John Locke Investments : Cyril Dynamic Program

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
0.01%
Min Investment
$ 2,000k
Mgmt. Fee
0.50%
Perf. Fee
20.00%
Annualized Vol
2.85%
Sharpe (RFR=1%)
0.10
CAROR
1.24%
Assets
$ 3.4M
Worst DD
-13.94
S&P Correlation
-0.21

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 Since
8/2004
Cyril Dynamic Program 0.01 - - - - - -6.19 12.96
S&P 500 1.91 - - - - - 71.80 213.71
+/- S&P 500 -1.90 - - - - - -77.98 -200.75

Strategy Description

Summary

The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures contracts. Risk is equalised across all contracts through the use of real time volatility measurement... Read More

Account & Fees

Type Fund
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0.50%
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 700 RT/YR/$M
Avg. Margin-to-Equity 2%
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 50.00%
1-30 Days 0%
Intraday 50.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
33.00%
Trend-following
33.00%
Other
34.00%
Strategy Pie Chart

Composition

Currency Futures
23.00%
Stock Indices
22.00%
Interest Rates
20.00%
Energy
17.00%
Softs
6.00%
Grains
5.00%
Precious Metals
4.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures contracts. Risk is equalised across all contracts through the use of real time volatility measurement and VAR capping techniques. The average holding period of the Fund is approximately three days. The Fund provides for daily liquidity.

   

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
-13.94 62 - 2/1/2009 4/1/2014
-2.84 1 3 6/1/2005 7/1/2005
-1.56 2 1 5/1/2008 7/1/2008
-1.15 1 1 1/1/2007 2/1/2007
-0.98 1 1 1/1/2006 2/1/2006
-0.89 1 2 6/1/2007 7/1/2007
-0.82 4 3 1/1/0001 11/1/2004
-0.33 1 2 10/1/2008 11/1/2008
-0.18 1 1 12/1/2007 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
9.22 11 3/1/2006 1/1/2007
6.72 6 8/1/2005 1/1/2006
4.55 5 8/1/2007 12/1/2007
4.39 7 12/1/2004 6/1/2005
4.12 4 3/1/2007 6/1/2007
3.36 4 2/1/2008 5/1/2008
2.73 3 8/1/2008 10/1/2008
1.88 4 2/1/2011 5/1/2011
1.51 2 5/1/2009 6/1/2009
1.29 3 12/1/2008 2/1/2009
0.85 2 7/1/2011 8/1/2011
0.84 2 3/1/2013 4/1/2013
0.82 1 8/1/2013 8/1/2013
0.72 1 5/1/2012 5/1/2012
0.63 2 5/1/2014 6/1/2014
0.37 1 12/1/2010 12/1/2010
0.26 4 7/1/2012 10/1/2012
0.26 1 2/1/2014 2/1/2014
0.23 1 8/1/2010 8/1/2010
0.20 1 2/1/2012 2/1/2012
0.15 1 9/1/2004 9/1/2004
0.11 1 1/1/2010 1/1/2010
0.06 1 12/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.08 2 3/1/2009 4/1/2009
-3.15 5 9/1/2011 1/1/2012
-3.00 6 7/1/2009 12/1/2009
-2.84 1 7/1/2005 7/1/2005
-2.68 5 9/1/2013 1/1/2014
-2.58 6 2/1/2010 7/1/2010
-2.28 3 5/1/2013 7/1/2013
-1.56 2 6/1/2008 7/1/2008
-1.23 3 9/1/2010 11/1/2010
-1.15 1 2/1/2007 2/1/2007
-1.02 2 3/1/2014 4/1/2014
-0.98 1 2/1/2006 2/1/2006
-0.96 1 1/1/2011 1/1/2011
-0.89 1 7/1/2007 7/1/2007
-0.80 2 10/1/2004 11/1/2004
-0.46 1 6/1/2011 6/1/2011
-0.45 1 11/1/2012 11/1/2012
-0.33 1 11/1/2008 11/1/2008
-0.31 2 3/1/2012 4/1/2012
-0.29 2 1/1/2013 2/1/2013
-0.28 1 6/1/2012 6/1/2012
-0.18 1 1/1/2008 1/1/2008
-0.17 1 8/1/2004 8/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods119.00117.00114.00108.00102.0096.0084.0072.0060.00
Percent Profitable57.1451.2853.5148.1542.1642.7145.2452.7856.67
Average Period Return0.110.320.691.472.403.174.244.444.26
Average Gain0.651.512.755.829.9712.6515.8514.8313.28
Average Loss-0.63-0.94-1.68-2.57-3.11-3.90-5.35-7.18-7.55
Best Period2.313.976.7211.7115.4217.7725.0130.0725.56
Worst Period-2.84-3.80-4.33-5.90-7.68-9.09-10.03-10.30-13.05
Standard Deviation0.821.532.634.816.938.8712.1013.5112.42
Gain Standard Deviation0.501.021.693.003.074.568.4510.568.34
Loss Standard Deviation0.560.801.031.491.831.971.862.014.07
Sharpe Ratio (1%)0.030.050.070.100.130.130.100.03-0.07
Average Gain / Average Loss1.051.621.632.273.213.242.962.061.76
Profit / Loss Ratio1.391.701.882.102.342.422.452.312.30
Downside Deviation (10%)0.771.652.995.718.3210.9616.2621.5926.42
Downside Deviation (5%)0.591.001.642.793.774.726.367.888.82
Downside Deviation (0%)0.550.861.342.132.743.304.195.125.62
Sortino Ratio (10%)-0.39-0.55-0.60-0.62-0.62-0.65-0.71-0.79-0.88
Sortino Ratio (5%)0.040.070.120.170.240.250.190.05-0.10
Sortino Ratio (0%)0.190.370.510.690.880.961.010.870.76

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.