Molinero Capital Management LLP : Briarwood Molinero Combined Futures Program

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 1,500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
12.24%
Sharpe (RFR=1%)
0.27
CAROR
3.66%
Assets
$ 30.0M
Worst DD
-25.18
S&P Correlation
-0.10

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
7/2005
Briarwood Molinero Combined Futures Program 0.00 -8.55 - -17.96 2.84 1.76 20.61 51.20
S&P 500 1.82 3.25 - 9.54 21.13 78.02 57.83 81.37
+/- S&P 500 -1.82 -11.80 - -27.49 -18.29 -76.26 -37.22 -30.17

Strategy Description

Summary

The Briarwood Molinero Combined Futures Program trades the combination (with equal weights) of the trading models in Briarwood Diversified and in Molinero Global Markets levered at 1.5x. For instance, a $10MM investment in the Combined Futures program would reflect a $7.5MM investment... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.50
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$1.50
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
2100 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
22.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
15.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
30.00%
Pattern Recognition
30.00%
Technical
10.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
20.00%
Energy
8.00%
Softs
5.00%
VIX
5.00%
Industrial Metals
4.00%
Precious Metals
4.00%
Grains
4.00%
Composition Pie Chart

Summary

The Briarwood Molinero Combined Futures Program trades the combination (with equal weights) of the trading models in Briarwood Diversified and in Molinero Global Markets levered at 1.5x. For instance, a $10MM investment in the Combined Futures program would reflect a $7.5MM investment in Briarwood Diversified and another $7.5MM in Molinero Global Markets. The performance displayed in this report is the hypothetical composite track record as if you had invested in both BriarwoodDiversified and MolineroGlobalMarkets as follows 1.5x[50%BriarwoodDiversified+50%MolineroGlobalMarkets].

   

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
-25.18 9 - 2/1/2016 11/1/2016
-23.15 12 33 4/1/2011 4/1/2012
-15.66 12 14 2/1/2009 2/1/2010
-10.71 3 8 3/1/2015 6/1/2015
-6.60 3 5 4/1/2006 7/1/2006
-6.36 2 2 6/1/2007 8/1/2007
-5.93 3 5 2/1/2008 5/1/2008
-3.92 1 3 9/1/2005 10/1/2005
-3.09 2 1 1/1/2007 3/1/2007
-2.37 3 1 10/1/2007 1/1/2008
-0.74 1 1 7/1/2005 8/1/2005
-0.57 1 1 1/1/2006 2/1/2006
-0.26 1 1 11/1/2008 12/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
42.29 10 6/1/2014 3/1/2015
16.54 4 10/1/2006 1/1/2007
12.07 3 4/1/2007 6/1/2007
10.74 4 7/1/2010 10/1/2010
10.20 2 9/1/2007 10/1/2007
9.99 4 11/1/2012 2/1/2013
9.66 2 1/1/2016 2/1/2016
9.48 3 9/1/2008 11/1/2008
8.58 1 5/1/2012 5/1/2012
8.10 2 3/1/2006 4/1/2006
7.45 3 11/1/2005 1/1/2006
6.27 2 3/1/2010 4/1/2010
6.23 1 7/1/2015 7/1/2015
6.13 1 2/1/2008 2/1/2008
6.03 3 10/1/2013 12/1/2013
5.27 1 4/1/2013 4/1/2013
5.13 2 1/1/2009 2/1/2009
5.12 1 11/1/2015 11/1/2015
5.12 1 9/1/2005 9/1/2005
4.73 1 4/1/2011 4/1/2011
4.50 1 12/1/2010 12/1/2010
4.09 1 9/1/2012 9/1/2012
3.86 2 6/1/2008 7/1/2008
3.41 1 2/1/2011 2/1/2011
2.70 1 7/1/2011 7/1/2011
2.37 1 7/1/2005 7/1/2005
2.32 1 11/1/2009 11/1/2009
2.24 1 8/1/2006 8/1/2006
2.18 1 9/1/2015 9/1/2015
2.18 1 7/1/2012 7/1/2012
1.79 1 5/1/2015 5/1/2015
1.77 1 6/1/2016 6/1/2016
1.74 2 8/1/2009 9/1/2009
0.52 1 2/1/2014 2/1/2014
0.34 1 12/1/2011 12/1/2011
0.02 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.45 6 7/1/2016 12/1/2016
-13.06 3 3/1/2016 5/1/2016
-12.47 5 3/1/2009 7/1/2009
-10.88 4 1/1/2012 4/1/2012
-10.36 4 8/1/2011 11/1/2011
-9.42 5 5/1/2013 9/1/2013
-6.66 2 5/1/2011 6/1/2011
-6.60 3 12/1/2009 2/1/2010
-6.60 1 6/1/2015 6/1/2015
-6.60 1 6/1/2012 6/1/2012
-6.36 2 7/1/2007 8/1/2007
-6.08 1 4/1/2015 4/1/2015
-5.93 3 3/1/2008 5/1/2008
-5.71 2 5/1/2010 6/1/2010
-5.43 1 10/1/2015 10/1/2015
-4.26 1 1/1/2014 1/1/2014
-3.92 1 10/1/2005 10/1/2005
-3.60 1 5/1/2006 5/1/2006
-3.27 1 10/1/2012 10/1/2012
-3.13 1 7/1/2006 7/1/2006
-3.09 2 2/1/2007 3/1/2007
-3.01 1 12/1/2015 12/1/2015
-2.98 1 8/1/2012 8/1/2012
-2.37 3 11/1/2007 1/1/2008
-2.06 1 8/1/2008 8/1/2008
-1.59 3 3/1/2014 5/1/2014
-1.51 1 11/1/2010 11/1/2010
-1.37 1 3/1/2013 3/1/2013
-0.89 1 10/1/2009 10/1/2009
-0.85 1 3/1/2011 3/1/2011
-0.74 1 8/1/2005 8/1/2005
-0.66 1 1/1/2011 1/1/2011
-0.57 1 2/1/2006 2/1/2006
-0.47 1 8/1/2015 8/1/2015
-0.33 1 9/1/2006 9/1/2006
-0.26 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods138.00136.00133.00127.00121.00115.00103.0091.0079.00
Percent Profitable50.0055.8856.3963.7868.6067.8367.9665.9367.09
Average Period Return0.361.112.495.498.6811.2113.1313.3914.41
Average Gain3.225.618.8413.3216.9519.8023.6523.5224.22
Average Loss-2.57-4.58-5.72-8.29-9.38-6.90-9.17-6.21-5.58
Best Period11.3927.0737.3040.3243.4843.5652.9548.4552.93
Worst Period-6.60-13.06-16.13-23.15-22.21-14.60-19.19-14.47-15.63
Standard Deviation3.536.599.8313.4916.3816.9420.1717.8019.99
Gain Standard Deviation2.274.717.829.6712.4113.5215.4112.9817.11
Loss Standard Deviation1.833.474.796.256.374.585.464.074.26
Sharpe Ratio (1%)0.080.130.200.330.440.540.500.520.47
Average Gain / Average Loss1.251.221.551.611.812.872.583.784.34
Profit / Loss Ratio1.291.552.002.833.956.055.477.338.85
Downside Deviation (10%)2.434.496.278.8710.3910.5615.1517.6422.33
Downside Deviation (5%)2.243.945.176.727.055.677.556.476.65
Downside Deviation (0%)2.193.814.916.226.334.686.014.314.00
Sortino Ratio (10%)-0.02-0.030.000.060.100.09-0.17-0.46-0.59
Sortino Ratio (5%)0.120.220.390.671.021.621.341.441.40
Sortino Ratio (0%)0.160.290.510.881.372.402.183.103.60

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.