JLC Futures Management Company : JLC Managed Futures Fund I, LP.

Year-to-Date
4.35%
Jan Performance
-4.35%
Min Investment
$ 100k
Mgmt. Fee
1.90%
Perf. Fee
20.00%
Annualized Vol
9.72%
Sharpe (RFR=1%)
-0.73
CAROR
-6.27%
Assets
$ 1.5M
Worst DD
-44.45
S&P Correlation
-0.04

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
8/2009
JLC Managed Futures Fund I, LP. -4.35 -10.23 -4.35 -19.23 -32.24 -29.14 - -38.12
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 - 123.25
+/- S&P 500 -6.14 -17.41 -6.14 -36.68 -60.08 -102.78 - -161.36

Strategy Description

Summary

JLC 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

JLC 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 Strategy

The 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 Management

The 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.

   

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
-44.45 75 - 10/1/2010 1/1/2017
-7.98 6 3 11/1/2009 5/1/2010
-3.15 3 1 1/1/0001 10/1/2009
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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
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
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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
-14.05 4 10/1/2016 1/1/2017
-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
-2.69 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods89.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable39.3337.5034.1231.6521.9210.455.452.330.00
Average Period Return-0.51-1.26-2.36-4.24-7.04-10.14-12.77-16.74-21.63
Average Gain2.124.235.907.545.964.152.2913.37
Average Loss-2.21-4.54-6.63-9.70-10.69-11.81-13.64-17.46-21.63
Best Period5.2231.8527.8320.0911.838.984.9413.37-6.76
Worst Period-9.36-23.27-24.88-35.30-20.28-25.62-32.24-35.22-32.95
Standard Deviation2.816.348.1410.108.287.638.879.537.79
Gain Standard Deviation1.695.776.034.933.882.422.43
Loss Standard Deviation1.943.975.306.594.716.128.308.397.79
Sharpe Ratio (1%)-0.21-0.24-0.35-0.52-1.03-1.59-1.78-2.18-3.43
Average Gain / Average Loss0.960.930.890.780.560.350.170.77
Profit / Loss Ratio0.620.560.460.360.160.040.010.02
Downside Deviation (10%)2.535.528.5513.3316.7721.7529.8639.4349.85
Downside Deviation (5%)2.334.907.1910.3611.5414.2818.0822.7927.81
Downside Deviation (0%)2.284.756.879.6610.3112.5715.4919.1022.95
Sortino Ratio (10%)-0.36-0.45-0.56-0.69-0.87-0.94-0.96-0.97-0.99
Sortino Ratio (5%)-0.25-0.31-0.40-0.51-0.74-0.85-0.87-0.91-0.96
Sortino Ratio (0%)-0.22-0.26-0.34-0.44-0.68-0.81-0.82-0.88-0.94

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.