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County Cork LLC

County Cork Macro Equity Hedge Program Prop. QEP only

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 DateFeb 2016
Minimum Investment1,000,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
Phone8473247392
E-mail[email protected]
Websitewww.countycorkllc.com

Statistics

Total Return Cumulative 33.71%
Sharpe Ratio 0.38
Sortino Ratio 0.46
Winning Months (%) 55.24%
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 0.00 -0.35 -0.16
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 -0.35%
Year To Date -0.16%
3 Month ROR 0.60%
12 Months ROR 3.76%
36 Month ROR -5.98%
Total Return Cumulative 33.71%
Total Return Annualized 3.38%
Best Month 9.08%
Winning Months (%) 55.24%
Gain Deviation 1.79

Risk Statistics

Standard Deviation Annualized 10.16%
Max Drawdown (Monthly) -18.58%
Max Drawdown # of Months 11
Worst Month -14.22%
Losing Months (%) 43.81%
Average Losing Month -1.99%
Loss Deviation 2.47
Correlation vs S&P 500 0.81
Correlation vs DJ/CS MF 0.07

Risk/Reward Statistics

Sharpe Ratio 0.38
Sortino Ratio 0.46
Omega Ratio 0.60
Skewness -0.97
Kurtosis 5.64

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 BestWorstAverageMedianLastWinning %
1 Month 9.08%-14.22%0.32%0.48%-0.35%55.24%
3 Months 13.25%-18.55%0.94%1.65%0.60%60.19%
6 Months 22.90%-16.45%1.82%1.76%3.53%62.00%
1 Year 34.95%-16.77%3.64%1.53%3.76%63.83%
2 Years 40.45%-9.39%6.77%5.35%12.97%68.29%
3 Years 38.16%-6.04%12.28%9.29%-5.98%82.86%
5 Years 40.17%9.90%23.33%23.22%14.52%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg3.38%10.31%20.48%44.69%107.47%274.25%
% Positive55.24%60.19%62.00%63.83%68.29%82.86%
Avg. Pos. Period2.16%3.80%5.97%8.95%11.88%15.60%
Avg. Neg. Period-1.99%-3.37%-4.94%-5.73%-4.21%-3.78%
Sharpe Ratio0.380.670.871.202.223.48
Sortino Ratio0.460.861.292.407.8123.27
Standard Deviation2.93%4.83%7.22%10.52%10.56%12.22%
Downside Deviation2.10%3.32%4.21%4.51%2.78%1.73%
No data filled

Fund Information

Minimum Investment1,000,000 USD
AUM1,500,000 USD
Management Fee1.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million -
Margin to Equity -
Legal StructureManaged Account
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

CompanyCounty Cork LLC
PrincipalRobert J O'Brien Jr.
Phone8473247392
E-mail[email protected]
License NumberNFA 318270
LocationSanibel, 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 0.00 -0.35 -0.16
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 -0.35%
Year To Date -0.16%
3 Month ROR 0.60%
12 Months ROR 3.76%
36 Month ROR -5.98%
Total Return Cumulative 33.71%
Total Return Annualized 3.38%
Best Month 9.08%
Winning Months (%) 55.24%
Gain Deviation 1.79

Risk Statistics

Standard Deviation Annualized 10.16%
Max Drawdown (Monthly) -18.58%
Max Drawdown # of Months 11
Worst Month -14.22%
Losing Months (%) 43.81%
Average Losing Month -1.99%
Loss Deviation 2.47
Correlation vs S&P 500 0.81
Correlation vs DJ/CS MF 0.07

Risk/Reward Statistics

Sharpe Ratio 0.38
Sortino Ratio 0.46
Omega Ratio 0.60
Skewness -0.97
Kurtosis 5.64

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 BestWorstAverageMedianLastWinning %
1 Month 9.08%-14.22%0.32%0.48%-0.35%55.24%
3 Months 13.25%-18.55%0.94%1.65%0.60%60.19%
6 Months 22.90%-16.45%1.82%1.76%3.53%62.00%
1 Year 34.95%-16.77%3.64%1.53%3.76%63.83%
2 Years 40.45%-9.39%6.77%5.35%12.97%68.29%
3 Years 38.16%-6.04%12.28%9.29%-5.98%82.86%
5 Years 40.17%9.90%23.33%23.22%14.52%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg3.38%10.31%20.48%44.69%107.47%274.25%
% Positive55.24%60.19%62.00%63.83%68.29%82.86%
Avg. Pos. Period2.16%3.80%5.97%8.95%11.88%15.60%
Avg. Neg. Period-1.99%-3.37%-4.94%-5.73%-4.21%-3.78%
Sharpe Ratio0.380.670.871.202.223.48
Sortino Ratio0.460.861.292.407.8123.27
Standard Deviation2.93%4.83%7.22%10.52%10.56%12.22%
Downside Deviation2.10%3.32%4.21%4.51%2.78%1.73%

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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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.