CTA Profiles Sweet Futures

Start Date: Oct-2018
Mar Return: -2.39%
YTD Return: -3.32%
Annual CROR: 2.73

Worst Drawdown: -10.67%
Losing Streak: -9.84 %
Sharpe Ratio: 0.24
Calmar Ratio: N/A

Min Investment: $2,000,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0318270

Margin: 2-9% / Avg 4.24%
Mgt Fee: 1.00%
Incentive Fee: 20.00%
Round Turns: 664

Trading Strategy: The County Cork Diversified Commodity Long/Short Strategy uses the relationship between cash and futures prices to establish directional positions in the futures markets. It is fully systematic and focuses on the timing as well as the magnitude of basis changes allowing for continuous risk management of open positions. The Program trades futures contracts in three market sectors: agriculture, metals, and energy. It combines commercial logic with quantitative algorithms using fundamental price data. It leverages the decades of experience of Robert J. O'Brien Jr. in the agriculture space. Our model was developed for an under exploited niche market sector. 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.

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.

Trading Methodology
100% Systematic
Trading Style

Style Sub-Categories
Long Short

Holding Period
5% Long Term
15% Medium Term
80% Short Term
Sector: US
Contracts:

Market Allocation
15% Metals
30% Energies
30% Agriculturals
25% Meats

Recent Performance - Start Date of Program October 2018 - 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%										-3.32%	-3.32%
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%

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

Chart

Track Record Prepared By: Michael Liccar

Footnotes:

(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.

Current Drawdown - The Current Losing Streak of the CTA, if any.

Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.

Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.

Calmar Ratio - The Calmar Ratio - 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 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.

Sharpe Ratio - 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.

Round Turns - Represents the annual number of Round Turns per $1 million.