John Locke Investments

Cyril Dynamic Program

Year-to-Date
N/A
Minimum Investment
$ 2,000,000
Management Fee 0.50%
Performance Fee 20.00%
Annualized Volatility 2.78%
Sharpe (RFR=1%) 0.08
CAROR 1.25%
Assets $0
Worst Drawdown -13.94
S&P Correlation -0.21

Summary

The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures contracts. Risk is equalised across all contracts through the use of real time volatility measurement and VAR capping techniques. The average holding period of the Fund is approximately three days. The Fund provides for daily liquidity.