Whitmore Capital Management LLC : Whitmore Capital LP

Year-to-Date
13.68%
May Performance
6.06%
Min Investment
$ 250k
Mgmt. Fee
0.99%
Perf. Fee
10.00%
Annualized Vol
27.98%
Sharpe (RFR=1%)
0.19
CAROR
2.19%
Assets
$ 6.7M
Worst DD
-49.49
S&P Correlation
-0.08

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
6/2012
Whitmore Capital LP 6.06 22.07 13.68 13.12 21.11 -21.04 - 16.34
S&P 500 -6.58 -1.17 9.77 1.72 29.91 41.62 - 99.98
+/- S&P 500 12.64 23.24 3.90 11.39 -8.80 -62.66 - -83.64

Strategy Description

Summary

The Partnership’s investment objective is to achieve long-term returns superior to the Dow Jones Credit Suisse Hedge Fund Index. The Partnership seeks to achieve this objective through the application of a proprietary foreign exchange investing program developed by the General Partner.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0.99%
Performance Fee
10.00%
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
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
18.57%
Sector Focus
Currency Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Currency Futures
50.00%
Currency FX
50.00%
Composition Pie Chart

Summary

The Partnership’s investment objective is to achieve long-term returns superior to the Dow Jones Credit Suisse Hedge Fund Index. The Partnership seeks to achieve this objective through the application of a proprietary foreign exchange investing program developed by the General Partner. The Partnership exclusively invests in currency markets, employing a proprietary calculus that identifies intrinsic value ranges for currencies, seeking to identify when large valuation discrepancies arise, and investing the Partnership’s assets accordingly.

Investment Strategy

The Partnership offers investors access to a proprietary foreign exchange investing program developed by the General Partner. This program focuses on cash currencies but may also include currency options and forwards.

All investment research is predicated on a top-down analysis of the global economy. Having established which sectors and countries have the greatest prospects for asset price appreciation (in the case of long opportunities) or depreciation (in the case of short opportunities), quantitative and qualitative analyses are used to identify specific investments.

At the very core of the investing program is a mathematical model developed by the General Partner. This proprietary calculus for determining the “fair value” of cross-currency rates has consistently identified long-term opportunities to profit from temporary currency market mispricing. The outcome of these quantitative analyses are supplemented by qualitative analyses of the circumstances surrounding each currency class to determine the configuration of the portfolio itself. Finally, sentiment indicators are reviewed as an additional analytical overlay. Currency pairs traded for the Partnership’s account include, but are not limited to, the following: EUR/USD, USD/JPY, GBP/USD, USD/CHF, EUR/CHF, AUD/USD, USD/CAD, NZD/USD, EUR/GBP, EUR/JPY, GBP/JPY, CHF/JPY, GBP/CHF, EUR/AUD, EUR/CAD, AUD/CAD, AUD/JPY, CAD/JPY, NZD/JPY, GBP/CAD, GBP/NZD, GBP/AUD, AUD/NZD, USD/SEK, USD/DKK, EUR/SEK, EUR/NOK, USD/NOK, USD/MXN, AUD/CHF, EUR/NZD, EUR/PLN, USD/PLN, EUR/CZK, USD/ZAR, USD/SGD, USD/HKD, EUR/DKK, GBP/SEK, NOK/JPY, SEK/JPY, SGD/JPY, HKD/JPY, ZAR/JPY, USD/TRY, EUR/TRY, NZD/CHF, CAD/CHF, NZD/CAD, CHF/SEK, CHF/NOK, USD/RUB, EUR/HUF, USD/HUF, TRY/JPY, USD/ILS.

   

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:
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Gain Deviation:
Risk
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-49.49 28 - 9/1/2014 1/1/2017
-18.57 10 3 8/1/2013 6/1/2014
-7.74 2 4 1/1/2013 3/1/2013
-2.21 1 1 6/1/2012 7/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
56.35 6 8/1/2012 1/1/2013
55.89 5 1/1/2015 5/1/2015
28.89 4 2/1/2017 5/1/2017
25.49 4 2/1/2019 5/1/2019
23.64 3 7/1/2014 9/1/2014
16.45 2 10/1/2017 11/1/2017
15.42 3 10/1/2018 12/1/2018
14.92 2 9/1/2016 10/1/2016
12.76 5 4/1/2013 8/1/2013
12.34 2 5/1/2018 6/1/2018
8.26 1 2/1/2018 2/1/2018
7.91 1 8/1/2017 8/1/2017
7.32 1 12/1/2013 12/1/2013
6.78 1 12/1/2016 12/1/2016
6.25 1 10/1/2013 10/1/2013
5.70 2 1/1/2016 2/1/2016
5.32 1 5/1/2014 5/1/2014
3.91 1 6/1/2012 6/1/2012
3.78 2 4/1/2016 5/1/2016
2.16 1 7/1/2016 7/1/2016
0.60 1 3/1/2014 3/1/2014
0.23 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-43.00 3 10/1/2014 12/1/2014
-23.16 3 6/1/2015 8/1/2015
-17.35 2 6/1/2017 7/1/2017
-17.17 3 7/1/2018 9/1/2018
-17.00 3 10/1/2015 12/1/2015
-16.07 1 11/1/2016 11/1/2016
-10.57 2 12/1/2017 1/1/2018
-9.50 1 1/1/2017 1/1/2017
-9.41 1 1/1/2019 1/1/2019
-8.67 1 6/1/2014 6/1/2014
-8.64 1 9/1/2013 9/1/2013
-7.96 2 3/1/2018 4/1/2018
-7.74 2 2/1/2013 3/1/2013
-7.68 2 1/1/2014 2/1/2014
-7.35 1 3/1/2016 3/1/2016
-6.85 1 11/1/2013 11/1/2013
-6.07 1 4/1/2014 4/1/2014
-5.00 1 6/1/2016 6/1/2016
-4.93 1 9/1/2017 9/1/2017
-3.30 1 8/1/2016 8/1/2016
-2.21 1 7/1/2012 7/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods84.0082.0079.0073.0067.0061.0049.0037.0025.00
Percent Profitable59.5243.9050.6335.6238.8140.9820.412.704.00
Average Period Return0.521.431.13-1.41-5.04-9.21-18.66-27.21-26.95
Average Gain5.8814.3313.3619.6117.0914.9618.527.928.32
Average Loss-7.35-8.66-11.42-13.03-19.08-25.99-28.19-28.19-28.42
Best Period15.3339.4656.3560.1254.3447.3547.857.928.32
Worst Period-34.02-43.00-31.22-40.87-44.37-42.26-46.08-47.10-43.25
Standard Deviation8.0814.8917.0621.1122.8123.9723.1013.1113.58
Gain Standard Deviation4.0810.0813.6317.5915.7514.8513.45
Loss Standard Deviation5.669.129.3711.9113.5211.2713.2011.8511.66
Sharpe Ratio (1%)0.050.080.04-0.11-0.29-0.47-0.94-2.39-2.36
Average Gain / Average Loss0.801.651.171.500.900.580.660.280.29
Profit / Loss Ratio1.181.291.200.830.570.400.170.010.01
Downside Deviation (10%)6.0810.0211.7317.3023.3729.2640.9950.4556.18
Downside Deviation (5%)5.919.5010.6014.7019.1923.1430.1833.8334.70
Downside Deviation (0%)5.879.3710.3314.1018.2221.7127.7030.1030.01
Sortino Ratio (10%)0.020.02-0.11-0.37-0.54-0.67-0.84-0.97-0.97
Sortino Ratio (5%)0.070.120.06-0.16-0.34-0.48-0.72-0.92-0.92
Sortino Ratio (0%)0.090.150.11-0.10-0.28-0.42-0.67-0.90-0.90

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 3 6.06 5/2019
IASG CTA Index Month 10 6.06 5/2019
Discretionary Trader Index Month 7 2.35 4/2019
IASG CTA Index Month 7 12.45 3/2019
Discretionary Trader Index Month 2 12.45 3/2019
Discretionary Trader Index Month 4 2.80 2/2019
Discretionary Trader Index Month 4 2.80 2/2019
Discretionary Trader Index Month 4 2.80 2/2019
Discretionary Trader Index Month 4 2.80 2/2019
Discretionary Trader Index Month 2 7.89 11/2018
IASG CTA Index Month 3 7.89 11/2018
Discretionary Trader Index Month 3 6.50 10/2018
IASG CTA Index Month 7 6.50 10/2018
Discretionary Trader Index Month 4 4.09 6/2018
IASG CTA Index Month 2 7.93 5/2018
Discretionary Trader Index Month 1 7.93 5/2018
Discretionary Trader Index Month 1 8.26 2/2018
IASG CTA Index Month 3 8.26 2/2018
IASG CTA Index Month 3 15.33 10/2017
Discretionary Trader Index Month 1 15.33 10/2017
Discretionary Trader Index Month 4 7.91 8/2017
IASG CTA Index Month 7 7.91 8/2017
Discretionary Trader Index Month 10 2.91 5/2017
Discretionary Trader Index Month 5 3.49 4/2017
IASG CTA Index Month 10 3.49 4/2017
Discretionary Trader Index Month 1 14.28 3/2017
IASG CTA Index Month 1 14.28 3/2017
Discretionary Trader Index Month 1 5.90 2/2017
IASG CTA Index Month 5 5.90 2/2017
IASG CTA Index Month 2 6.78 12/2016
Discretionary Trader Index Month 2 6.78 12/2016
IASG CTA Index Month 2 7.85 10/2016
Discretionary Trader Index Month 3 7.85 10/2016
Discretionary Trader Index Month 4 6.56 9/2016
IASG CTA Index Month 6 6.56 9/2016
Discretionary Trader Index Month 7 2.94 5/2016
Discretionary Trader Index Month 4 4.97 2/2016
Discretionary Trader Index Month 3 6.36 5/2015
IASG CTA Index Month 5 6.36 5/2015
IASG CTA Index Month 1 11.42 4/2015
Discretionary Trader Index Month 1 11.42 4/2015
Discretionary Trader Index Month 1 13.27 3/2015
IASG CTA Index Month 1 13.27 3/2015
Discretionary Trader Index Month 1 10.50 2/2015
IASG CTA Index Month 5 10.50 2/2015

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