Mulvaney Capital Management : The Mulvaney Global Markets Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 16.48% Feb Performance 13.98% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 33.19% Sharpe (RFR=1%) 0.46 CAROR 11.37% Assets $ 149.0M Worst DD -45.20 S&P Correlation -0.13 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since5/1999 The Mulvaney Global Markets Fund 13.98 39.34 16.48 56.84 8.16 -12.04 37.44 948.76 S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 193.41 199.13 +/- S&P 500 8.04 30.69 11.72 23.65 -36.82 -113.61 -155.97 749.63 Strategy Description SummaryMulvaney Capital's systematic long-term trend following program seeks to deliver high absolute returns in rising and falling markets. The program invests in futures contracts linked to a diverse range of commodities and financial assets listed on regulated exchanges around the... Read More Account & Fees Type Fund Minimum Investment $ 100k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 32% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition SummaryMulvaney Capital's systematic long-term trend following program seeks to deliver high absolute returns in rising and falling markets. The program invests in futures contracts linked to a diverse range of commodities and financial assets listed on regulated exchanges around the world. It takes a long term approach to capturing trends in order to reduce the risk of being shaken out by short term price fluctuations. Trading is completely systematic and driven by objective price data. Highlights: (1) Exposure to smaller commodity markets provides broad diversification, (2) Non-correlation to equities and most alternative asset classes, (3) Effective diversification for traditional and alternative portfolios, (4) 19 year track record of profiting in rising and falling markets, (5) consistent, objective and stable investment process. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -45.20 18 - 8/1/2018 2/1/2020 -45.04 19 22 4/1/2011 11/1/2012 -41.28 16 6 4/1/2006 8/1/2007 -35.43 18 3 1/1/2009 7/1/2010 -27.17 19 11 2/1/2016 9/1/2017 -27.13 6 2 2/1/2008 8/1/2008 -26.01 14 6 3/1/2004 5/1/2005 -19.18 7 4 3/1/2015 10/1/2015 -18.98 12 5 3/1/2001 3/1/2002 -17.62 5 3 2/1/2003 7/1/2003 -12.42 2 2 9/1/2002 11/1/2002 -11.05 4 4 12/1/1999 4/1/2000 -9.89 6 2 1/1/0001 10/1/1999 -9.62 1 1 12/1/2000 1/1/2001 -5.36 1 1 10/1/2010 11/1/2010 -4.62 1 1 2/1/2011 3/1/2011 -4.36 1 2 8/1/2000 9/1/2000 -2.70 1 1 1/1/2006 2/1/2006 -1.67 1 1 9/1/2014 10/1/2014 -0.50 1 1 1/1/2015 2/1/2015 -0.27 1 1 10/1/2003 11/1/2003 Show More Consecutive Gains Run-up Length (Mos.) Start End 85.78 5 9/1/2008 1/1/2009 70.04 3 12/1/2007 2/1/2008 63.20 3 8/1/2010 10/1/2010 51.51 3 6/1/2019 8/1/2019 43.54 5 10/1/2020 2/1/2021 43.52 6 12/1/2012 5/1/2013 40.40 3 12/1/2010 2/1/2011 40.34 3 6/1/2018 8/1/2018 38.75 3 11/1/2005 1/1/2006 36.71 6 4/1/2002 9/1/2002 34.75 2 2/1/2001 3/1/2001 34.68 4 6/1/2014 9/1/2014 31.82 3 11/1/2014 1/1/2015 31.19 1 3/1/2020 3/1/2020 31.08 4 6/1/2005 9/1/2005 30.84 3 12/1/2002 2/1/2003 27.33 1 6/1/2016 6/1/2016 26.01 2 3/1/2006 4/1/2006 23.09 3 8/1/2003 10/1/2003 22.84 3 9/1/2013 11/1/2013 21.95 2 12/1/2017 1/1/2018 21.86 4 12/1/2003 3/1/2004 21.08 3 10/1/2000 12/1/2000 19.04 3 9/1/2004 11/1/2004 18.22 1 9/1/2016 9/1/2016 18.18 2 9/1/2007 10/1/2007 17.33 2 1/1/2016 2/1/2016 15.60 1 11/1/2018 11/1/2018 14.32 2 5/1/2008 6/1/2008 13.52 1 11/1/2015 11/1/2015 12.92 2 7/1/2011 8/1/2011 12.68 1 8/1/2000 8/1/2000 12.62 3 4/1/2007 6/1/2007 12.31 2 8/1/2009 9/1/2009 12.19 2 11/1/1999 12/1/1999 12.05 1 11/1/2011 11/1/2011 11.38 1 7/1/2012 7/1/2012 10.70 1 11/1/2009 11/1/2009 10.68 1 10/1/2017 10/1/2017 10.05 1 3/1/2019 3/1/2019 9.23 1 2/1/2017 2/1/2017 9.20 2 4/1/2003 5/1/2003 8.97 1 4/1/2017 4/1/2017 8.91 3 2/1/2014 4/1/2014 8.63 2 5/1/2000 6/1/2000 6.15 1 9/1/2015 9/1/2015 6.07 1 4/1/2011 4/1/2011 6.03 2 2/1/2012 3/1/2012 5.39 1 6/1/2001 6/1/2001 4.77 1 7/1/2015 7/1/2015 4.13 1 5/1/2015 5/1/2015 3.84 1 3/1/2015 3/1/2015 3.46 1 4/1/2018 4/1/2018 3.40 1 7/1/2020 7/1/2020 2.97 2 8/1/2006 9/1/2006 2.85 2 2/1/2005 3/1/2005 2.74 3 11/1/2006 1/1/2007 2.52 1 2/1/2000 2/1/2000 2.38 1 8/1/2017 8/1/2017 2.13 1 8/1/1999 8/1/1999 2.02 1 4/1/2010 4/1/2010 0.88 1 12/1/2019 12/1/2019 0.53 1 6/1/2010 6/1/2010 Show More Consecutive Losses Run-up Length (Mos.) Start End -35.89 3 9/1/2019 11/1/2019 -33.01 2 7/1/2007 8/1/2007 -27.92 4 8/1/2012 11/1/2012 -26.67 3 12/1/2018 2/1/2019 -26.62 2 9/1/2018 10/1/2018 -24.25 2 7/1/2008 8/1/2008 -23.68 5 4/1/2004 8/1/2004 -22.99 3 3/1/2016 5/1/2016 -21.20 4 10/1/2016 1/1/2017 -20.89 2 2/1/2018 3/1/2018 -19.73 3 4/1/2012 6/1/2012 -18.35 2 5/1/2011 6/1/2011 -18.02 4 12/1/2009 3/1/2010 -17.75 2 9/1/2011 10/1/2011 -17.18 3 6/1/2013 8/1/2013 -16.48 6 2/1/2009 7/1/2009 -15.86 2 3/1/2008 4/1/2008 -15.81 2 4/1/2001 5/1/2001 -14.78 3 5/1/2006 7/1/2006 -14.18 2 7/1/2016 8/1/2016 -14.12 2 8/1/2020 9/1/2020 -13.54 2 2/1/2007 3/1/2007 -13.46 2 6/1/2003 7/1/2003 -12.98 2 4/1/2005 5/1/2005 -12.83 1 3/1/2003 3/1/2003 -12.42 2 10/1/2002 11/1/2002 -12.38 2 1/1/2020 2/1/2020 -12.03 1 7/1/2010 7/1/2010 -11.05 1 10/1/2015 10/1/2015 -10.07 3 5/1/2017 7/1/2017 -9.62 1 1/1/2001 1/1/2001 -9.38 2 9/1/1999 10/1/1999 -9.23 1 8/1/2015 8/1/2015 -9.01 2 12/1/2004 1/1/2005 -8.77 1 5/1/2010 5/1/2010 -8.69 9 7/1/2001 3/1/2002 -8.65 2 3/1/2000 4/1/2000 -8.59 1 11/1/2007 11/1/2007 -8.08 1 9/1/2017 9/1/2017 -7.98 1 4/1/2015 4/1/2015 -7.86 1 10/1/2009 10/1/2009 -7.77 1 3/1/2017 3/1/2017 -7.23 1 5/1/2018 5/1/2018 -6.77 2 4/1/2019 5/1/2019 -6.21 3 4/1/2020 6/1/2020 -6.07 1 6/1/2015 6/1/2015 -5.64 1 10/1/2005 10/1/2005 -5.36 1 11/1/2010 11/1/2010 -5.33 2 12/1/2011 1/1/2012 -5.02 1 1/1/2000 1/1/2000 -4.62 1 3/1/2011 3/1/2011 -4.47 1 5/1/2014 5/1/2014 -4.36 1 9/1/2000 9/1/2000 -2.70 1 2/1/2006 2/1/2006 -2.68 2 12/1/2013 1/1/2014 -2.64 3 5/1/1999 7/1/1999 -2.29 1 11/1/2017 11/1/2017 -2.10 1 12/1/2015 12/1/2015 -1.67 1 10/1/2014 10/1/2014 -1.25 1 7/1/2000 7/1/2000 -0.50 1 2/1/2015 2/1/2015 -0.27 1 11/1/2003 11/1/2003 -0.13 1 10/1/2006 10/1/2006 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods262.00260.00257.00251.00245.00239.00227.00215.00203.00 Percent Profitable51.1553.8554.4760.5667.3570.2978.8585.5891.63 Average Period Return1.343.937.5614.5721.8228.5745.1265.6685.76 Average Gain8.3615.4223.1032.4139.9846.2861.1680.0595.48 Average Loss-6.35-9.88-11.21-12.81-15.62-13.32-14.68-19.76-20.62 Best Period45.4973.6597.53115.15148.58139.53165.16224.72203.18 Worst Period-25.79-35.89-43.33-35.32-45.20-39.45-36.34-43.92-38.63 Standard Deviation9.5817.0423.9530.2735.0137.0343.3154.5752.09 Gain Standard Deviation7.2514.5121.2625.5827.4229.0633.7244.9442.68 Loss Standard Deviation5.176.939.178.8210.7510.679.0810.738.71 Sharpe Ratio (1%)0.130.220.300.450.580.720.971.131.55 Average Gain / Average Loss1.321.562.062.532.563.474.174.054.63 Profit / Loss Ratio1.461.902.513.885.288.2215.5424.0550.66 Downside Deviation (10%)5.778.7011.0112.4914.6414.1514.7316.4214.41 Downside Deviation (5%)5.608.159.9310.2811.5310.169.139.907.84 Downside Deviation (0%)5.558.019.679.7510.819.287.918.516.45 Sortino Ratio (10%)0.160.310.460.770.971.291.992.694.03 Sortino Ratio (5%)0.230.450.711.321.762.614.616.2310.29 Sortino Ratio (0%)0.240.490.781.492.023.085.707.7213.30 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 8 4.13 5/2015 IASG CTA Index Annual 8 67.38 2014 IASG CTA Index Month 9 17.69 9/2014 Systematic Trader Index Month 9 17.69 9/2014 Diversified Trader Index Month 9 17.69 9/2014 Trend Following Strategy Index Month 7 17.69 9/2014 Trend Following Strategy Index Month 4 4.65 3/2014 Diversified Trader Index Month 10 4.65 3/2014 IASG CTA Index Annual 4 43.11 2013 IASG CTA Index Month 3 11.58 11/2013 Trend Following Strategy Index Month 2 11.58 11/2013 Systematic Trader Index Month 2 11.58 11/2013 Diversified Trader Index Month 2 11.58 11/2013 Trend Following Strategy Index Month 7 7.29 10/2013 Systematic Trader Index Month 10 7.29 10/2013 Systematic Trader Index Month 3 9.29 3/2013 IASG CTA Index Month 2 9.29 3/2013 Trend Following Strategy Index Month 3 9.29 3/2013 Diversified Trader Index Month 3 9.29 3/2013 Trend Following Strategy Index Month 7 7.39 2/2013 Diversified Trader Index Month 7 7.39 2/2013 Systematic Trader Index Month 5 7.39 2/2013 IASG CTA Index Month 9 7.39 2/2013 Systematic Trader Index Month 8 10.46 1/2013 Trend Following Strategy Index Month 7 10.46 1/2013 Diversified Trader Index Month 6 10.46 1/2013 IASG CTA Index Month 7 10.46 1/2013 Trend Following Strategy Index Month 7 11.38 7/2012 Trend Following Strategy Index Month 5 5.21 3/2012 Systematic Trader Index Month 10 5.21 3/2012 Diversified Trader Index Month 9 5.21 3/2012 Trend Following Strategy Index Month 4 12.05 11/2011 IASG CTA Index Month 8 12.05 11/2011 Diversified Trader Index Month 5 12.05 11/2011 Systematic Trader Index Month 6 12.05 11/2011 Trend Following Strategy Index Month 7 9.78 2/2011 Systematic Trader Index Month 8 9.78 2/2011 Diversified Trader Index Month 8 9.78 2/2011 IASG CTA Index 3 Year 8 165.16 2007 - 2010 IASG CTA Index Month 4 25.30 12/2010 Trend Following Strategy Index Month 1 25.30 12/2010 Systematic Trader Index Month 1 25.30 12/2010 Diversified Trader Index Month 2 25.30 12/2010 Diversified Trader Index Month 2 22.29 10/2010 Systematic Trader Index Month 2 22.29 10/2010 Trend Following Strategy Index Month 2 22.29 10/2010 IASG CTA Index Month 6 22.29 10/2010 Diversified Trader Index Month 5 16.46 9/2010 IASG CTA Index Month 8 16.46 9/2010 Trend Following Strategy Index Month 3 16.46 9/2010 Systematic Trader Index Month 3 16.46 9/2010 Trend Following Strategy Index Month 9 14.59 8/2010 Diversified Trader Index Month 9 14.59 8/2010 Diversified Trader Index Month 4 10.85 8/2009 Trend Following Strategy Index Month 4 10.85 8/2009 Systematic Trader Index Month 3 10.85 8/2009 IASG CTA Index Month 7 10.85 8/2009 IASG CTA Index Annual 6 108.87 2008 Diversified Trader Index Month 2 45.49 10/2008 Trend Following Strategy Index Month 2 45.49 10/2008 Systematic Trader Index Month 2 45.49 10/2008 IASG CTA Index Month 2 45.49 10/2008 Trend Following Strategy Index Month 5 11.58 9/2008 Diversified Trader Index Month 7 11.58 9/2008 Systematic Trader Index Month 7 11.58 9/2008 IASG CTA Index Month 9 11.58 9/2008 Systematic Trader Index Month 6 28.86 2/2008 Diversified Trader Index Month 7 28.86 2/2008 IASG CTA Index Month 7 28.86 2/2008 Trend Following Strategy Index Month 6 28.86 2/2008 Systematic Trader Index Month 6 21.65 1/2008 IASG CTA Index Month 6 21.65 1/2008 Trend Following Strategy Index Month 5 21.65 1/2008 Diversified Trader Index Month 6 21.65 1/2008 Systematic Trader Index Month 7 8.47 12/2007 Trend Following Strategy Index Month 6 8.47 12/2007 Diversified Trader Index Month 10 8.47 12/2007 Systematic Trader Index Month 9 13.72 10/2007 IASG CTA Index Month 9 13.72 10/2007 Trend Following Strategy Index Month 9 13.72 10/2007 Diversified Trader Index Month 8 13.72 10/2007 Systematic Trader Index Month 3 13.05 3/2006 Diversified Trader Index Month 4 13.05 3/2006 Trend Following Strategy Index Month 3 13.05 3/2006 IASG CTA Index Month 4 13.05 3/2006 Trend Following Strategy Index Month 8 11.09 1/2006 Systematic Trader Index Month 9 11.09 1/2006 Diversified Trader Index Month 9 11.09 1/2006 IASG CTA Index Month 9 8.35 12/2005 Diversified Trader Index Month 8 8.35 12/2005 Trend Following Strategy Index Month 5 8.35 12/2005 Systematic Trader Index Month 6 8.35 12/2005 IASG CTA Index Annual 8 32.34 2005 IASG CTA Index Month 5 15.27 11/2005 Trend Following Strategy Index Month 5 15.27 11/2005 Diversified Trader Index Month 5 15.27 11/2005 Systematic Trader Index Month 5 15.27 11/2005 Diversified Trader Index Month 4 13.57 9/2005 IASG CTA Index Month 4 13.57 9/2005 Systematic Trader Index Month 3 13.57 9/2005 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel