Laurel Ridge Capital Partners LLC : LRMFF

Year-to-Date
0.65%
Oct Performance
1.24%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.57%
Sharpe (RFR=1%)
0.48
CAROR
8.26%
Assets
$ 2.3M
Worst DD
-29.26
S&P Correlation
0.18

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
1/2013
LRMFF 1.24 -2.69 0.65 -1.99 6.39 56.74 - 72.02
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 100.70
+/- S&P 500 -0.80 -4.61 -20.51 -14.00 -35.02 7.75 - -28.67

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%

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%
Composition Pie Chart

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 to the equity markets.

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.

   

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
-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
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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
2.73 1 6/1/2013 6/1/2013
2.39 1 8/1/2014 8/1/2014
1.24 1 10/1/2019 10/1/2019
0.91 1 12/1/2015 12/1/2015
0.56 2 10/1/2018 11/1/2018
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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
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods82.0080.0077.0071.0065.0059.0047.0035.00
Percent Profitable48.7853.7561.0461.9773.8586.44100.00100.00
Average Period Return0.792.124.3210.0218.3427.0646.1463.02
Average Gain4.457.8511.1420.5426.7732.1146.1463.02
Average Loss-3.43-5.61-7.34-7.13-5.47-5.13
Best Period16.5825.2732.1846.3868.1474.45117.48120.52
Worst Period-18.43-23.09-26.74-28.19-11.01-8.702.5615.80
Standard Deviation5.078.4211.8117.7021.8124.9130.9426.87
Gain Standard Deviation3.725.838.0213.3619.1322.9430.9426.87
Loss Standard Deviation3.605.698.577.433.493.56
Sharpe Ratio (1%)0.140.220.320.510.771.011.392.19
Average Gain / Average Loss1.301.401.522.884.896.25
Profit / Loss Ratio1.572.012.744.7013.8239.87
Downside Deviation (10%)3.325.437.548.777.176.423.980.97
Downside Deviation (5%)3.174.966.686.743.962.910.08
Downside Deviation (0%)3.134.856.496.293.292.25
Sortino Ratio (10%)0.120.160.250.571.502.627.6342.67
Sortino Ratio (5%)0.220.380.571.344.258.60549.70
Sortino Ratio (0%)0.250.440.671.595.5812.01

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.