Morris Capital Australia : JL Macro

Year-to-Date
36.76%
May Performance
0.35%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
19.60%
Sharpe (RFR=1%)
1.04
CAROR
21.42%
Assets
$ 840k
Worst DD
-11.59
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 May Qtr YTD 1yr 3yr 5yr 10yr Since
3/2018
JL Macro 0.35 0.00 36.76 24.68 - - - 54.77
S&P 500 4.53 3.05 -5.77 10.62 - - - 32.53
+/- S&P 500 -4.18 -3.05 42.53 14.06 - - - 22.23

Strategy Description

Summary

Jim Langlands
Jim began his trading career in the commodities markets in London in 1976, before moving to Australia in 1979 to work as a floor trader on the Sydney Futures Exchange. He did this for 2 years before moving into Foreign Exchange, and has since worked in senior trading... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $10.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 11.59%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 40.00%
1-30 Days 60.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
50.00%
Technical
50.00%
Strategy Pie Chart

Composition

Currency FX
80.00%
Stock Indices
20.00%
Composition Pie Chart

Summary

Jim Langlands
Jim began his trading career in the commodities markets in London in 1976, before moving to Australia in 1979 to work as a floor trader on the Sydney Futures Exchange. He did this for 2 years before moving into Foreign Exchange, and has since worked in senior trading and management positions in various international financial centres.

Aside from FX, Jim also has a wide knowledge of all the other asset classes traded in Financial Markets including Equities, Bonds and Commodities, as well as all the trading tools, including derivatives such as options, futures and CFDs.

Investment Strategy

Morris JL Macro is mainly based on a discretionary perspective, utilising a combination of fundamental and technical analysis when deciding to place a position on a specific product. He keeps himself updated on the latest political developments that are likely to affect a particular market price and keeps a close eye on the economic calendar of the day. Most of his trade centres on the US$/majors, but he also uses the FX crosses as well as various commodities, as/when he feels there is an opportunity to do so.

Risk Management

An investor could in theory lose 20% of his portfolio, at which point all trades would be stopped out. In practice, the low level of gearing should work against this becoming an issue unless there is a black-swan event that adversely affects the portfolio.

Key risks measured are:
- position concentration
- directional exposure

   

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
-11.59 1 1 11/1/2019 12/1/2019
-9.13 3 3 10/1/2018 1/1/2019
-5.79 1 1 5/1/2019 6/1/2019
-1.65 1 1 1/1/0001 3/1/2018
-1.36 1 1 9/1/2019 10/1/2019
-0.77 1 1 8/1/2018 9/1/2018
-0.48 1 2 4/1/2018 5/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
36.76 5 1/1/2020 5/1/2020
18.40 3 7/1/2019 9/1/2019
16.07 4 2/1/2019 5/1/2019
7.09 3 6/1/2018 8/1/2018
2.51 1 11/1/2019 11/1/2019
2.06 1 4/1/2018 4/1/2018
1.36 1 10/1/2018 10/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.59 1 12/1/2019 12/1/2019
-9.13 3 11/1/2018 1/1/2019
-5.79 1 6/1/2019 6/1/2019
-1.65 1 3/1/2018 3/1/2018
-1.36 1 10/1/2019 10/1/2019
-0.77 1 9/1/2018 9/1/2018
-0.48 1 5/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable66.6776.0090.91100.00100.00
Average Period Return1.785.7510.0221.2331.99
Average Gain4.399.0611.2221.2331.99
Average Loss-3.44-4.74-1.93
Best Period15.3835.0023.6342.4451.45
Worst Period-11.59-10.60-3.276.3512.81
Standard Deviation5.669.368.1912.6411.42
Gain Standard Deviation4.567.957.5712.6411.42
Loss Standard Deviation3.714.371.90
Sharpe Ratio (1%)0.300.591.161.602.67
Average Gain / Average Loss1.281.915.81
Profit / Loss Ratio2.556.0558.10
Downside Deviation (10%)3.003.521.45
Downside Deviation (5%)2.873.130.84
Downside Deviation (0%)2.833.040.71
Sortino Ratio (10%)0.461.285.23
Sortino Ratio (5%)0.591.7611.38
Sortino Ratio (0%)0.631.8914.13

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.