Linnis : Linnis ONE, LP

Year-to-Date
4.72%
Aug Performance
0.78%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.36%
Sharpe (RFR=1%)
0.47
CAROR
6.90%
Assets
$ 8.1M
Worst DD
-14.10
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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
8/2014
Linnis ONE, LP 0.78 3.79 4.72 12.81 1.07 40.00 - 40.39
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 44.59
+/- S&P 500 2.59 -2.54 -12.01 11.96 -32.36 -4.59 - -4.20

Strategy Description

Summary

Linnis ONE is a quantitative futures trading program that utilizes short-term trading to exploit fundamental supply and demand imbalances caused by market structure and regulation. Linnis takes an event based approach with the view that events are the primary driver of volatility,... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 25k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$1.00
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
20000 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
14.09%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
70.00%
Intraday
30.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Interest Rates
47.00%
Energy
20.00%
Stock Indices
12.00%
Currency Futures
10.00%
Grains
5.00%
Precious Metals
3.00%
VIX
3.00%
Composition Pie Chart

Summary

Linnis ONE is a quantitative futures trading program that utilizes short-term trading to exploit fundamental supply and demand imbalances caused by market structure and regulation. Linnis takes an event based approach with the view that events are the primary driver of volatility, volume, and alpha in markets. Note: past performance has been pro-forma adjusted from a 3% annual management fee and 30% incentive allocation to the fee structure for the Fund beginning August 1, 2015: a 2% annual management fee and 20% incentive allocation.

   

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
-14.10 24 4 9/1/2016 9/1/2018
-13.81 5 8 7/1/2015 12/1/2015
-10.17 2 - 2/1/2019 4/1/2019
-3.59 1 3 1/1/2015 2/1/2015
-2.93 2 1 8/1/2014 10/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
29.57 3 5/1/2015 7/1/2015
18.43 5 10/1/2018 2/1/2019
12.67 5 5/1/2016 9/1/2016
12.66 3 11/1/2014 1/1/2015
9.70 2 5/1/2019 6/1/2019
7.88 2 4/1/2017 5/1/2017
7.61 1 3/1/2016 3/1/2016
5.75 1 6/1/2018 6/1/2018
5.38 1 1/1/2016 1/1/2016
4.53 1 1/1/2017 1/1/2017
3.87 2 7/1/2017 8/1/2017
2.64 1 10/1/2017 10/1/2017
2.54 1 9/1/2015 9/1/2015
2.43 1 3/1/2015 3/1/2015
2.26 1 4/1/2018 4/1/2018
0.78 1 8/1/2019 8/1/2019
0.58 1 12/1/2017 12/1/2017
0.28 1 8/1/2014 8/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.06 3 10/1/2016 12/1/2016
-10.96 3 10/1/2015 12/1/2015
-10.17 2 3/1/2019 4/1/2019
-9.61 3 7/1/2018 9/1/2018
-6.90 3 1/1/2018 3/1/2018
-5.60 1 8/1/2015 8/1/2015
-4.11 2 2/1/2017 3/1/2017
-4.00 1 4/1/2016 4/1/2016
-3.92 1 2/1/2016 2/1/2016
-3.59 1 2/1/2015 2/1/2015
-2.93 2 9/1/2014 10/1/2014
-2.71 1 9/1/2017 9/1/2017
-2.59 1 6/1/2017 6/1/2017
-2.27 1 5/1/2018 5/1/2018
-2.24 1 4/1/2015 4/1/2015
-1.17 1 11/1/2017 11/1/2017
-0.28 1 7/1/2019 7/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable54.1059.3257.1470.0068.1876.3284.62100.00
Average Period Return0.641.983.676.447.299.3713.5622.36
Average Gain3.786.339.5910.7612.6513.7716.9522.36
Average Loss-3.06-4.37-4.21-3.63-4.21-4.80-5.11
Best Period12.7229.5725.0937.1831.3740.6639.0934.07
Worst Period-8.01-11.06-10.85-9.26-10.08-14.10-9.861.55
Standard Deviation4.157.308.7310.6811.8313.3513.959.41
Gain Standard Deviation2.735.846.719.8510.4912.0412.299.41
Loss Standard Deviation1.783.612.802.852.944.574.00
Sharpe Ratio (1%)0.130.240.360.510.490.550.751.95
Average Gain / Average Loss1.241.452.282.973.012.873.32
Profit / Loss Ratio1.462.113.036.926.449.2518.23
Downside Deviation (10%)2.634.234.745.197.298.4510.496.96
Downside Deviation (5%)2.433.713.572.963.603.933.490.67
Downside Deviation (0%)2.383.583.292.492.863.142.42
Sortino Ratio (10%)0.090.180.250.28-0.04-0.10-0.210.12
Sortino Ratio (5%)0.230.470.891.841.611.883.0127.23
Sortino Ratio (0%)0.270.551.122.582.552.995.60

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 5 6.22 5/2019
Systematic Trader Index Month 7 6.22 5/2019
IASG CTA Index Month 8 6.22 5/2019
Diversified Trader Index Month 9 4.41 1/2019
IASG CTA Index Month 6 7.31 10/2018
Diversified Trader Index Month 3 7.31 10/2018
Systematic Trader Index Month 4 7.31 10/2018
Diversified Trader Index Month 4 5.75 6/2018
Systematic Trader Index Month 6 5.75 6/2018
IASG CTA Index Month 7 5.75 6/2018
IASG CTA Index Month 5 5.33 4/2017
Diversified Trader Index Month 4 5.33 4/2017
Systematic Trader Index Month 4 5.33 4/2017
Diversified Trader Index Month 5 4.53 1/2017
Systematic Trader Index Month 6 4.53 1/2017
Systematic Trader Index Month 3 2.71 8/2016
Diversified Trader Index Month 4 2.71 8/2016

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