John Locke Investments : Cyril Systematic Program

Year-to-Date
5.88%
Jun Performance
-1.61%
Min Investment
$ 8,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.23%
Sharpe (RFR=1%)
0.43
CAROR
6.22%
Assets
$ 69.4M
Worst DD
-20.85
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
7/2000
Cyril Systematic Program -1.61 -2.18 -5.88 -11.12 9.32 16.43 47.48 255.17
S&P 500 2.22 8.17 18.13 43.11 63.21 109.25 232.50 206.89
+/- S&P 500 -3.83 -10.35 -24.01 -54.24 -53.89 -92.82 -185.01 48.28

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 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%
Strategy Pie Chart

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%
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 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.

   

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
-20.85 57 14 12/1/2008 9/1/2013
-20.13 13 6 1/1/2018 2/1/2019
-17.19 10 17 2/1/2015 12/1/2015
-14.94 4 5 10/1/2001 2/1/2002
-14.92 6 - 7/1/2020 1/1/2021
-14.52 12 6 5/1/2006 5/1/2007
-13.05 8 10 5/1/2004 1/1/2005
-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
-3.25 4 2 8/1/2019 12/1/2019
-2.74 1 1 7/1/2003 8/1/2003
-1.86 2 1 4/1/2020 6/1/2020
-1.40 1 1 8/1/2017 9/1/2017
-0.69 1 1 5/1/2017 6/1/2017
-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
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Consecutive Gains

Run-up Length (Mos.) Start End
32.75 7 8/1/2014 2/1/2015
27.70 7 9/1/2007 3/1/2008
27.00 6 3/1/2019 8/1/2019
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
17.36 2 1/1/2016 2/1/2016
15.55 2 6/1/2002 7/1/2002
15.07 3 12/1/2002 2/1/2003
14.93 4 10/1/2017 1/1/2018
13.98 4 10/1/2005 1/1/2006
12.00 3 8/1/2001 10/1/2001
10.88 2 9/1/2003 10/1/2003
10.71 3 7/1/2011 9/1/2011
10.11 2 11/1/2016 12/1/2016
9.91 2 6/1/2016 7/1/2016
9.91 4 1/1/2020 4/1/2020
9.74 1 5/1/2003 5/1/2003
8.89 1 5/1/2009 5/1/2009
8.82 3 10/1/2008 12/1/2008
8.65 3 8/1/2010 10/1/2010
8.00 3 10/1/2013 12/1/2013
7.30 1 8/1/2008 8/1/2008
6.90 1 2/1/2005 2/1/2005
6.84 1 8/1/2005 8/1/2005
6.54 1 2/1/2017 2/1/2017
6.54 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
6.06 2 4/1/2017 5/1/2017
6.02 2 5/1/2014 6/1/2014
5.90 1 3/1/2002 3/1/2002
5.74 2 4/1/2012 5/1/2012
5.64 2 3/1/2013 4/1/2013
5.25 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
4.37 1 2/1/2014 2/1/2014
4.03 2 7/1/2017 8/1/2017
4.03 1 7/1/2020 7/1/2020
3.95 1 11/1/2009 11/1/2009
3.77 1 8/1/2018 8/1/2018
3.49 1 9/1/2002 9/1/2002
2.72 1 5/1/2001 5/1/2001
2.66 1 4/1/2011 4/1/2011
2.65 2 2/1/2021 3/1/2021
2.44 1 5/1/2008 5/1/2008
2.15 2 5/1/2010 6/1/2010
2.14 1 11/1/2006 11/1/2006
2.08 1 9/1/2015 9/1/2015
2.06 1 10/1/2018 10/1/2018
1.91 2 8/1/2006 9/1/2006
1.64 1 8/1/2000 8/1/2000
1.55 1 12/1/2012 12/1/2012
1.52 1 11/1/2015 11/1/2015
1.37 1 2/1/2012 2/1/2012
1.23 1 1/1/2007 1/1/2007
1.18 1 2/1/2011 2/1/2011
1.13 1 5/1/2021 5/1/2021
1.08 3 7/1/2009 9/1/2009
0.92 1 4/1/2007 4/1/2007
0.83 1 11/1/2019 11/1/2019
0.45 1 3/1/2010 3/1/2010
0.42 1 12/1/2018 12/1/2018
0.36 1 12/1/2011 12/1/2011
0.12 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.94 4 11/1/2001 2/1/2002
-13.97 6 2/1/2018 7/1/2018
-13.36 4 1/1/2009 4/1/2009
-13.30 4 8/1/2020 11/1/2020
-13.12 3 8/1/2016 10/1/2016
-12.29 2 12/1/2004 1/1/2005
-10.82 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
-9.72 3 6/1/2015 8/1/2015
-9.69 4 8/1/2012 11/1/2012
-9.25 2 10/1/2011 11/1/2011
-7.70 2 10/1/2002 11/1/2002
-7.20 3 3/1/2016 5/1/2016
-7.00 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
-6.42 3 12/1/2009 2/1/2010
-6.36 1 6/1/2004 6/1/2004
-6.27 1 1/1/2021 1/1/2021
-6.08 2 1/1/2019 2/1/2019
-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
-5.05 1 10/1/2015 10/1/2015
-4.79 1 11/1/2018 11/1/2018
-4.47 2 2/1/2006 3/1/2006
-4.42 2 3/1/2014 4/1/2014
-3.99 1 11/1/2010 11/1/2010
-3.97 1 4/1/2001 4/1/2001
-3.96 1 3/1/2011 3/1/2011
-3.96 1 7/1/2000 7/1/2000
-3.83 1 9/1/2004 9/1/2004
-3.67 1 12/1/2015 12/1/2015
-3.35 2 3/1/2015 4/1/2015
-3.35 2 4/1/2002 5/1/2002
-3.35 1 3/1/2012 3/1/2012
-3.14 1 1/1/2014 1/1/2014
-3.12 2 9/1/2019 10/1/2019
-3.11 1 1/1/2017 1/1/2017
-3.00 1 1/1/2011 1/1/2011
-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
-2.39 1 9/1/2018 9/1/2018
-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
-1.69 2 1/1/2013 2/1/2013
-1.69 1 4/1/2021 4/1/2021
-1.61 1 6/1/2021 6/1/2021
-1.40 1 9/1/2017 9/1/2017
-1.33 1 7/1/2010 7/1/2010
-1.10 1 9/1/2005 9/1/2005
-0.96 1 12/1/2019 12/1/2019
-0.80 1 3/1/2017 3/1/2017
-0.78 1 7/1/2005 7/1/2005
-0.76 1 1/1/2012 1/1/2012
-0.69 1 6/1/2017 6/1/2017
-0.57 1 4/1/2010 4/1/2010
-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
-0.14 1 7/1/2014 7/1/2014
-0.10 1 8/1/2007 8/1/2007
-0.05 1 10/1/2006 10/1/2006
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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.