Laurel Ridge Capital Partners LLC : LRMFF

Year-to-Date: 2.61%
Nov Performance: 1.94%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 17.46%
Sharpe (RFR=1%): 0.50
CAROR: 8.46%

Assets: $ 2.3M
Worst DD: -29.26
S&P Correlation: 0.18

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Growth of 1,000 - VAMI

Monthly Performance

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	Nov	Qtr	2019	1yr	3yr	5yr	10yr	Since 1/2013
LRMFF	1.94	1.72	2.61	-0.44	2.63	53.87	-	75.36
S&P 500	3.40	7.33	25.29	13.79	41.40	50.37	-	107.53
+/- S&P 500	-1.46	-5.61	-22.68	-14.23	-38.77	3.50	-	-32.17

Strategy Description

Summary

Laurel Ridge Managed Futures Fund LP (the “Fund”) is a diversified commodity pool. We employ a multi-strategy, systematic trading program using trend following strategies based on proprietary algorithms trading commodity futures. We seek to generate absolute returns that are not correlated... Read More

Account & Fees

Type: Fund
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 250k
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: 15-30 Days
Redemption Frequency: 15-30 Days
Investor Requirements: Accredited Investors
Lock-up Period: 0

Trading

Trading Frequency: 688 RT/YR/$M
Avg. Margin-to-Equity: 25%
Targeted Worst DD: -5.00%
Worst Peak-to-Trough
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 4.00%
1-30 Days: 96.00%
Intraday: 0%

Decision-Making

Discretionary: 3.00%
Systematic: 97.00%

Strategy

Momentum: 8.00%
Option-purchasing: 2.00%
Pattern Recognition: 25.00%
Seasonal/cyclical: 20.00%
Spreading/hedging: 20.00%
Trend-following: 25.00%

Composition

Precious Metals: 18.00%
Energy: 18.00%
Currency FX: 15.00%
Grains: 15.00%
Livestock: 15.00%
Softs: 12.00%
Interest Rates: 7.00%

Summary

Investment Strategy

The Fund uses a multi-strategy, systematic approach that consists of four primary trend following and mean reversion strategies that are based on our own proprietary algorithms.

• Trend Following: short, medium, long term
• Mean Reversion Strategy
• Seasonal Trends
• Commitment of Traders (COT) Trends .

Risk Management

Signals are automatically generated by the proprietary algorithms for both entries and exits. The Fund employs numerous risk management techniques including hedging techniques and each position taken is sized to attempt avoiding exposure greater than 2% of the entire portfolio.

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Index: Chart Type:

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:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
Average RoR:
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Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-29.26	10	11	4/1/2013	2/1/2014
-14.18	3	4	10/1/2015	1/1/2016
-12.24	15	-	10/1/2017	1/1/2019
-7.77	3	4	1/1/2017	4/1/2017
-5.33	4	1	6/1/2016	10/1/2016
-3.15	1	1	2/1/2013	3/1/2013
-2.54	1	1	5/1/2015	6/1/2015
-1.93	1	1	7/1/2015	8/1/2015
-0.18	1	1	11/1/2016	12/1/2016

Consecutive Gains

Run-up	Length (Mos.)	Start	End
33.96	5	2/1/2016	6/1/2016
26.07	5	1/1/2015	5/1/2015
16.58	1	5/1/2014	5/1/2014
14.49	2	1/1/2013	2/1/2013
13.77	6	5/1/2017	10/1/2017
13.42	2	10/1/2014	11/1/2014
12.48	2	9/1/2015	10/1/2015
10.45	1	3/1/2014	3/1/2014
6.50	2	11/1/2013	12/1/2013
6.38	1	6/1/2019	6/1/2019
5.68	1	11/1/2016	11/1/2016
4.92	1	1/1/2017	1/1/2017
4.82	1	4/1/2013	4/1/2013
4.34	1	7/1/2015	7/1/2015
3.75	3	2/1/2019	4/1/2019
3.20	2	10/1/2019	11/1/2019
2.73	1	6/1/2013	6/1/2013
2.39	1	8/1/2014	8/1/2014
0.91	1	12/1/2015	12/1/2015
0.56	2	10/1/2018	11/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-24.95	4	7/1/2013	10/1/2013
-11.70	1	1/1/2016	1/1/2016
-9.34	2	1/1/2014	2/1/2014
-7.83	1	12/1/2014	12/1/2014
-7.77	3	2/1/2017	4/1/2017
-6.72	11	11/1/2017	9/1/2018
-6.44	2	12/1/2018	1/1/2019
-6.25	3	7/1/2019	9/1/2019
-5.33	4	7/1/2016	10/1/2016
-4.97	1	5/1/2013	5/1/2013
-3.68	1	11/1/2015	11/1/2015
-3.39	2	6/1/2014	7/1/2014
-3.15	1	3/1/2013	3/1/2013
-2.71	1	4/1/2014	4/1/2014
-2.54	1	6/1/2015	6/1/2015
-1.93	1	8/1/2015	8/1/2015
-1.38	1	9/1/2014	9/1/2014
-0.35	1	5/1/2019	5/1/2019
-0.18	1	12/1/2016	12/1/2016

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	83.00	81.00	78.00	72.00	66.00	60.00	48.00	36.00
Percent Profitable	49.40	54.32	61.54	61.11	74.24	85.00	100.00	100.00
Average Period Return	0.80	2.11	4.30	9.88	18.06	26.56	45.23	61.90
Average Gain	4.39	7.71	10.97	20.54	26.23	32.11	45.23	61.90
Average Loss	-3.43	-5.61	-7.34	-6.89	-5.47	-4.90
Best Period	16.58	25.27	32.18	46.38	68.14	74.45	117.48	120.52
Worst Period	-18.43	-23.09	-26.74	-28.19	-11.01	-8.70	2.56	15.80
Standard Deviation	5.04	8.37	11.73	17.62	21.76	25.00	31.24	27.33
Gain Standard Deviation	3.69	5.84	8.02	13.36	19.30	22.94	31.24	27.33
Loss Standard Deviation	3.60	5.69	8.57	7.40	3.49	3.40
Sharpe Ratio (1%)	0.14	0.22	0.32	0.50	0.76	0.98	1.35	2.12
Average Gain / Average Loss	1.28	1.37	1.49	2.98	4.80	6.55
Profit / Loss Ratio	1.59	2.02	2.76	4.69	13.82	37.14
Downside Deviation (10%)	3.30	5.39	7.50	8.74	7.17	6.60	4.37	0.96
Downside Deviation (5%)	3.15	4.93	6.64	6.69	3.94	2.96	0.10
Downside Deviation (0%)	3.11	4.82	6.44	6.25	3.26	2.27
Sortino Ratio (10%)	0.12	0.16	0.24	0.56	1.46	2.47	6.74	42.10
Sortino Ratio (5%)	0.23	0.38	0.57	1.33	4.20	8.29	435.98
Sortino Ratio (0%)	0.26	0.44	0.67	1.58	5.53	11.71

Top Performer Badges

Index	Award Type	Rank	Performance	Period

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

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LRMFF	8.46%

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Laurel Ridge Capital Partners LLC : LRMFF

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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