Drury Capital, Inc

Drury Diversified Trend-Following Strategy QEP only

Investment Strategy

The program is built on elements of trend-following and diversification. The portfolio emphasizes diversification by trading metals, agricultural products, foreign exchange, stock index futures, energy products, financial instruments, and tropical products (softs). Positions can be short as well as long. The program has no market or sector bias, based on the belief that each instrument can produce long-term profits through the application of independent technical analysis and risk management.

Performance (VAMI)

Monthly Returns

Fund Manager

No data filled

General Information

Inception DateMay 1997
Minimum Investment10,000,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkNo
Phone+1 609 252 1230
E-mail[email protected]
Websitewww.drurycapital.com

Statistics

Total Return Cumulative 1116.52%
Sharpe Ratio 0.58
Sortino Ratio 0.84
Winning Months (%) 56.13%
Correlation vs. S&P 500 TR -0.13

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 2.77 10.18 8.62 4.75 -4.88 1.28 24.12
2023 -0.91 1.40 -8.12 2.03 4.28 3.47 -1.07 -0.25 4.98 -2.83 -8.01 -4.69 -10.30
2022 1.18 5.72 12.54 7.80 -0.11 -0.70 -3.84 -0.26 6.13 0.45 -11.98 -4.20 10.98
2021 2.76 7.47 2.99 3.16 -1.06 3.18 4.14 -0.36 4.90 1.29 -7.55 3.59 26.47
2020 -7.86 -1.84 9.79 0.47 0.12 1.43 3.80 2.08 -3.85 -3.01 6.51 5.90 12.92
2019 -5.91 -1.77 7.95 3.92 -6.28 2.73 5.88 6.96 -6.77 -5.01 2.51 1.56 4.23
2018 2.01 -8.97 2.68 0.32 5.02 -2.07 -0.90 0.95 2.46 -9.49 1.83 1.11 -6.03
2017 -1.58 6.96 -4.34 0.35 -0.72 -7.05 1.35 7.24 -4.93 10.24 -1.60 3.06 7.72
2016 2.90 2.82 -3.00 -7.95 -1.46 1.57 0.96 -1.24 -2.21 1.59 3.44 0.86 -2.29
2015 2.31 -3.12 1.20 -4.51 0.10 -9.26 6.38 -4.63 4.15 -0.77 10.53 -3.14 -2.34
2014 -5.28 -1.95 -4.81 0.65 5.72 0.55 -1.74 7.37 7.37 4.71 9.68 -1.87 20.75
2013 0.21 3.01 2.48 8.18 -2.49 -3.79 1.04 -6.48 2.53 4.97 2.85 -2.42 9.58
2012 0.98 4.23 2.87 -0.25 -0.20 -7.50 3.17 -1.26 -3.41 -4.22 -0.43 1.93 -4.64
2011 3.49 6.21 -7.05 3.78 -9.48 -7.00 0.52 -8.34 8.00 -8.98 1.38 2.32 -16.14
2010 -6.25 -1.35 6.12 0.38 -7.87 0.18 -4.88 2.66 4.19 4.12 -4.19 9.06 0.65
2009 -1.82 2.10 -3.64 -2.72 1.82 -0.23 6.57 2.67 1.54 -3.51 6.50 0.10 9.09
2008 6.78 11.17 -8.45 -5.44 7.44 6.63 -9.45 1.92 16.95 23.37 6.57 5.14 75.65
2007 3.33 -3.51 0.08 3.21 3.39 7.79 -5.60 -5.31 2.93 -0.67 3.51 -3.29 5.00
2006 -0.51 -0.69 0.37 2.38 -2.15 -1.28 -6.44 -1.22 0.91 -4.46 -6.34 3.38 -15.39
2005 -2.34 -4.57 0.27 -5.56 -4.02 -2.42 -0.65 1.83 1.15 0.95 7.85 -2.78 -10.47
2004 2.45 11.09 2.33 -6.97 -6.06 -1.21 -0.45 -5.85 7.78 -1.13 7.20 -0.36 7.27
2003 7.76 6.94 -6.32 -4.10 9.42 -6.35 -4.41 -0.87 4.17 13.80 -1.03 6.64 25.77
2002 0.52 -1.32 -2.05 -3.68 -5.13 11.62 4.82 3.75 4.35 -9.42 -5.97 10.19 5.55
2001 -6.20 4.95 15.48 -4.19 2.41 4.97 -3.66 2.03 6.23 3.82 -9.34 4.82 20.62
2000 -5.58 0.35 -1.59 11.91 1.14 -4.41 1.49 4.92 -1.70 3.26 6.33 -0.12 15.80
1999 0.06 6.05 -2.82 4.46 -5.56 -0.36 -4.43 8.54 -3.59 -1.24 5.20 4.88 10.46
1998 7.84 6.11 6.60 -5.46 7.78 2.20 -1.38 19.34 -5.22 -2.74 4.25 2.46 47.21
1997 -4.57 14.98 12.49 -2.12 -2.08 -9.35 17.34 3.64 30.42
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

No data filled

Return Statistics

Last Month 1.28%
Year To Date 24.12%
3 Month ROR 0.91%
12 Months ROR 9.54%
36 Month ROR 30.46%
Total Return Cumulative 1116.52%
Total Return Annualized 9.63%
Best Month 23.37%
Winning Months (%) 56.13%
Gain Deviation 3.92

Risk Statistics

Standard Deviation Annualized 18.99%
Max Drawdown (Monthly) -32.51%
Max Drawdown Length 55
Worst Month -11.98%
Losing Months (%) 43.87%
Average Losing Month -3.91%
Loss Deviation 2.73
Correlation vs S&P 500 -0.13
Correlation vs DJ/CS MF 0.65

Risk/Reward Statistics

Sharpe Ratio 0.58
Sortino Ratio 0.84
Omega Ratio 1.04
Skewness 0.49
Kurtosis 0.79

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -32.51% 32 23 04/2004 10/2008
2 -29.52% 37 46 03/2011 01/2018
3 -24.36% 14 0 11/2022 -
4 -16.61% 6 10 09/2019 12/2020
5 -15.63% 7 3 11/2001 08/2002

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 23.37%-11.98%0.92%0.88%1.28%56.13%
3 Months 53.76%-16.44%2.77%2.04%0.91%58.33%
6 Months 62.05%-25.18%5.32%4.19%24.12%64.17%
1 Year 75.65%-20.43%10.27%5.31%9.54%67.30%
2 Years 106.80%-26.99%20.51%13.35%-4.01%72.28%
3 Years 134.53%-30.38%31.08%27.81%30.46%79.73%
5 Years 181.60%-12.09%47.26%44.75%84.25%94.01%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg9.63%31.89%69.48%175.51%587.09%1615.09%
% Positive56.13%58.33%64.17%67.30%72.28%79.73%
Avg. Pos. Period4.69%8.80%12.49%18.83%31.69%41.88%
Avg. Neg. Period-3.91%-5.66%-7.54%-7.35%-8.64%-11.42%
Sharpe Ratio0.580.991.361.902.513.16
Sortino Ratio0.841.822.836.0010.6115.04
Standard Deviation5.48%9.73%13.52%18.69%28.35%34.06%
Downside Deviation3.16%4.45%5.51%5.09%5.69%6.15%
No data filled

Company Information

Minimum Investment$100,000 Fund, $10,000,000 MA
AUM354,000,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkNo
RT per Million -
Margin to Equity13.00%
Legal StructureManaged Account or Fund
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyDrury Capital, Inc
PrincipalBernard Drury
Phone+1 609 252 1230
E-mail[email protected]
License NumberNFA 241277
LocationUnited States
Performance Compiled by -

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 2.77 10.18 8.62 4.75 -4.88 1.28 24.12
2023 -0.91 1.40 -8.12 2.03 4.28 3.47 -1.07 -0.25 4.98 -2.83 -8.01 -4.69 -10.30
2022 1.18 5.72 12.54 7.80 -0.11 -0.70 -3.84 -0.26 6.13 0.45 -11.98 -4.20 10.98
2021 2.76 7.47 2.99 3.16 -1.06 3.18 4.14 -0.36 4.90 1.29 -7.55 3.59 26.47
2020 -7.86 -1.84 9.79 0.47 0.12 1.43 3.80 2.08 -3.85 -3.01 6.51 5.90 12.92
2019 -5.91 -1.77 7.95 3.92 -6.28 2.73 5.88 6.96 -6.77 -5.01 2.51 1.56 4.23
2018 2.01 -8.97 2.68 0.32 5.02 -2.07 -0.90 0.95 2.46 -9.49 1.83 1.11 -6.03
2017 -1.58 6.96 -4.34 0.35 -0.72 -7.05 1.35 7.24 -4.93 10.24 -1.60 3.06 7.72
2016 2.90 2.82 -3.00 -7.95 -1.46 1.57 0.96 -1.24 -2.21 1.59 3.44 0.86 -2.29
2015 2.31 -3.12 1.20 -4.51 0.10 -9.26 6.38 -4.63 4.15 -0.77 10.53 -3.14 -2.34
2014 -5.28 -1.95 -4.81 0.65 5.72 0.55 -1.74 7.37 7.37 4.71 9.68 -1.87 20.75
2013 0.21 3.01 2.48 8.18 -2.49 -3.79 1.04 -6.48 2.53 4.97 2.85 -2.42 9.58
2012 0.98 4.23 2.87 -0.25 -0.20 -7.50 3.17 -1.26 -3.41 -4.22 -0.43 1.93 -4.64
2011 3.49 6.21 -7.05 3.78 -9.48 -7.00 0.52 -8.34 8.00 -8.98 1.38 2.32 -16.14
2010 -6.25 -1.35 6.12 0.38 -7.87 0.18 -4.88 2.66 4.19 4.12 -4.19 9.06 0.65
2009 -1.82 2.10 -3.64 -2.72 1.82 -0.23 6.57 2.67 1.54 -3.51 6.50 0.10 9.09
2008 6.78 11.17 -8.45 -5.44 7.44 6.63 -9.45 1.92 16.95 23.37 6.57 5.14 75.65
2007 3.33 -3.51 0.08 3.21 3.39 7.79 -5.60 -5.31 2.93 -0.67 3.51 -3.29 5.00
2006 -0.51 -0.69 0.37 2.38 -2.15 -1.28 -6.44 -1.22 0.91 -4.46 -6.34 3.38 -15.39
2005 -2.34 -4.57 0.27 -5.56 -4.02 -2.42 -0.65 1.83 1.15 0.95 7.85 -2.78 -10.47
2004 2.45 11.09 2.33 -6.97 -6.06 -1.21 -0.45 -5.85 7.78 -1.13 7.20 -0.36 7.27
2003 7.76 6.94 -6.32 -4.10 9.42 -6.35 -4.41 -0.87 4.17 13.80 -1.03 6.64 25.77
2002 0.52 -1.32 -2.05 -3.68 -5.13 11.62 4.82 3.75 4.35 -9.42 -5.97 10.19 5.55
2001 -6.20 4.95 15.48 -4.19 2.41 4.97 -3.66 2.03 6.23 3.82 -9.34 4.82 20.62
2000 -5.58 0.35 -1.59 11.91 1.14 -4.41 1.49 4.92 -1.70 3.26 6.33 -0.12 15.80
1999 0.06 6.05 -2.82 4.46 -5.56 -0.36 -4.43 8.54 -3.59 -1.24 5.20 4.88 10.46
1998 7.84 6.11 6.60 -5.46 7.78 2.20 -1.38 19.34 -5.22 -2.74 4.25 2.46 47.21
1997 -4.57 14.98 12.49 -2.12 -2.08 -9.35 17.34 3.64 30.42
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

The program is built on elements of trend-following and diversification. The portfolio emphasizes diversification by trading metals, agricultural products, foreign exchange, stock index futures, energy products, financial instruments, and tropical products (softs). Positions can be short as well as long. The program has no market or sector bias, based on the belief that each instrument can produce long-term profits through the application of independent technical analysis and risk management.

Return Statistics

Last Month 1.28%
Year To Date 24.12%
3 Month ROR 0.91%
12 Months ROR 9.54%
36 Month ROR 30.46%
Total Return Cumulative 1116.52%
Total Return Annualized 9.63%
Best Month 23.37%
Winning Months (%) 56.13%
Gain Deviation 3.92

Risk Statistics

Standard Deviation Annualized 18.99%
Max Drawdown (Monthly) -32.51%
Max Drawdown Length 55
Worst Month -11.98%
Losing Months (%) 43.87%
Average Losing Month -3.91%
Loss Deviation 2.73
Correlation vs S&P 500 -0.13
Correlation vs DJ/CS MF 0.65

Risk/Reward Statistics

Sharpe Ratio 0.58
Sortino Ratio 0.84
Omega Ratio 1.04
Skewness 0.49
Kurtosis 0.79

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 -32.51% 32 23 04/2004 10/2008
2 -29.52% 37 46 03/2011 01/2018
3 -24.36% 14 0 11/2022 -
4 -16.61% 6 10 09/2019 12/2020
5 -15.63% 7 3 11/2001 08/2002

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 23.37%-11.98%0.92%0.88%1.28%56.13%
3 Months 53.76%-16.44%2.77%2.04%0.91%58.33%
6 Months 62.05%-25.18%5.32%4.19%24.12%64.17%
1 Year 75.65%-20.43%10.27%5.31%9.54%67.30%
2 Years 106.80%-26.99%20.51%13.35%-4.01%72.28%
3 Years 134.53%-30.38%31.08%27.81%30.46%79.73%
5 Years 181.60%-12.09%47.26%44.75%84.25%94.01%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg9.63%31.89%69.48%175.51%587.09%1615.09%
% Positive56.13%58.33%64.17%67.30%72.28%79.73%
Avg. Pos. Period4.69%8.80%12.49%18.83%31.69%41.88%
Avg. Neg. Period-3.91%-5.66%-7.54%-7.35%-8.64%-11.42%
Sharpe Ratio0.580.991.361.902.513.16
Sortino Ratio0.841.822.836.0010.6115.04
Standard Deviation5.48%9.73%13.52%18.69%28.35%34.06%
Downside Deviation3.16%4.45%5.51%5.09%5.69%6.15%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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