Florin Court Capital LLP

Capital Programme

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

 
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General Information

Inception DateApr 2017
Minimum Investment10,000,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
Phone+44 (0)20 7016 3468
E-mail[email protected]
Websitehttp://florincourt.com/

Statistics

Total Return Cumulative 83.93%
Sharpe Ratio 0.89
Sortino Ratio 1.43
Winning Months (%) 59.77%
Correlation vs. S&P 500 TR -0.13

Monthly Performance

  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 -6.94
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.
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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 -5.19%
Year To Date -6.94%
3 Month ROR -6.49%
12 Months ROR -7.29%
36 Month ROR 27.42%
Total Return Cumulative 83.93%
Total Return Annualized 8.77%
Best Month 8.33%
Winning Months (%) 59.77%
Gain Deviation 1.88

Risk Statistics

Standard Deviation Annualized 10.08%
Max Drawdown (Monthly) -12.32%
Max Drawdown Length 21
Worst Month -6.55%
Losing Months (%) 39.08%
Average Losing Month -2.07%
Loss Deviation 1.78
Correlation vs S&P 500 -0.13
Correlation vs DJ/CS MF 0.64

Risk/Reward Statistics

Sharpe Ratio 0.89
Sortino Ratio 1.43
Omega Ratio 0.92
Skewness -0.14
Kurtosis 0.09

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -12.32% 21 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 BestWorstAverageMedianLastWinning %
1 Month 8.33%-6.55%0.75%0.68%-5.19%59.77%
3 Months 17.73%-7.26%2.44%1.85%-6.49%63.53%
6 Months 26.27%-10.64%5.09%3.79%-6.94%65.85%
1 Year 40.25%-7.29%10.68%7.83%-7.29%81.58%
2 Years 65.06%-5.50%26.05%19.49%-5.50%98.44%
3 Years 69.92%10.79%43.18%48.97%27.42%100.00%
5 Years 94.92%48.14%78.60%76.01%48.14%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg8.77%31.58%75.73%213.84%1355.95%6754.47%
% Positive59.77%63.53%65.85%81.58%98.44%100.00%
Avg. Pos. Period2.60%5.47%9.19%13.86%26.55%43.18%
Avg. Neg. Period-2.07%-2.84%-2.82%-3.37%-5.50% -
Sharpe Ratio0.891.652.282.925.459.24
Sortino Ratio1.433.797.4921.19126.100.00
Standard Deviation2.91%5.12%7.74%12.66%16.56%16.19%
Downside Deviation1.71%2.11%2.23%1.63%0.69%0.00%
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Company Information

Minimum Investment10,000,000 USD
AUM1,614,000,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million -
Margin to Equity -
Legal StructureManaged Account
Investment RestrictionNone

Company Information

CompanyFlorin Court Capital LLP
PrincipalDr Doug Greenig
Phone+44 (0)20 7016 3468
E-mail[email protected]
License NumberNFA 485822
LocationUnited Kingdom
Performance Compiled by -

Monthly Performance

  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 -6.94
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 -5.19%
Year To Date -6.94%
3 Month ROR -6.49%
12 Months ROR -7.29%
36 Month ROR 27.42%
Total Return Cumulative 83.93%
Total Return Annualized 8.77%
Best Month 8.33%
Winning Months (%) 59.77%
Gain Deviation 1.88

Risk Statistics

Standard Deviation Annualized 10.08%
Max Drawdown (Monthly) -12.32%
Max Drawdown Length 21
Worst Month -6.55%
Losing Months (%) 39.08%
Average Losing Month -2.07%
Loss Deviation 1.78
Correlation vs S&P 500 -0.13
Correlation vs DJ/CS MF 0.64

Risk/Reward Statistics

Sharpe Ratio 0.89
Sortino Ratio 1.43
Omega Ratio 0.92
Skewness -0.14
Kurtosis 0.09

Monthly Returns

Performance (VAMI)

Fund Manager

 
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 -12.32% 21 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 BestWorstAverageMedianLastWinning %
1 Month 8.33%-6.55%0.75%0.68%-5.19%59.77%
3 Months 17.73%-7.26%2.44%1.85%-6.49%63.53%
6 Months 26.27%-10.64%5.09%3.79%-6.94%65.85%
1 Year 40.25%-7.29%10.68%7.83%-7.29%81.58%
2 Years 65.06%-5.50%26.05%19.49%-5.50%98.44%
3 Years 69.92%10.79%43.18%48.97%27.42%100.00%
5 Years 94.92%48.14%78.60%76.01%48.14%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg8.77%31.58%75.73%213.84%1355.95%6754.47%
% Positive59.77%63.53%65.85%81.58%98.44%100.00%
Avg. Pos. Period2.60%5.47%9.19%13.86%26.55%43.18%
Avg. Neg. Period-2.07%-2.84%-2.82%-3.37%-5.50% -
Sharpe Ratio0.891.652.282.925.459.24
Sortino Ratio1.433.797.4921.19126.100.00
Standard Deviation2.91%5.12%7.74%12.66%16.56%16.19%
Downside Deviation1.71%2.11%2.23%1.63%0.69%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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