Mulvaney Capital Management : The Mulvaney Global Markets Fund

Year-to-Date: 21.28%
Dec Performance: 0.88%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 32.84%
Sharpe (RFR=1%): 0.43
CAROR: 10.33%

Assets: $ 124.0M
Worst DD: -45.04
S&P Correlation: -0.12

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Growth of 1,000 - VAMI

Monthly Performance

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	2019	1yr	3yr	5yr	10yr	Since 5/1999
The Mulvaney Global Markets Fund	0.88	-16.01	-21.28	-21.28	-23.52	-25.48	51.16	663.13
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	145.61
+/- S&P 500	-1.98	-24.54	-50.15	-50.15	-66.36	-80.80	-135.57	517.53

Strategy Description

Summary

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

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.

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Index: Chart Type:

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:

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
-45.04	19	22	4/1/2011	11/1/2012
-41.28	16	6	4/1/2006	8/1/2007
-38.01	15	-	8/1/2018	11/1/2019
-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

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
31.08	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
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

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
-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
-12.03	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
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	248.00	246.00	243.00	237.00	231.00	225.00	213.00	201.00	189.00
Percent Profitable	51.21	54.07	54.32	61.60	69.70	73.78	83.57	91.04	98.41
Average Period Return	1.26	3.82	7.98	15.28	23.79	31.15	49.10	71.69	93.71
Average Gain	8.24	15.14	23.65	32.92	40.80	46.50	61.46	80.48	95.48
Average Loss	-6.44	-9.94	-10.84	-13.02	-15.31	-12.06	-13.76	-17.59	-16.22
Best Period	45.49	73.65	97.53	115.15	148.58	139.53	165.16	224.72	203.18
Worst Period	-25.79	-35.89	-37.80	-35.32	-44.50	-37.22	-36.34	-30.34	-25.48
Standard Deviation	9.48	17.05	24.15	30.60	34.88	36.28	41.67	51.11	44.61
Gain Standard Deviation	6.99	14.62	21.70	25.71	27.25	29.14	33.57	44.70	42.68
Loss Standard Deviation	5.23	7.10	8.79	8.75	10.38	9.71	9.59	8.91	11.22
Sharpe Ratio (1%)	0.12	0.21	0.31	0.47	0.64	0.80	1.11	1.32	1.99
Average Gain / Average Loss	1.28	1.52	2.18	2.53	2.66	3.86	4.47	4.58	5.88
Profit / Loss Ratio	1.42	1.88	2.64	4.06	6.13	10.85	22.71	46.52	364.87
Downside Deviation (10%)	5.83	8.76	10.68	12.42	13.87	12.52	12.72	12.26	6.24
Downside Deviation (5%)	5.66	8.22	9.59	10.22	10.86	8.73	7.81	6.98	2.92
Downside Deviation (0%)	5.62	8.08	9.33	9.70	10.16	7.90	6.77	5.87	2.35
Sortino Ratio (10%)	0.15	0.30	0.52	0.83	1.17	1.67	2.62	4.09	10.58
Sortino Ratio (5%)	0.21	0.43	0.78	1.40	2.05	3.34	5.90	9.69	30.30
Sortino Ratio (0%)	0.22	0.47	0.86	1.57	2.34	3.94	7.26	12.22	39.92

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	8	4.13	5/2015
IASG CTA Index	Year Rolling	8	67.38	2013 - 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	Year Rolling	4	43.11	2012 - 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 Rolling	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	Year Rolling	6	108.87	2007 - 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	Year Rolling	8	32.34	2004 - 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.

^#8

Top Performer

TREND FOLLOWING STRATEGY INDEX

MAY
2015

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Mulvaney Capital Management : The Mulvaney Global Markets Fund

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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