John Locke Investments : Cyril Systematic UCITS Fund

Year-to-Date
15.57%
Oct Performance
-2.69%
Min Investment
€ 8,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.18%
Sharpe (RFR=1%)
0.47
CAROR
6.82%
Assets
€ 29.0M
Worst DD
-20.77
S&P Correlation
-0.14

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2000
Cyril Systematic UCITS Fund -2.69 -0.73 15.57 10.49 37.59 41.77 48.69 258.08
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 110.10
+/- S&P 500 -4.73 -2.64 -5.60 -1.51 -3.83 -7.22 -141.43 147.98

Strategy Description

Investment Strategy

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 equalized across all contracts through the use of real time volatility... 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
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
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Currency Futures
20.00%
Stock Indices
20.00%
Energy
15.00%
Precious Metals
10.00%
Grains
5.00%
Softs
5.00%
Composition Pie Chart

Investment Strategy

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 equalized 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 two 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
-20.77 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
-16.83 12 6 5/1/2006 5/1/2007
-14.75 4 5 10/1/2001 2/1/2002
-13.25 8 10 5/1/2004 1/1/2005
-9.41 2 3 2/1/2003 4/1/2003
-9.15 4 2 1/1/0001 10/1/2000
-7.65 2 1 9/1/2002 11/1/2002
-6.88 1 3 10/1/2003 11/1/2003
-6.10 4 3 3/1/2001 7/1/2001
-5.12 2 1 5/1/2008 7/1/2008
-4.77 2 1 1/1/2006 3/1/2006
-3.12 2 - 8/1/2019 10/1/2019
-2.67 1 1 7/1/2003 8/1/2003
-1.40 1 1 8/1/2017 9/1/2017
-0.69 1 1 5/1/2017 6/1/2017
-0.40 1 1 7/1/2002 8/1/2002
-0.15 1 1 1/1/2001 2/1/2001
-0.07 1 1 3/1/2008 4/1/2008
-0.04 1 1 8/1/2008 9/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
32.75 7 8/1/2014 2/1/2015
29.22 7 9/1/2007 3/1/2008
27.00 6 3/1/2019 8/1/2019
20.10 3 11/1/2000 1/1/2001
18.79 6 12/1/2003 5/1/2004
18.12 2 4/1/2006 5/1/2006
17.36 2 1/1/2016 2/1/2016
16.35 2 6/1/2002 7/1/2002
15.44 3 12/1/2002 2/1/2003
14.93 4 10/1/2017 1/1/2018
13.38 4 10/1/2005 1/1/2006
11.09 3 8/1/2001 10/1/2001
10.94 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
9.63 1 5/1/2003 5/1/2003
9.44 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
6.93 1 2/1/2005 2/1/2005
6.93 1 5/1/2009 5/1/2009
6.71 1 8/1/2008 8/1/2008
6.54 1 2/1/2017 2/1/2017
6.54 1 7/1/2012 7/1/2012
6.25 1 3/1/2001 3/1/2001
6.13 2 5/1/2005 6/1/2005
6.06 2 4/1/2017 5/1/2017
6.02 2 5/1/2014 6/1/2014
5.98 1 8/1/2005 8/1/2005
5.93 2 6/1/2007 7/1/2007
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
5.11 1 7/1/2003 7/1/2003
4.41 2 7/1/2004 8/1/2004
4.37 1 2/1/2014 2/1/2014
4.34 2 10/1/2004 11/1/2004
4.03 2 7/1/2017 8/1/2017
3.77 1 8/1/2018 8/1/2018
3.63 1 11/1/2009 11/1/2009
3.58 1 9/1/2002 9/1/2002
2.66 1 4/1/2011 4/1/2011
2.62 1 5/1/2008 5/1/2008
2.28 1 5/1/2001 5/1/2001
2.15 2 5/1/2010 6/1/2010
2.08 1 9/1/2015 9/1/2015
2.06 1 10/1/2018 10/1/2018
1.75 1 11/1/2006 11/1/2006
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
1.18 1 2/1/2011 2/1/2011
1.13 1 8/1/2000 8/1/2000
1.08 2 8/1/2006 9/1/2006
0.92 1 1/1/2007 1/1/2007
0.65 1 9/1/2009 9/1/2009
0.56 1 7/1/2009 7/1/2009
0.49 1 4/1/2007 4/1/2007
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
-14.75 4 11/1/2001 2/1/2002
-13.97 6 2/1/2018 7/1/2018
-13.12 3 8/1/2016 10/1/2016
-12.25 2 12/1/2004 1/1/2005
-10.82 5 5/1/2013 9/1/2013
-10.79 4 1/1/2009 4/1/2009
-10.41 2 6/1/2006 7/1/2006
-9.72 3 6/1/2015 8/1/2015
-9.69 4 8/1/2012 11/1/2012
-9.41 2 3/1/2003 4/1/2003
-9.25 2 10/1/2011 11/1/2011
-7.65 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
-6.88 1 11/1/2003 11/1/2003
-6.37 3 12/1/2009 2/1/2010
-6.20 2 3/1/2005 4/1/2005
-6.08 2 1/1/2019 2/1/2019
-6.04 2 9/1/2000 10/1/2000
-5.89 1 6/1/2004 6/1/2004
-5.49 1 6/1/2012 6/1/2012
-5.44 1 12/1/2006 12/1/2006
-5.33 2 6/1/2001 7/1/2001
-5.12 2 6/1/2008 7/1/2008
-5.05 1 10/1/2015 10/1/2015
-4.79 1 11/1/2018 11/1/2018
-4.77 2 2/1/2006 3/1/2006
-4.42 2 3/1/2014 4/1/2014
-4.39 1 7/1/2000 7/1/2000
-3.99 1 11/1/2010 11/1/2010
-3.96 1 3/1/2011 3/1/2011
-3.67 1 12/1/2015 12/1/2015
-3.56 1 9/1/2004 9/1/2004
-3.47 2 4/1/2002 5/1/2002
-3.40 1 10/1/2009 10/1/2009
-3.35 2 3/1/2015 4/1/2015
-3.35 1 3/1/2012 3/1/2012
-3.27 2 2/1/2007 3/1/2007
-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
-3.03 1 4/1/2001 4/1/2001
-3.00 1 1/1/2011 1/1/2011
-2.67 1 8/1/2003 8/1/2003
-2.45 1 5/1/2007 5/1/2007
-2.39 1 9/1/2018 9/1/2018
-1.94 1 6/1/2003 6/1/2003
-1.69 2 1/1/2013 2/1/2013
-1.40 1 9/1/2017 9/1/2017
-1.33 1 7/1/2010 7/1/2010
-1.16 1 9/1/2005 9/1/2005
-0.80 1 3/1/2017 3/1/2017
-0.77 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
-0.59 1 6/1/2009 6/1/2009
-0.57 1 4/1/2010 4/1/2010
-0.40 1 8/1/2002 8/1/2002
-0.26 1 10/1/2006 10/1/2006
-0.23 1 8/1/2007 8/1/2007
-0.15 1 2/1/2001 2/1/2001
-0.14 1 7/1/2014 7/1/2014
-0.13 1 8/1/2009 8/1/2009
-0.07 1 4/1/2008 4/1/2008
-0.04 1 9/1/2008 9/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods232.00230.00227.00221.00215.00209.00197.00185.00173.00
Percent Profitable53.0258.2662.1166.0673.0279.9081.2284.8689.02
Average Period Return0.631.953.967.2810.7014.7922.6129.9638.00
Average Gain3.656.419.6813.9816.6820.1029.6636.7943.80
Average Loss-2.77-4.27-5.40-5.76-5.48-6.30-7.84-8.30-8.96
Best Period16.2420.1030.7640.0552.5956.4763.8491.5787.55
Worst Period-9.69-13.12-13.97-17.76-14.04-19.92-17.72-17.34-16.89
Standard Deviation4.096.679.3812.9114.2415.4019.3423.9225.73
Gain Standard Deviation2.914.646.9610.5811.8112.2813.8118.9820.83
Loss Standard Deviation2.053.163.343.903.824.714.565.304.86
Sharpe Ratio (1%)0.130.260.370.490.650.831.011.081.28
Average Gain / Average Loss1.321.501.792.433.043.193.784.434.89
Profit / Loss Ratio1.492.102.944.728.2412.6916.3524.8439.61
Downside Deviation (10%)2.594.095.276.797.338.1510.8112.9514.11
Downside Deviation (5%)2.403.554.174.544.134.275.115.254.96
Downside Deviation (0%)2.363.423.904.053.463.513.923.813.36
Sortino Ratio (10%)0.090.180.280.340.420.560.630.650.74
Sortino Ratio (5%)0.230.480.831.382.232.993.844.936.64
Sortino Ratio (0%)0.270.571.021.803.094.225.777.8611.32

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 5 5.09 7/2019
Diversified Trader Index Month 6 5.09 7/2019
Systematic Trader Index Month 7 5.09 7/2019
Systematic Trader Index Month 2 8.72 5/2019
Diversified Trader Index Month 2 8.72 5/2019
IASG CTA Index Month 3 8.72 5/2019

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.