Principal(s): Robert J. O'Brien Jr. and Thomas Senft
Strategy: Futures Strategies / Long Short
Request Disclosure Document
Investment Restrictions: 4.7 Exempt - QEPs Only++
The Diversified Commodity LS Program is a culmination of over 10 years of work and extensive research. It began with Robert J. O'Brien Jr.'s theory, derived from years of experience working in Agricultural research and sales, that significant change in the basis between the cash and the futures price of a specific commodity should be indicative of future price movement. This theory has been tested and evaluated by in house researchers as well as paid consultants. Our conclusions are that the theory bears out, and basis change can be predictive of price movement of the futures product.
County Cork focuses on risk and money management. We concluded that regardless of how it is done, all trading strategies must have a stop loss point. Forcing an entry signal to always act as an exit signal, as in the original program, can cause significant distortion when evaluating parameters. Forcing any trade to exit if it loses a set amount from entry is the key element of risk management in the new models. County Cork's trade management rules have also been applied. A breakeven "plus" stop. A time in trade stop.
Volatility management dovetails with risk management but has distinctive differences as well. Diversification works best when the allocation to an instrument is adjusted for volatility. Without this, the two or three most volatile instruments will swing the portfolio and minimize the contributions of the other instruments. We also theorized that having a methodology that can dynamically allocate risk based on performance of any given market/model pair is essential not only to minimizing drawdowns but also as a guard against overfitting the portfolio allocation. In allocating to all the model/market combinations, long term correlations of the components are evaluated to detect obvious over allocations of risk and adjusted accordingly.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2025 | 2.42% | 2.42% | 0% | |||||||||||
2024 | -0.49% | -0.47% | -2.39% | -1.12% | 2.72% | -0.84% | -2.90% | -2.39% | 3.57% | 3.13% | -3.72% | 1.50% | -3.67% | -7.72% |
2023 | 0.33% | 2.77% | 2.48% | 1.45% | -0.80% | -2.33% | 3.72% | 0.44% | -2.54% | 1.80% | -0.02% | -3.88% | 3.16% | -4.65% |
2022 | -1.51% | 3.69% | 0.39% | 2.26% | -0.28% | -0.99% | -2.25% | -2.12% | -0.38% | -1.53% | -3.01% | 0.58% | -5.23% | -10.12% |
2021 | -2.51% | 3.85% | 0.60% | 2.09% | -2.46% | -0.13% | -2.15% | -0.12% | 3.42% | -1.87% | 3.06% | -0.99% | 2.51% | -4.8% |
2020 | 8.31% | 0.67% | 5.53% | -1.36% | 0.02% | -4.03% | 5.87% | -0.32% | 1.56% | 0.82% | 0.86% | 3.32% | 22.66% | -5.32% |
2019 | 0.36% | -2.09% | -0.63% | -2.59% | 1.52% | 0.60% | -2.37% | -1.25% | -0.87% | -2.17% | -1.29% | 1.04% | -9.41% | -10.67% |
2018 | 3.47% | 3.60% | 0.50% | 7.73% | 0% |
Years | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 |
---|---|---|---|---|---|---|
ROR | 7.73% | -9.41% | 22.66% | 2.51% | -5.23% | 3.16% |
Max DD | 0.00% | -10.67% | -5.32% | -4.80% | -10.12% | -4.65% |
Years | 2024 | 2025 YTD |
---|---|---|
ROR | -3.67% | 2.42% |
Max DD | -7.72% | 0.00% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.