of 15-30% Fund allocation to each of the 4 strategies: Trend Following, Counter Trend, GLobal Macro and Market Neutral. Approximatley 75% Technical based and 25% Fundamental Based, with approx 60% Systematic vs. 40% Discretionary trading decisions in total. JLC Management wants to have market exposure and opportunities across all major sectors of the Commodities markets. JLC Management monitors the Fund's CTAs and positions every day and looks at MTE, VAR, Concentration and Rolling 4 month performance trends vs. its peers. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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=0.50%) 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=0.50%) 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 -45.54 77 - 10/1/2010 3/1/2017 -7.98 6 3 11/1/2009 5/1/2010 -3.15 3 1 1/1/0001 10/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 20.06 5 6/1/2010 10/1/2010 7.84 4 2/1/2012 5/1/2012 7.81 4 11/1/2015 2/1/2016 7.27 2 4/1/2017 5/1/2017 6.16 2 7/1/2012 8/1/2012 4.96 3 6/1/2014 8/1/2014 4.68 1 12/1/2010 12/1/2010 4.17 1 9/1/2016 9/1/2016 4.12 1 11/1/2009 11/1/2009 4.12 1 6/1/2016 6/1/2016 2.85 1 5/1/2011 5/1/2011 2.19 3 12/1/2012 2/1/2013 1.92 2 11/1/2011 12/1/2011 1.62 3 10/1/2013 12/1/2013 1.52 1 4/1/2014 4/1/2014 1.04 1 3/1/2010 3/1/2010 0.72 1 1/1/2010 1/1/2010 0.50 1 4/1/2013 4/1/2013 0.38 1 9/1/2015 9/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -19.56 5 6/1/2011 10/1/2011 -18.69 12 9/1/2014 8/1/2015 -15.74 6 10/1/2016 3/1/2017 -10.51 3 3/1/2016 5/1/2016 -7.98 2 7/1/2016 8/1/2016 -6.71 5 5/1/2013 9/1/2013 -6.34 2 4/1/2010 5/1/2010 -5.42 4 1/1/2011 4/1/2011 -5.16 1 11/1/2010 11/1/2010 -4.06 3 1/1/2014 3/1/2014 -3.15 3 8/1/2009 10/1/2009 -2.97 3 9/1/2012 11/1/2012 -2.87 1 6/1/2017 6/1/2017 -2.69 1 6/1/2012 6/1/2012 -2.30 1 12/1/2009 12/1/2009 -1.41 1 10/1/2015 10/1/2015 -1.19 1 2/1/2010 2/1/2010 -0.99 1 1/1/2012 1/1/2012 -0.94 1 5/1/2014 5/1/2014 -0.17 1 3/1/2013 3/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods94.0093.0090.0084.0078.0072.0060.0048.0036.00 Percent Profitable39.3638.7132.2229.7620.519.725.002.080.00 Average Period Return-0.45-1.23-2.70-5.02-7.94-10.93-14.20-18.59-22.97 Average Gain2.204.245.907.545.964.152.2913.37 Average Loss-2.17-4.68-6.79-10.34-11.52-12.56-15.07-19.27-22.97 Best Period5.2231.8527.8320.0911.838.984.9413.37-6.76 Worst Period-9.36-23.27-24.88-35.30-36.79-25.62-33.09-37.00-32.95 Standard Deviation2.816.368.1210.358.967.949.7510.567.97 Gain Standard Deviation1.695.546.034.933.882.422.43 Loss Standard Deviation1.903.995.296.815.836.479.209.557.97 Sharpe Ratio (1%)-0.18-0.21-0.36-0.53-0.97-1.50-1.61-1.95-3.20 Average Gain / Average Loss1.010.910.870.730.520.330.150.69 Profit / Loss Ratio0.660.570.410.310.130.040.010.01 Downside Deviation (10%)2.495.578.7814.0817.8922.6031.4941.4851.21 Downside Deviation (5%)2.274.877.2310.7012.1014.2518.4423.0426.68 Downside Deviation (0%)2.244.807.0610.3511.5013.4017.1721.2424.28 Sortino Ratio (10%)-0.35-0.44-0.59-0.71-0.87-0.94-0.95-0.97-0.99 Sortino Ratio (5%)-0.22-0.28-0.41-0.52-0.72-0.84-0.85-0.89-0.96 Sortino Ratio (0%)-0.20-0.26-0.38-0.48-0.69-0.82-0.83-0.88-0.95 Top Performer Badges Index Award Type Rank Performance Period Diversified Trader Index Month 5 4.17 9/2016 Systematic Trader Index Month 8 4.17 9/2016 IASG CTA Index Month 10 4.17 9/2016 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel