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Florin Court Capital LLP - Capital Programme
Florin Court Capital LLP
Capital Programme
Overview
Charts
Stats & Ratios
Show All
Investment Strategy
Florin Court Capital is a diversified systematic asset manager. The investment methodology is evidence-based and process driven. The portfolio is constructed using proprietary mathematical models implemented on computer systems. A particular focus is extracting the benefits of diversification through market selection from over 300financial securities across all major asset classes including currencies, stocks, fixed income, credit, commodities, power and volatility.The model signals are also diverse, encompassing technical signals with a range of holding periods, yield and value signals, cross market signals and many others.Trade execution is automated whenever appropriate and trans-action costs are carefully measured. Rigorous real-time risk con-trols are built into the systematic process and portfolio risks are also independently assessed using third-party analytics.The Florin Court Capital fund is designed to have no long-term correlations with major asset classes and most hedge fund styles. The expected long-term correlation with the SG CTA Index is expected to be around 50 %.Florin Court Capital is committed to research and a disciplined programme for model improvement and development to exploit opportunities and to adapt to changing markets.
Performance (VAMI)
Monthly Returns
Fund Manager
Â
No data filled
Fund Information
Inception Date
Apr 2017
Minimum Investment
10,000,000 USD
Management Fee
1.00%
Performance Fee
20.00%
Highwater Mark
Yes
Phone
+44 (0)20 7016 3468
E-mail
[email protected]
Website
http://florincourt.com/
Statistics
Total Return Cumulative
77.66%
Sharpe Ratio
0.82
Sortino Ratio
1.32
Winning Months (%)
58.43%
Correlation vs. S&P 500 TR
-0.13
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
-1.82
0.68
0.68
0.25
-1.62
-5.19
-1.81
-1.63
-10.12
2023
-0.13
0.00
-5.86
2.27
4.15
-0.63
0.40
-1.77
3.27
-3.00
-3.67
4.68
-0.87
2022
0.64
3.59
4.87
2.72
-0.74
2.52
1.07
4.38
2.17
-0.83
-5.29
1.19
17.07
2021
-1.20
-2.83
4.63
2.65
4.00
1.78
1.32
3.20
8.33
5.31
-0.62
-0.48
28.77
2020
2.48
-2.26
1.83
-0.70
-0.26
-2.31
3.27
-2.07
-1.19
1.36
-3.06
5.91
2.63
2019
-0.73
0.17
4.44
-0.51
1.97
5.67
0.77
2.27
-3.31
-1.04
0.99
4.23
15.56
2018
-0.27
-6.55
0.76
1.87
-0.80
-0.41
0.45
6.30
1.31
-3.93
-4.71
3.85
-2.80
2017
0.27
0.19
-0.61
3.50
3.68
1.66
3.35
0.13
1.79
14.74
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled
Monthly Returns
Performance (VAMI)
Distribution of Monthly Returns
12 Month Rolling ROR
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
AUM
Volatility (12 Months Rolling)
Risk/Return Comparison
Drawdown
Instruments
Data not available
No data filled
Return Statistics
Last Month
-
Year To Date
-10.12%
3 Month ROR
-8.42%
12 Months ROR
-9.21%
36 Month ROR
17.70%
Total Return Cumulative
77.66%
Total Return Annualized
8.06%
Best Month
8.33%
Winning Months (%)
58.43%
Gain Deviation
1.88
Risk Statistics
Standard Deviation Annualized
10.04%
Max Drawdown (Monthly)
-15.31%
Max Drawdown # of Months
23
Worst Month
-6.55%
Losing Months (%)
40.45%
Average Losing Month
-2.05%
Loss Deviation
1.73
Correlation vs S&P 500
-0.13
Correlation vs DJ/CS MF
0.63
Risk/Reward Statistics
Sharpe Ratio
0.82
Sortino Ratio
1.32
Omega Ratio
0.88
Skewness
-0.09
Kurtosis
0.06
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-15.31%
-
23
-
0
-
10/2022
-
-
-
2
-8.45%
-
2
-
6
-
10/2018
-
05/2019
-
3
-6.80%
-
2
-
6
-
01/2018
-
08/2018
-
4
-5.45%
-
10
-
1
-
02/2020
-
12/2020
-
5
-4.32%
-
2
-
2
-
09/2019
-
12/2019
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
8.33%
-6.55%
0.69%
0.64%
-1.63%
58.43%
3 Months
17.73%
-8.42%
2.19%
1.82%
-8.42%
62.07%
6 Months
26.27%
-10.64%
4.78%
3.32%
-9.07%
64.29%
1 Year
40.25%
-9.34%
10.17%
7.72%
-9.21%
79.49%
2 Years
65.06%
-13.47%
24.93%
19.17%
-13.47%
95.45%
3 Years
69.92%
10.79%
42.35%
48.28%
17.70%
100.00%
5 Years
94.92%
38.84%
76.13%
75.56%
38.84%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
8.06%
27.61%
69.31%
195.78%
1187.43%
6268.86%
% Positive
58.43%
62.07%
64.29%
79.49%
95.45%
100.00%
Avg. Pos. Period
2.60%
5.47%
9.19%
13.86%
26.55%
42.35%
Avg. Neg. Period
-2.05%
-3.18%
-3.17%
-4.11%
-9.05%
-
Sharpe Ratio
0.82
1.43
2.09
2.73
4.93
8.91
Sortino Ratio
1.32
2.91
6.15
14.94
40.00
0.00
Standard Deviation
2.90%
5.32%
7.91%
12.89%
17.50%
16.46%
Downside Deviation
1.71%
2.45%
2.53%
2.19%
2.06%
0.00%
No data filled
Fund Information
Minimum Investment
10,000,000 USD
AUM
1,584,000 USD
Management Fee
1.00%
Performance Fee
20.00%
Highwater Mark
Yes
RT per Million
-
Margin to Equity
-
Legal Structure
Managed Account
Investment Restriction
None
Company Information
Company
Florin Court Capital LLP
Principal
Dr Doug Greenig
Phone
+44 (0)20 7016 3468
E-mail
[email protected]
License Number
NFA 485822
Location
United Kingdom
Performance Compiled by
-
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
-1.82
0.68
0.68
0.25
-1.62
-5.19
-1.81
-1.63
-10.12
2023
-0.13
0.00
-5.86
2.27
4.15
-0.63
0.40
-1.77
3.27
-3.00
-3.67
4.68
-0.87
2022
0.64
3.59
4.87
2.72
-0.74
2.52
1.07
4.38
2.17
-0.83
-5.29
1.19
17.07
2021
-1.20
-2.83
4.63
2.65
4.00
1.78
1.32
3.20
8.33
5.31
-0.62
-0.48
28.77
2020
2.48
-2.26
1.83
-0.70
-0.26
-2.31
3.27
-2.07
-1.19
1.36
-3.06
5.91
2.63
2019
-0.73
0.17
4.44
-0.51
1.97
5.67
0.77
2.27
-3.31
-1.04
0.99
4.23
15.56
2018
-0.27
-6.55
0.76
1.87
-0.80
-0.41
0.45
6.30
1.31
-3.93
-4.71
3.85
-2.80
2017
0.27
0.19
-0.61
3.50
3.68
1.66
3.35
0.13
1.79
14.74
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
Strategy Description
Florin Court Capital is a diversified systematic asset manager. The investment methodology is evidence-based and process driven. The portfolio is constructed using proprietary mathematical models implemented on computer systems. A particular focus is extracting the benefits of diversification through market selection from over 300financial securities across all major asset classes including currencies, stocks, fixed income, credit, commodities, power and volatility.The model signals are also diverse, encompassing technical signals with a range of holding periods, yield and value signals, cross market signals and many others.Trade execution is automated whenever appropriate and trans-action costs are carefully measured. Rigorous real-time risk con-trols are built into the systematic process and portfolio risks are also independently assessed using third-party analytics.The Florin Court Capital fund is designed to have no long-term correlations with major asset classes and most hedge fund styles. The expected long-term correlation with the SG CTA Index is expected to be around 50 %.Florin Court Capital is committed to research and a disciplined programme for model improvement and development to exploit opportunities and to adapt to changing markets.
Return Statistics
Last Month
-
Year To Date
-10.12%
3 Month ROR
-8.42%
12 Months ROR
-9.21%
36 Month ROR
17.70%
Total Return Cumulative
77.66%
Total Return Annualized
8.06%
Best Month
8.33%
Winning Months (%)
58.43%
Gain Deviation
1.88
Risk Statistics
Standard Deviation Annualized
10.04%
Max Drawdown (Monthly)
-15.31%
Max Drawdown # of Months
23
Worst Month
-6.55%
Losing Months (%)
40.45%
Average Losing Month
-2.05%
Loss Deviation
1.73
Correlation vs S&P 500
-0.13
Correlation vs DJ/CS MF
0.63
Risk/Reward Statistics
Sharpe Ratio
0.82
Sortino Ratio
1.32
Omega Ratio
0.88
Skewness
-0.09
Kurtosis
0.06
Monthly Returns
Performance (VAMI)
Fund Manager
Â
No data filled
Distribution of Monthly Returns
12 Month Rolling ROR
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-15.31%
-
23
-
0
-
10/2022
-
-
-
2
-8.45%
-
2
-
6
-
10/2018
-
05/2019
-
3
-6.80%
-
2
-
6
-
01/2018
-
08/2018
-
4
-5.45%
-
10
-
1
-
02/2020
-
12/2020
-
5
-4.32%
-
2
-
2
-
09/2019
-
12/2019
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
8.33%
-6.55%
0.69%
0.64%
-1.63%
58.43%
3 Months
17.73%
-8.42%
2.19%
1.82%
-8.42%
62.07%
6 Months
26.27%
-10.64%
4.78%
3.32%
-9.07%
64.29%
1 Year
40.25%
-9.34%
10.17%
7.72%
-9.21%
79.49%
2 Years
65.06%
-13.47%
24.93%
19.17%
-13.47%
95.45%
3 Years
69.92%
10.79%
42.35%
48.28%
17.70%
100.00%
5 Years
94.92%
38.84%
76.13%
75.56%
38.84%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
8.06%
27.61%
69.31%
195.78%
1187.43%
6268.86%
% Positive
58.43%
62.07%
64.29%
79.49%
95.45%
100.00%
Avg. Pos. Period
2.60%
5.47%
9.19%
13.86%
26.55%
42.35%
Avg. Neg. Period
-2.05%
-3.18%
-3.17%
-4.11%
-9.05%
-
Sharpe Ratio
0.82
1.43
2.09
2.73
4.93
8.91
Sortino Ratio
1.32
2.91
6.15
14.94
40.00
0.00
Standard Deviation
2.90%
5.32%
7.91%
12.89%
17.50%
16.46%
Downside Deviation
1.71%
2.45%
2.53%
2.19%
2.06%
0.00%
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
Drawdown
Volatility (12 Months Rolling)
Instruments
Data not available
AUM
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