John Locke Investments : Cyril Systematic Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.86% Dec Performance 4.69% Min Investment $ 8,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 14.58% Sharpe (RFR=1%) 0.44 CAROR 19.65% Assets $ 85.0M Worst DD -21.03 S&P Correlation -0.15 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since7/2000 Cyril Systematic Program 4.69 -2.57 1.86 - - 714.18 680.36 2,011.36 S&P 500 3.71 11.69 16.26 - - 81.90 195.57 159.80 +/- S&P 500 0.98 -14.26 -14.40 - - 632.28 484.78 1,851.56 Strategy Description SummaryThe 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 markets. Risk is equalised across all contracts through the use of real time volatility measures.... Read More Account & Fees Type Fund Minimum Investment $ 8,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1350 RT/YR/$M Avg. Margin-to-Equity 11% Targeted Worst DD -8.00% Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 25.00% 1-3 Months 50.00% 1-30 Days 0% Intraday 25.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 60.00% Other 40.00% Composition Interest Rates 25.00% Currency Futures 20.00% Stock Indices 20.00% Energy 15.00% Grains 7.00% Industrial Metals 6.00% Precious Metals 5.00% Softs 2.00% SummaryThe 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 markets. Risk is equalised across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyzes risk factors such as rising correlations and reversal risk at the portfolio level. The average holding period of the Fund is approximately three weeks. The Fund provides for daily liquidity. 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=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 -21.03 7 6 3/1/2015 10/1/2015 -20.62 24 14 9/1/2011 9/1/2013 -14.94 4 5 10/1/2001 2/1/2002 -14.52 12 6 5/1/2006 5/1/2007 -13.36 4 20 12/1/2008 4/1/2009 -13.30 4 - 7/1/2020 11/1/2020 -13.05 8 10 5/1/2004 1/1/2005 -10.14 6 3 12/1/2010 6/1/2011 -9.73 2 3 2/1/2003 4/1/2003 -8.12 4 3 3/1/2001 7/1/2001 -7.70 2 1 9/1/2002 11/1/2002 -7.56 4 2 1/1/0001 10/1/2000 -6.73 1 3 10/1/2003 11/1/2003 -6.62 2 1 5/1/2008 7/1/2008 -4.47 2 1 1/1/2006 3/1/2006 -2.74 1 1 7/1/2003 8/1/2003 -1.86 2 1 4/1/2020 6/1/2020 -0.54 1 1 1/1/2015 2/1/2015 -0.51 1 1 8/1/2008 9/1/2008 -0.45 1 1 7/1/2002 8/1/2002 -0.25 1 1 3/1/2008 4/1/2008 -0.15 1 1 1/1/2001 2/1/2001 Show More Consecutive Gains Run-up Length (Mos.) Start End 699.34 36 1/1/2016 12/1/2018 39.78 9 5/1/2014 1/1/2015 27.70 7 9/1/2007 3/1/2008 23.10 3 11/1/2000 1/1/2001 18.93 2 4/1/2006 5/1/2006 18.81 6 12/1/2003 5/1/2004 15.55 2 6/1/2002 7/1/2002 15.07 3 12/1/2002 2/1/2003 13.98 4 10/1/2005 1/1/2006 12.00 3 8/1/2001 10/1/2001 11.46 3 7/1/2011 9/1/2011 10.88 2 9/1/2003 10/1/2003 9.91 4 1/1/2020 4/1/2020 9.74 1 5/1/2003 5/1/2003 9.68 3 8/1/2010 10/1/2010 8.89 1 5/1/2009 5/1/2009 8.82 3 10/1/2008 12/1/2008 7.91 1 11/1/2015 11/1/2015 7.30 1 8/1/2008 8/1/2008 7.29 3 10/1/2013 12/1/2013 6.90 1 2/1/2005 2/1/2005 6.84 1 8/1/2005 8/1/2005 6.45 1 7/1/2012 7/1/2012 6.41 2 6/1/2007 7/1/2007 6.10 2 5/1/2005 6/1/2005 6.10 1 3/1/2001 3/1/2001 5.90 1 3/1/2002 3/1/2002 5.88 2 4/1/2012 5/1/2012 5.39 2 3/1/2013 4/1/2013 5.39 1 12/1/2010 12/1/2010 5.12 2 7/1/2004 8/1/2004 4.98 1 7/1/2003 7/1/2003 4.72 2 10/1/2004 11/1/2004 4.69 1 12/1/2020 12/1/2020 4.50 1 2/1/2014 2/1/2014 4.03 1 7/1/2020 7/1/2020 3.95 1 11/1/2009 11/1/2009 3.57 1 4/1/2011 4/1/2011 3.49 1 9/1/2002 9/1/2002 3.23 1 7/1/2015 7/1/2015 2.72 1 5/1/2001 5/1/2001 2.44 1 5/1/2008 5/1/2008 2.14 1 11/1/2006 11/1/2006 1.91 2 8/1/2006 9/1/2006 1.83 2 5/1/2010 6/1/2010 1.77 1 2/1/2011 2/1/2011 1.64 1 8/1/2000 8/1/2000 1.63 1 12/1/2012 12/1/2012 1.45 1 2/1/2012 2/1/2012 1.23 1 1/1/2007 1/1/2007 1.08 3 7/1/2009 9/1/2009 0.92 1 4/1/2007 4/1/2007 0.75 1 3/1/2015 3/1/2015 0.62 1 3/1/2010 3/1/2010 0.03 1 12/1/2011 12/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -16.20 3 4/1/2015 6/1/2015 -14.94 4 11/1/2001 2/1/2002 -13.36 4 1/1/2009 4/1/2009 -13.30 4 8/1/2020 11/1/2020 -12.29 2 12/1/2004 1/1/2005 -11.20 5 5/1/2013 9/1/2013 -10.62 2 6/1/2006 7/1/2006 -9.73 2 3/1/2003 4/1/2003 -9.64 4 8/1/2012 11/1/2012 -9.24 2 10/1/2011 11/1/2011 -8.71 3 8/1/2015 10/1/2015 -7.70 2 10/1/2002 11/1/2002 -7.43 2 5/1/2011 6/1/2011 -6.86 2 6/1/2001 7/1/2001 -6.73 1 11/1/2003 11/1/2003 -6.62 2 6/1/2008 7/1/2008 -6.36 1 6/1/2004 6/1/2004 -6.13 3 12/1/2009 2/1/2010 -5.88 2 3/1/2005 4/1/2005 -5.49 1 6/1/2012 6/1/2012 -5.39 1 12/1/2006 12/1/2006 -5.30 2 9/1/2000 10/1/2000 -4.59 2 3/1/2014 4/1/2014 -4.47 2 2/1/2006 3/1/2006 -4.35 1 3/1/2011 3/1/2011 -4.11 1 11/1/2010 11/1/2010 -3.97 1 4/1/2001 4/1/2001 -3.96 1 7/1/2000 7/1/2000 -3.83 1 9/1/2004 9/1/2004 -3.71 1 1/1/2011 1/1/2011 -3.35 2 4/1/2002 5/1/2002 -3.35 1 3/1/2012 3/1/2012 -3.00 1 1/1/2014 1/1/2014 -2.98 1 10/1/2009 10/1/2009 -2.94 2 2/1/2007 3/1/2007 -2.74 1 8/1/2003 8/1/2003 -2.67 1 12/1/2015 12/1/2015 -2.01 1 5/1/2007 5/1/2007 -1.93 1 6/1/2003 6/1/2003 -1.86 2 5/1/2020 6/1/2020 -1.74 2 1/1/2013 2/1/2013 -1.35 1 7/1/2010 7/1/2010 -1.10 1 9/1/2005 9/1/2005 -0.88 1 1/1/2012 1/1/2012 -0.78 1 7/1/2005 7/1/2005 -0.55 1 4/1/2010 4/1/2010 -0.54 1 2/1/2015 2/1/2015 -0.51 1 9/1/2008 9/1/2008 -0.45 1 8/1/2002 8/1/2002 -0.27 1 6/1/2009 6/1/2009 -0.25 1 4/1/2008 4/1/2008 -0.15 1 2/1/2001 2/1/2001 -0.10 1 8/1/2007 8/1/2007 -0.05 1 10/1/2006 10/1/2006 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods204.00244.00241.00235.00229.00223.00211.00199.00187.00 Percent Profitable52.9447.9551.8754.8962.4564.5763.5163.8265.78 Average Period Return0.6249.4485.31107.16110.72152.47150.38132.9076.17 Average Gain3.70110.33173.85203.92187.13248.21254.03229.45137.34 Average Loss-2.97-9.39-13.95-14.78-22.68-28.55-33.46-37.39-41.39 Best Period16.632161.512178.242226.042178.242226.042226.042226.04828.64 Worst Period-9.87-95.18-95.18-68.02-68.02-68.02-68.02-65.84-65.84 Standard Deviation4.21316.11412.98452.50457.16534.42520.67468.36205.56 Gain Standard Deviation2.93449.26559.71594.21565.27645.70630.85564.24230.41 Loss Standard Deviation2.2619.5523.7221.4426.8227.6126.5425.6124.44 Sharpe Ratio (1%)0.130.160.210.230.240.280.280.280.35 Average Gain / Average Loss1.2511.7512.4713.808.258.697.596.143.32 Profit / Loss Ratio1.4615.2818.5523.4219.0320.5214.7510.836.38 Downside Deviation (10%)2.7213.4616.9916.6521.1925.1132.2038.8643.20 Downside Deviation (5%)2.5413.1816.3315.0818.7121.4725.7429.2530.68 Downside Deviation (0%)2.5013.1116.1714.7418.1920.6924.3527.2028.07 Sortino Ratio (10%)0.083.584.886.134.875.664.182.871.12 Sortino Ratio (5%)0.213.735.197.045.847.015.724.402.32 Sortino Ratio (0%)0.253.775.277.276.097.376.184.892.71 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 10 6.84 8/2005 Trend Following Strategy Index Month 9 6.90 2/2005 Systematic Trader Index Month 9 6.90 2/2005 Trend Following Strategy Index Month 10 2.85 7/2004 Trend Following Strategy Index Month 2 2.41 4/2004 Diversified Trader Index Month 4 2.41 4/2004 Systematic Trader Index Month 8 2.41 4/2004 Diversified Trader Index Month 5 8.25 9/2003 Systematic Trader Index Month 3 8.25 9/2003 Trend Following Strategy Index Month 4 8.25 9/2003 IASG CTA Index Month 7 8.25 9/2003 Trend Following Strategy Index Month 5 4.98 7/2003 Systematic Trader Index Month 5 4.98 7/2003 Diversified Trader Index Month 6 4.98 7/2003 Trend Following Strategy Index Month 9 3.02 1/2001 Trend Following Strategy Index Month 10 0.00 7/2000 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