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Subject:
Drury Capital, Inc - Drury Diversified Trend-Following Strategy
Drury Capital, Inc
Drury Diversified Trend-Following Strategy
QEP only
Overview
Charts
Stats & Ratios
Show All
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
Fund Information
Inception Date
May 1997
Minimum Investment
10,000,000 USD
Management Fee
2.00%
Performance Fee
20.00%
Highwater Mark
No
Phone
+1 609 252 1230
E-mail
[email protected]
Website
www.drurycapital.com
Statistics
Total Return Cumulative
879.06%
Sharpe Ratio
0.53
Sortino Ratio
0.75
Winning Months (%)
55.62%
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
2.77
10.18
8.62
4.75
-4.88
1.28
-5.85
-11.51
-3.40
-0.11
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
-
Year To Date
-0.11%
3 Month ROR
-19.52%
12 Months ROR
-14.90%
36 Month ROR
-3.54%
Total Return Cumulative
879.06%
Total Return Annualized
8.68%
Best Month
23.37%
Winning Months (%)
55.62%
Gain Deviation
3.92
Risk Statistics
Standard Deviation Annualized
19.11%
Max Drawdown (Monthly)
-32.51%
Max Drawdown # of Months
55
Worst Month
-11.98%
Losing Months (%)
44.38%
Average Losing Month
-3.97%
Loss Deviation
2.78
Correlation vs S&P 500
-0.13
Correlation vs DJ/CS MF
0.65
Risk/Reward Statistics
Sharpe Ratio
0.53
Sortino Ratio
0.75
Omega Ratio
1.00
Skewness
0.47
Kurtosis
0.78
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
-24.45%
-
23
-
0
-
11/2022
-
-
-
4
-16.61%
-
6
-
10
-
09/2019
-
12/2020
-
5
-15.63%
-
7
-
3
-
11/2001
-
08/2002
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
23.37%
-11.98%
0.84%
0.65%
-3.40%
55.62%
3 Months
53.76%
-19.52%
2.61%
2.00%
-19.52%
57.80%
6 Months
62.05%
-25.18%
5.22%
4.19%
-18.78%
63.89%
1 Year
75.65%
-20.43%
10.11%
5.03%
-14.90%
66.98%
2 Years
106.80%
-26.99%
20.16%
13.23%
-24.11%
71.57%
3 Years
134.53%
-30.38%
30.82%
26.44%
-3.54%
79.59%
5 Years
181.60%
-12.09%
47.25%
44.67%
40.44%
94.07%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
8.68%
29.24%
67.60%
170.85%
560.63%
1578.03%
% Positive
55.62%
57.80%
63.89%
66.98%
71.57%
79.59%
Avg. Pos. Period
4.69%
8.80%
12.50%
18.76%
31.69%
41.62%
Avg. Neg. Period
-3.97%
-5.86%
-7.64%
-7.42%
-8.87%
-11.29%
Sharpe Ratio
0.53
0.92
1.34
1.87
2.45
3.14
Sortino Ratio
0.75
1.60
2.72
5.83
9.98
14.98
Standard Deviation
5.52%
9.84%
13.55%
18.69%
28.45%
33.99%
Downside Deviation
3.23%
4.67%
5.60%
5.15%
5.91%
6.13%
No data filled
Fund Information
Minimum Investment
$100,000 Fund, $10,000,000 MA
AUM
381,000,000 USD
Management Fee
2.00%
Performance Fee
20.00%
Highwater Mark
No
RT per Million
-
Margin to Equity
13.00%
Legal Structure
Managed Account or Fund
Investment Restriction
Only for Qualified Eligible Persons
Company Information
Company
Drury Capital, Inc
Principal
Bernard Drury
Phone
+1 609 252 1230
E-mail
[email protected]
License Number
NFA 241277
Location
United States
Performance Compiled by
-
Monthly Performance
Export Data
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
-5.85
-11.51
-3.40
-0.11
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
-
Year To Date
-0.11%
3 Month ROR
-19.52%
12 Months ROR
-14.90%
36 Month ROR
-3.54%
Total Return Cumulative
879.06%
Total Return Annualized
8.68%
Best Month
23.37%
Winning Months (%)
55.62%
Gain Deviation
3.92
Risk Statistics
Standard Deviation Annualized
19.11%
Max Drawdown (Monthly)
-32.51%
Max Drawdown # of Months
55
Worst Month
-11.98%
Losing Months (%)
44.38%
Average Losing Month
-3.97%
Loss Deviation
2.78
Correlation vs S&P 500
-0.13
Correlation vs DJ/CS MF
0.65
Risk/Reward Statistics
Sharpe Ratio
0.53
Sortino Ratio
0.75
Omega Ratio
1.00
Skewness
0.47
Kurtosis
0.78
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
-24.45%
-
23
-
0
-
11/2022
-
-
-
4
-16.61%
-
6
-
10
-
09/2019
-
12/2020
-
5
-15.63%
-
7
-
3
-
11/2001
-
08/2002
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
23.37%
-11.98%
0.84%
0.65%
-3.40%
55.62%
3 Months
53.76%
-19.52%
2.61%
2.00%
-19.52%
57.80%
6 Months
62.05%
-25.18%
5.22%
4.19%
-18.78%
63.89%
1 Year
75.65%
-20.43%
10.11%
5.03%
-14.90%
66.98%
2 Years
106.80%
-26.99%
20.16%
13.23%
-24.11%
71.57%
3 Years
134.53%
-30.38%
30.82%
26.44%
-3.54%
79.59%
5 Years
181.60%
-12.09%
47.25%
44.67%
40.44%
94.07%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
8.68%
29.24%
67.60%
170.85%
560.63%
1578.03%
% Positive
55.62%
57.80%
63.89%
66.98%
71.57%
79.59%
Avg. Pos. Period
4.69%
8.80%
12.50%
18.76%
31.69%
41.62%
Avg. Neg. Period
-3.97%
-5.86%
-7.64%
-7.42%
-8.87%
-11.29%
Sharpe Ratio
0.53
0.92
1.34
1.87
2.45
3.14
Sortino Ratio
0.75
1.60
2.72
5.83
9.98
14.98
Standard Deviation
5.52%
9.84%
13.55%
18.69%
28.45%
33.99%
Downside Deviation
3.23%
4.67%
5.60%
5.15%
5.91%
6.13%
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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