John Locke Investments : JL Commodity Long Flat Program

archived programsClosed to new investments
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

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 Since
12/2007
JL Commodity Long Flat Program -0.36 1.65 - -8.91 -22.67 -30.29 -18.91 -17.69
S&P 500 3.43 5.21 - 18.21 28.55 85.57 80.21 80.21
+/- S&P 500 -3.79 -3.56 - -27.12 -51.21 -115.86 -99.12 -97.90

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Energy
36.00%
Industrial Metals
20.00%
Grains
20.00%
Softs
15.00%
Precious Metals
9.00%
Composition Pie Chart

Summary

The 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.

   

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
-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
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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
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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
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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.