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Subject:
County Cork LLC - County Cork Macro Equity Hedge Program
County Cork LLC
County Cork Macro Equity Hedge Program
Prop.
QEP only
Overview
Charts
Stats & Ratios
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Investment Strategy
The Macro Equity Hedge strategy is a systematic program designed to produce stock market like returns over time with much lower volatility through a combination of protection and performance. The strategy is a made up of a long-only basket of Emini S&P futures, 10 year note futures, and gold futures. Additionally, a smaller portion of the strategy consists of a long/short currency breakout system.
The strategy is governed by a proprietary systematic model that dynamically adjusts portfolio positions and weights.
-IMPORTANT DISCLOSURE- THE PERFORMANCE SET FORTH ABOVE IS FOR A PROPRIETARY ACCOUNT MAINTAINED BY A PRINCIPAL OF COUNTY CORK TRADED PURSUANT TO THE MACRO EQUITY HEDGE MANAGED FUTURES PROGRAM. THE PERFORMANCE HAS BEEN PRO FORMA ADJUSTED FOR A 1% (ANNUALIZED) MONTHLY MANAGEMENT FEE AND A 10% QUARTERLY INCENTIVE FEE THAT WOULD HAVE BEEN CHARGED TO A CUSTOMER ACCOUNT PARTICIPATING IN THE MACRO EQUITY HEDGE PROGRAM. THE PERFORMANCE IS NET OF ACTUAL BROKERAGE COMMISSIONS AND TRANSACTION FEES CHARGED TO THE ACCOUNT, WITH PROFITS REINVESTED. COUNTY CORK HAS CHOSEN TO USE PERFORMANCE OF A PROPRIETARY ACCOUNT IN THIS PRESENTATION AS IT HAS CONTINUOUSLY OPERATED SINCE INCEPTION.
Performance (VAMI)
Monthly Returns
Fund Manager
George F. Coyle
In addition to managing the Macro program, Mr. Coyle is responsible for the development of investment systems and strategies. Prior to joining County Cork in 2015, Mr. Coyle ran his own CTA, Mount Analogue Capital Management. Before that he worked in a variety of capacities, including portfolio manager, analyst, researcher, and trader for 13D Research (publisher of “What I Learned This Week”), Manchester Trading, Clovis Capital Management, and John A. Levin & Co. Mr. Coyle holds a B.S. in Finance from the Ohio State University and a M.A. in Applied Statistics from Columbia University.
Fund Information
Inception Date
Feb 2016
Minimum Investment
1,000,000 USD
Management Fee
1.00%
Performance Fee
20.00%
Highwater Mark
Yes
Phone
8473247392
E-mail
[email protected]
Website
www.countycorkllc.com
Statistics
Total Return Cumulative
34.18%
Sharpe Ratio
0.39
Sortino Ratio
0.47
Winning Months (%)
56.31%
Correlation vs. S&P 500 TR
0.81
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
-0.60
0.77
-0.24
-3.49
1.72
-0.23
1.41
0.95
0.19
2023
4.29
-4.23
4.09
0.77
-0.89
2.31
2.82
-2.17
-0.67
-0.05
2.39
1.50
10.25
2022
-3.45
-0.95
0.76
-5.07
-0.10
-3.48
3.19
-4.58
-6.19
0.34
4.38
-1.68
-16.10
2021
-1.72
1.03
3.08
4.28
1.55
1.31
2.47
1.34
-2.81
2.47
-0.15
1.96
15.61
2020
0.03
-5.08
-14.22
3.58
1.63
-2.55
6.96
6.12
-4.39
-0.47
9.08
4.31
2.68
2019
2.57
-0.21
1.45
2.26
-4.33
6.41
1.50
-0.22
0.64
1.12
2.36
2.05
16.38
2018
1.40
-2.82
-0.09
-1.70
0.74
-0.84
-0.07
1.37
-0.87
-1.25
1.09
-0.06
-3.15
2017
0.48
2.37
-0.84
-0.10
0.94
-0.93
1.91
1.27
-1.19
-0.32
0.48
0.65
4.75
2016
1.14
1.36
0.39
0.57
2.00
3.24
-0.96
-0.17
-1.78
-2.79
0.39
3.29
Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
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
0.19%
3 Month ROR
2.14%
12 Months ROR
3.38%
36 Month ROR
-6.04%
Total Return Cumulative
34.18%
Total Return Annualized
3.48%
Best Month
9.08%
Winning Months (%)
56.31%
Gain Deviation
1.79
Risk Statistics
Standard Deviation Annualized
10.25%
Max Drawdown (Monthly)
-18.58%
Max Drawdown # of Months
11
Worst Month
-14.22%
Losing Months (%)
43.69%
Average Losing Month
-2.02%
Loss Deviation
2.48
Correlation vs S&P 500
0.81
Correlation vs DJ/CS MF
0.07
Risk/Reward Statistics
Sharpe Ratio
0.39
Sortino Ratio
0.47
Omega Ratio
0.60
Skewness
-0.98
Kurtosis
5.51
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-18.58%
-
2
-
9
-
02/2020
-
12/2020
-
2
-18.53%
-
9
-
0
-
01/2022
-
-
-
3
-5.60%
-
4
-
14
-
08/2016
-
01/2018
-
4
-5.46%
-
9
-
6
-
02/2018
-
04/2019
-
5
-4.33%
-
1
-
1
-
05/2019
-
06/2019
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
9.08%
-14.22%
0.33%
0.57%
0.95%
56.31%
3 Months
13.25%
-18.55%
0.93%
1.65%
2.14%
59.41%
6 Months
22.90%
-16.45%
1.82%
1.76%
0.03%
61.22%
1 Year
34.95%
-16.77%
3.63%
1.30%
3.38%
63.04%
2 Years
40.45%
-9.39%
6.61%
4.77%
6.71%
67.50%
3 Years
38.16%
-6.04%
12.77%
9.75%
-6.04%
85.29%
5 Years
40.17%
9.90%
23.69%
23.38%
16.95%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
3.48%
10.14%
20.39%
44.41%
103.49%
295.67%
% Positive
56.31%
59.41%
61.22%
63.04%
67.50%
85.29%
Avg. Pos. Period
2.16%
3.87%
6.10%
9.12%
11.82%
15.60%
Avg. Neg. Period
-2.02%
-3.37%
-4.94%
-5.73%
-4.21%
-3.61%
Sharpe Ratio
0.39
0.66
0.87
1.18
2.15
3.67
Sortino Ratio
0.47
0.83
1.27
2.36
7.51
27.19
Standard Deviation
2.96%
4.88%
7.29%
10.64%
10.64%
12.04%
Downside Deviation
2.12%
3.35%
4.25%
4.56%
2.81%
1.55%
No data filled
Fund Information
Minimum Investment
1,000,000 USD
AUM
1,500,000 USD
Management Fee
1.00%
Performance Fee
20.00%
Highwater Mark
Yes
RT per Million
-
Margin to Equity
-
Legal Structure
Managed Account
Investment Restriction
Only for Qualified Eligible Persons
Company Information
Company
County Cork LLC
Principal
Robert J O'Brien Jr.
Phone
8473247392
E-mail
[email protected]
License Number
NFA 318270
Location
Sanibel, United States
Performance Compiled by
-
Monthly Performance
Export Data
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
-0.60
0.77
-0.24
-3.49
1.72
-0.23
1.41
0.95
0.19
2023
4.29
-4.23
4.09
0.77
-0.89
2.31
2.82
-2.17
-0.67
-0.05
2.39
1.50
10.25
2022
-3.45
-0.95
0.76
-5.07
-0.10
-3.48
3.19
-4.58
-6.19
0.34
4.38
-1.68
-16.10
2021
-1.72
1.03
3.08
4.28
1.55
1.31
2.47
1.34
-2.81
2.47
-0.15
1.96
15.61
2020
0.03
-5.08
-14.22
3.58
1.63
-2.55
6.96
6.12
-4.39
-0.47
9.08
4.31
2.68
2019
2.57
-0.21
1.45
2.26
-4.33
6.41
1.50
-0.22
0.64
1.12
2.36
2.05
16.38
2018
1.40
-2.82
-0.09
-1.70
0.74
-0.84
-0.07
1.37
-0.87
-1.25
1.09
-0.06
-3.15
2017
0.48
2.37
-0.84
-0.10
0.94
-0.93
1.91
1.27
-1.19
-0.32
0.48
0.65
4.75
2016
1.14
1.36
0.39
0.57
2.00
3.24
-0.96
-0.17
-1.78
-2.79
0.39
3.29
Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
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 Macro Equity Hedge strategy is a systematic program designed to produce stock market like returns over time with much lower volatility through a combination of protection and performance. The strategy is a made up of a long-only basket of Emini S&P futures, 10 year note futures, and gold futures. Additionally, a smaller portion of the strategy consists of a long/short currency breakout system.
The strategy is governed by a proprietary systematic model that dynamically adjusts portfolio positions and weights.
-IMPORTANT DISCLOSURE- THE PERFORMANCE SET FORTH ABOVE IS FOR A PROPRIETARY ACCOUNT MAINTAINED BY A PRINCIPAL OF COUNTY CORK TRADED PURSUANT TO THE MACRO EQUITY HEDGE MANAGED FUTURES PROGRAM. THE PERFORMANCE HAS BEEN PRO FORMA ADJUSTED FOR A 1% (ANNUALIZED) MONTHLY MANAGEMENT FEE AND A 10% QUARTERLY INCENTIVE FEE THAT WOULD HAVE BEEN CHARGED TO A CUSTOMER ACCOUNT PARTICIPATING IN THE MACRO EQUITY HEDGE PROGRAM. THE PERFORMANCE IS NET OF ACTUAL BROKERAGE COMMISSIONS AND TRANSACTION FEES CHARGED TO THE ACCOUNT, WITH PROFITS REINVESTED. COUNTY CORK HAS CHOSEN TO USE PERFORMANCE OF A PROPRIETARY ACCOUNT IN THIS PRESENTATION AS IT HAS CONTINUOUSLY OPERATED SINCE INCEPTION.
Return Statistics
Last Month
-
Year To Date
0.19%
3 Month ROR
2.14%
12 Months ROR
3.38%
36 Month ROR
-6.04%
Total Return Cumulative
34.18%
Total Return Annualized
3.48%
Best Month
9.08%
Winning Months (%)
56.31%
Gain Deviation
1.79
Risk Statistics
Standard Deviation Annualized
10.25%
Max Drawdown (Monthly)
-18.58%
Max Drawdown # of Months
11
Worst Month
-14.22%
Losing Months (%)
43.69%
Average Losing Month
-2.02%
Loss Deviation
2.48
Correlation vs S&P 500
0.81
Correlation vs DJ/CS MF
0.07
Risk/Reward Statistics
Sharpe Ratio
0.39
Sortino Ratio
0.47
Omega Ratio
0.60
Skewness
-0.98
Kurtosis
5.51
Monthly Returns
Performance (VAMI)
Fund Manager
George F. Coyle
In addition to managing the Macro program, Mr. Coyle is responsible for the development of investment systems and strategies. Prior to joining County Cork in 2015, Mr. Coyle ran his own CTA, Mount Analogue Capital Management. Before that he worked in a variety of capacities, including portfolio manager, analyst, researcher, and trader for 13D Research (publisher of “What I Learned This Week”), Manchester Trading, Clovis Capital Management, and John A. Levin & Co. Mr. Coyle holds a B.S. in Finance from the Ohio State University and a M.A. in Applied Statistics from Columbia University.
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
-18.58%
-
2
-
9
-
02/2020
-
12/2020
-
2
-18.53%
-
9
-
0
-
01/2022
-
-
-
3
-5.60%
-
4
-
14
-
08/2016
-
01/2018
-
4
-5.46%
-
9
-
6
-
02/2018
-
04/2019
-
5
-4.33%
-
1
-
1
-
05/2019
-
06/2019
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
9.08%
-14.22%
0.33%
0.57%
0.95%
56.31%
3 Months
13.25%
-18.55%
0.93%
1.65%
2.14%
59.41%
6 Months
22.90%
-16.45%
1.82%
1.76%
0.03%
61.22%
1 Year
34.95%
-16.77%
3.63%
1.30%
3.38%
63.04%
2 Years
40.45%
-9.39%
6.61%
4.77%
6.71%
67.50%
3 Years
38.16%
-6.04%
12.77%
9.75%
-6.04%
85.29%
5 Years
40.17%
9.90%
23.69%
23.38%
16.95%
100.00%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
3.48%
10.14%
20.39%
44.41%
103.49%
295.67%
% Positive
56.31%
59.41%
61.22%
63.04%
67.50%
85.29%
Avg. Pos. Period
2.16%
3.87%
6.10%
9.12%
11.82%
15.60%
Avg. Neg. Period
-2.02%
-3.37%
-4.94%
-5.73%
-4.21%
-3.61%
Sharpe Ratio
0.39
0.66
0.87
1.18
2.15
3.67
Sortino Ratio
0.47
0.83
1.27
2.36
7.51
27.19
Standard Deviation
2.96%
4.88%
7.29%
10.64%
10.64%
12.04%
Downside Deviation
2.12%
3.35%
4.25%
4.56%
2.81%
1.55%
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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No data filled