CTA Profiles

County Cork LLC - County Cork Diversified Commodity Long Short (P)

Principal(s): Robert J. O'Brien Jr. and Thomas Senft
Strategy: Futures Strategies / Long Short
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Investment Restrictions: 4.7 Exempt - QEPs Only++

Statistics & Program Information

Nov Return -3.72%	Worst Drawdown ⁽²⁾ -13.94%	Minimum Investment $2,000,000
YTD Return -5.10%	Losing Streak ⁽³⁾ -11.49 %	AUM⁽⁵⁾ $4,000,000
Annualized CROR ⁽¹⁾ 2.13	Sharpe Ratio ⁽⁴⁾ 0.17	Calmar Ratio ⁽⁶⁾ -0.20

Trading Methodology 100% Systematic	Style Sub-Categories Long Short	Trading Style
Market Sector 15% Metals 30% Energies 30% Agriculturals 25% Meats	Holding Period 5% Long Term 15% Medium Term 80% Short Term	Sector US Contracts

Start Date Oct-2018	Currency US Dollar	Margin ⁽⁷⁾ 2-9% / Avg 4.24%
New Money Yes	AUM ⁽⁵⁾ $4,000,000	Management Fee 1.00%
Min Investment $2,000,000	Annualized CROR ⁽¹⁾ 2.13	Incentive Fee 20.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -11.49 %	Other Fees 0
Notional Funds Yes	Worst Drawdown ⁽²⁾ -13.94 %	Avg Comm ⁽⁸⁾ $5.00 RT
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.17	Max Comm ⁽⁹⁾
NFA Number 0318270	Calmar Ratio ⁽⁶⁾ -0.20	Round Turns ⁽¹⁰⁾ 664

Starting Date: Oct-2018	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $4,000,000
Open to US Investors: Yes	Annualized CROR: 2.13%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -13.94
Minimum Managed Account: $2,000,000	Current Losing Streak: -11.49 %
Domocile:	Calmar: -0.20
Subscriptions: N/A	Sharpe Ratio: 0.17
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 1.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Other Fees: 0	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: Michael Liccar

Correlations: AG CTA Index: 0.099 AG Systematic CTA Index: 0.060

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each. 1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity. The Annualized Compounded Rate of Return ("Annualized CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return. 2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value. 3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown. 4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown. 5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return. 6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return. 7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return. 8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%. 9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data. 10. The Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Annualized Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A. 11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. 12. Minimum Investment represents the minimum account size. 13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager. 14. The Number of Winning Months represents the months with positive return. 15. The Number of Losing Months represents the months with negative return. 16. The Percentage of Winning Months represents the % of winning months. 17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account. 18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account. 19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly. 20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description:

The general philosophy of the Diversified Commodity L/S Program is the pricing of grain, livestock, precious metals and energy futures are typically tied to what happens in the cash market. And that the price action in the derivative futures markets can sometimes be distorted by speculative trading. The program operates under the theory that the price action of the cash market more accurately reflects the reality of supply and demand factors that ultimately determine derivative pricing. With this in mind, the Diversified Commodity L/S Program monitors and analyzes cash price vs futures price movements in order to generate trading signals.

The Diversified Commodity LS Program is a culmination of over 10 years of work and extensive research. It began with Robert J. O'Brien Jr.'s theory, derived from years of experience working in Agricultural research and sales, that significant change in the basis between the cash and the futures price of a specific commodity should be indicative of future price movement. This theory has been tested and evaluated by in house researchers as well as paid consultants. Our conclusions are that the theory bears out, and basis change can be predictive of price movement of the futures product.

Risk Strategy:

County Cork focuses on risk and money management. We concluded that regardless of how it is done, all trading strategies must have a stop loss point. Forcing an entry signal to always act as an exit signal, as in the original program, can cause significant distortion when evaluating parameters. Forcing any trade to exit if it loses a set amount from entry is the key element of risk management in the new models. County Cork's trade management rules have also been applied. A breakeven "plus" stop. A time in trade stop.

Volatility management dovetails with risk management but has distinctive differences as well. Diversification works best when the allocation to an instrument is adjusted for volatility. Without this, the two or three most volatile instruments will swing the portfolio and minimize the contributions of the other instruments. We also theorized that having a methodology that can dynamically allocate risk based on performance of any given market/model pair is essential not only to minimizing drawdowns but also as a guard against overfitting the portfolio allocation. In allocating to all the model/market combinations, long term correlations of the components are evaluated to detect obvious over allocations of risk and adjusted accordingly.

Background:

Robert J. O'Brien Jr. - Chief Executive Officer Mr. O'Brien heads the executive management committee at County Cork. Prior to founding County Cork, Mr. O'Brien served as Vice Chairman and as President of R.J. O'Brien & Associates in Chicago, the largest independent Futures Clearing Merchant in the United States. Mr. O'Brien is currently a member of the Board of Directors of R.J. O'Brien. Mr. O'Brien holds a B.A. in Economics from the University of Notre Dame, and a J.D. from Loyola University Chicago.

Thomas W. Senft - President / Chief Operating Officer Mr. Senft is a member of the executive management committee and is responsible for the CTAâ€™s operations and risk management. Mr. Senft brings nearly 35 years of futures industry experience, having served in top executive management positions with various brokerages and FCMs. Mr. Senft holds a B.S. in Finance from Indiana University.

Accounting Notes:

PERFORMANCE IS FOR A PROPRIETARY ACCOUNT MAINTAINED BY A PRINCIPAL OF COUNTY CORK TRADED PURSUANT TO THE DIVERSIFIED COMMODITY LONG SHORT PROGRAM. THE PERFORMANCE HAS BEEN PRO FORMA ADJUSTED FOR A 1% (ANNUALIZED) MONTHLY MANAGEMENT FEE AND A 20% QUARTERLY INCENTIVE FEE THAT WOULD HAVE BEEN CHARGED TO A CUSTOMER ACCOUNT PARTICIPATING IN THE ACCLIVITY PROGRAM. THE PERFORMANCE IS NET OF ACTUAL BROKERAGE COMMISSIONS AND TRANSACTION FEES CHARGED TO THE ACCOUNT, WITH PROFITS NOT REINVESTED. COUNTY CORK HAS CHOSEN TO USE PERFORMANCE OF A PROPRIETARY ACCOUNT IN THIS PRESENTATION AS IT HAS CONTINUOUSLY OPERATED SINCE INCEPTION.

Performance

Monthly Performance Since October 2018 (A Portion of this Performance is based on Proprietary Trading)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-0.49%	-0.47%	-2.39%	-1.12%	2.72%	-0.84%	-2.90%	-2.39%	3.57%	3.13%	-3.72%		-5.1%	-7.72%
2023	0.33%	2.77%	2.48%	1.45%	-0.80%	-2.33%	3.72%	0.44%	-2.54%	1.80%	-0.02%	-3.88%	3.16%	-4.65%
2022	-1.51%	3.69%	0.39%	2.26%	-0.28%	-0.99%	-2.25%	-2.12%	-0.38%	-1.53%	-3.01%	0.58%	-5.23%	-10.12%
2021	-2.51%	3.85%	0.60%	2.09%	-2.46%	-0.13%	-2.15%	-0.12%	3.42%	-1.87%	3.06%	-0.99%	2.51%	-4.8%
2020	8.31%	0.67%	5.53%	-1.36%	0.02%	-4.03%	5.87%	-0.32%	1.56%	0.82%	0.86%	3.32%	22.66%	-5.32%
2019	0.36%	-2.09%	-0.63%	-2.59%	1.52%	0.60%	-2.37%	-1.25%	-0.87%	-2.17%	-1.29%	1.04%	-9.41%	-10.67%
2018										3.47%	3.60%	0.50%	7.73%	0%

Annual Performance

Years	2018	2019	2020	2021	2022	2023
ROR	7.73%	-9.41%	22.66%	2.51%	-5.23%	3.16%
Max DD	0.00%	-10.67%	-5.32%	-4.80%	-10.12%	-4.65%

Years	2024 YTD
ROR	-5.10%
Max DD	-7.72%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.