John Locke Investments : JL Commodity Long Flat Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance -0.36% Min Investment € 5,000k Mgmt. Fee 1.20% Perf. Fee 20.00% Annualized Vol 9.93% Sharpe (RFR=1%) -0.25 CAROR -1.91% Assets € 1.2M Worst DD -42.50 S&P Correlation 0.31 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 YTD 1yr 3yr 5yr 10yr Since12/2007 JL Commodity Long Flat Program -0.36 - - - 0.03 -14.93 -25.37 -17.69 S&P 500 3.43 - - - 28.55 85.57 80.21 120.47 +/- S&P 500 -3.79 - - - -28.51 -100.50 -105.59 -138.16 Strategy Description SummaryThe Fund seeks to take advantage of upward moves in global commodity markets via its trend following investment approach. Where upward price pressure is in evidence in commodity markets then a long position will be entered into by the Fund. Conversely, where downward price pressure... Read More Account & Fees Type Fund Minimum Investment € 5,000k Trading Level Incremental Increase € 0k CTA Max Funding Factor Management Fee 1.20% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 200 RT/YR/$M Avg. Margin-to-Equity 6% 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 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Energy 36.00% Industrial Metals 20.00% Grains 20.00% Softs 15.00% Precious Metals 9.00% SummaryThe Fund seeks to take advantage of upward moves in global commodity markets via its trend following investment approach. Where upward price pressure is in evidence in commodity markets then a long position will be entered into by the Fund. Conversely, where downward price pressure is prevalent then the Fund will seek to achieve a flat or cash position. Fixed allocations are made to the metal, energy, grain and soft commodity sectors. This exposure is dynamically rebalanced to ensure the underlying contracts within the Fund maintain their appropriate weighting. On a yearly basis, sector allocations are reviewed and may be adjusted at the discretion of the investment manager. 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 -42.50 77 - 4/1/2011 9/1/2017 -13.78 8 20 6/1/2008 2/1/2009 -6.88 1 3 2/1/2008 3/1/2008 -1.69 1 1 10/1/2010 11/1/2010 Show More Consecutive Gains Run-up Length (Mos.) Start End 17.73 5 12/1/2010 4/1/2011 14.15 3 12/1/2007 2/1/2008 11.82 3 4/1/2008 6/1/2008 11.78 2 9/1/2010 10/1/2010 10.52 3 3/1/2009 5/1/2009 8.51 4 3/1/2016 6/1/2016 7.01 4 6/1/2012 9/1/2012 6.05 3 2/1/2014 4/1/2014 5.42 3 10/1/2009 12/1/2009 2.68 2 6/1/2010 7/1/2010 2.61 1 4/1/2015 4/1/2015 2.44 2 1/1/2012 2/1/2012 2.43 1 12/1/2016 12/1/2016 2.02 2 10/1/2017 11/1/2017 1.99 1 1/1/2013 1/1/2013 1.91 2 7/1/2013 8/1/2013 1.74 2 10/1/2011 11/1/2011 1.66 1 3/1/2010 3/1/2010 1.02 1 7/1/2009 7/1/2009 0.79 1 7/1/2017 7/1/2017 0.65 1 3/1/2013 3/1/2013 0.65 1 12/1/2013 12/1/2013 0.59 1 6/1/2014 6/1/2014 0.33 1 7/1/2011 7/1/2011 0.11 1 8/1/2015 8/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -13.78 8 7/1/2008 2/1/2009 -10.93 9 7/1/2014 3/1/2015 -9.65 6 1/1/2017 6/1/2017 -9.27 6 9/1/2015 2/1/2016 -7.48 5 7/1/2016 11/1/2016 -7.35 3 5/1/2015 7/1/2015 -6.88 1 3/1/2008 3/1/2008 -6.86 2 8/1/2011 9/1/2011 -6.48 3 3/1/2012 5/1/2012 -6.12 3 10/1/2012 12/1/2012 -6.02 2 5/1/2011 6/1/2011 -5.71 2 1/1/2010 2/1/2010 -5.31 2 4/1/2010 5/1/2010 -5.06 3 4/1/2013 6/1/2013 -4.15 3 9/1/2013 11/1/2013 -2.61 1 5/1/2014 5/1/2014 -2.50 1 12/1/2011 12/1/2011 -2.44 1 2/1/2013 2/1/2013 -1.69 1 11/1/2010 11/1/2010 -1.60 2 8/1/2017 9/1/2017 -1.53 2 8/1/2009 9/1/2009 -1.31 1 8/1/2010 8/1/2010 -0.37 1 6/1/2009 6/1/2009 -0.36 1 12/1/2017 12/1/2017 -0.36 1 1/1/2014 1/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods121.00119.00116.00110.00104.0098.0086.0074.0062.00 Percent Profitable42.1531.0936.2128.1829.8130.6138.3735.1430.65 Average Period Return-0.12-0.40-1.03-2.42-3.24-4.33-6.23-9.84-13.01 Average Gain2.245.776.769.9311.6514.5613.8610.197.13 Average Loss-1.84-3.18-5.45-7.26-9.56-12.66-18.75-20.70-21.90 Best Period11.7916.3827.9025.8724.3335.8932.0525.8419.63 Worst Period-6.88-8.14-11.37-16.78-21.91-23.89-28.55-30.08-36.88 Standard Deviation2.875.077.529.6311.1414.2517.5217.1617.14 Gain Standard Deviation2.594.417.048.336.689.038.926.686.44 Loss Standard Deviation1.521.912.574.304.795.356.089.5412.01 Sharpe Ratio (1%)-0.07-0.13-0.20-0.35-0.43-0.44-0.53-0.81-1.06 Average Gain / Average Loss1.221.811.241.371.221.150.740.490.33 Profit / Loss Ratio0.890.820.700.540.520.510.460.270.14 Downside Deviation (10%)2.063.996.6711.0414.9719.6227.8435.7244.05 Downside Deviation (5%)1.863.255.177.8810.0913.0017.7421.3524.60 Downside Deviation (0%)1.813.074.807.148.9511.4415.4618.3220.75 Sortino Ratio (10%)-0.26-0.41-0.52-0.67-0.72-0.74-0.79-0.88-0.92 Sortino Ratio (5%)-0.11-0.20-0.29-0.43-0.47-0.49-0.52-0.65-0.74 Sortino Ratio (0%)-0.07-0.13-0.21-0.34-0.36-0.38-0.40-0.54-0.63 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 6 2.61 4/2015 Trend Following Strategy Index Month 10 1.83 4/2008 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