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/ Mulvaney Capital Management / The Mulvaney Global Markets Fund

Mulvaney Capital Management : The Mulvaney Global Markets Fund

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Year-to-Date
1.77%
Oct Performance
2.38%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
33.10%
Sharpe (RFR=1%)
0.41
CAROR
9.82%
Assets
$ 123.0M
Worst DD
-45.20
S&P Correlation
-0.14
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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
5/1999
The Mulvaney Global Markets Fund 2.38 -9.77 -1.77 -0.90 -20.17 -27.78 37.93 649.64
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 173.50 175.32
+/- S&P 500 5.15 -9.74 -2.98 -8.55 -47.14 -83.44 -135.57 474.32

Strategy Description

Summary

Mulvaney 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%
Strategy Pie Chart

Composition

Summary

Mulvaney 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.

   

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

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
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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
43.52 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
3.43 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
2.38 1 10/1/2020 10/1/2020
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
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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
-14.14 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
-6.07 1 6/1/2015 6/1/2015
-6.01 3 4/1/2020 6/1/2020
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods258.00256.00253.00247.00241.00235.00223.00211.00199.00
Percent Profitable50.3953.5254.1560.3267.6370.6479.8286.7393.47
Average Period Return1.223.707.5514.4022.2128.9746.1367.0987.81
Average Gain8.3415.1423.2932.3740.4146.5061.4680.4895.48
Average Loss-6.35-9.88-11.23-12.93-15.83-13.20-14.51-20.42-21.85
Best Period45.4973.6597.53115.15148.58139.53165.16224.72203.18
Worst Period-25.79-35.89-43.33-35.32-45.20-39.32-36.34-43.92-38.63
Standard Deviation9.5516.9324.0930.3635.1537.0743.0154.0650.51
Gain Standard Deviation7.2214.4921.4125.7327.3029.1433.5744.7042.68
Loss Standard Deviation5.176.969.208.7810.7810.669.3110.418.91
Sharpe Ratio (1%)0.120.200.290.440.590.731.001.171.64
Average Gain / Average Loss1.311.532.072.502.553.524.243.944.37
Profit / Loss Ratio1.411.842.493.815.348.4816.7625.7562.51
Downside Deviation (10%)5.828.7411.0712.5814.6914.0114.3515.9313.10
Downside Deviation (5%)5.648.199.9910.3511.5910.048.909.677.23
Downside Deviation (0%)5.608.069.739.8310.879.177.728.326.00
Sortino Ratio (10%)0.140.280.460.751.001.342.122.864.60
Sortino Ratio (5%)0.200.420.711.291.792.694.846.5211.44
Sortino Ratio (0%)0.220.460.781.472.043.165.988.0614.64

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
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
IASG CTA Index Month 3 11.58 11/2013
Trend Following Strategy Index Month 7 7.29 10/2013
Systematic Trader Index Month 10 7.29 10/2013
Trend Following Strategy Index Month 3 9.29 3/2013
IASG CTA Index Month 2 9.29 3/2013
Systematic Trader 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
IASG CTA Index Month 7 10.46 1/2013
Diversified Trader Index Month 6 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
Diversified Trader Index Month 5 12.05 11/2011
Systematic Trader Index Month 6 12.05 11/2011
IASG CTA Index Month 8 12.05 11/2011
Trend Following Strategy Index Month 4 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
Systematic Trader Index Month 3 10.85 8/2009
Trend Following Strategy Index Month 4 10.85 8/2009
Diversified Trader Index Month 4 10.85 8/2009
IASG CTA Index Month 7 10.85 8/2009
IASG CTA Index Annual 6 108.87 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
Diversified Trader 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
Diversified Trader Index Month 7 28.86 2/2008
IASG CTA Index Month 7 28.86 2/2008
Systematic Trader Index Month 6 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
Trend Following Strategy Index Month 3 13.05 3/2006
Diversified Trader Index Month 4 13.05 3/2006
Systematic Trader 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
Diversified Trader Index Month 8 8.35 12/2005
IASG CTA Index Month 9 8.35 12/2005
Systematic Trader Index Month 6 8.35 12/2005
Trend Following Strategy Index Month 5 8.35 12/2005
IASG CTA Index Annual 8 32.34 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
IASG CTA Index Month 5 15.27 11/2005
IASG CTA Index Month 4 13.57 9/2005
Systematic Trader Index Month 3 13.57 9/2005
Trend Following Strategy 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.

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