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  • Manager: John Locke Investments
    Program: Cyril Systematic UCITS Fund

    Principal(s): François Bonnin
    Strategy: Pattern Recognition / Diversified
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    Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only++
  • John Locke Investments

Recent Statistics
  • May Return: -0.85%
  • YTD Return: -5.18%
  • Annual CROR:1 6.67 %
  • Worst DD:2 -20.76%
  • Losing Streak:3 -12.66 %
  • Sharpe Ratio:4 0.45
  • Min Investment: €8,000,000
  • AUM:5 €27,452,608
  • Calmar Ratio:6 0.20

Trading Strategy

The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures markets. Risk is equalized across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyzes risk factors such as rising correlations and reversal risk at the portfolio level. The average holding period of the Fund is approximately two weeks. The Fund provides for daily liquidity.

Risk Strategy

Background

Mr. Bonnin is the CEO and Founding Partner of John Locke Investments SA, a company which was set up near Paris, France in 2001. JLI investment programs are based on the systematic application of computerized trading strategies, with a particular focus on the dynamic management of risk. The strategies are purely quantitative in nature and are based on in-depth analysis of market price movements. Since the beginning of his investment management career, Mr. Bonnin has always held the belief that sustainable returns are only achievable through a commitment to disciplined and rigorous quantitative research. This belief permeates all aspects of the research effort within the firm and is also ingrained in the corporate culture of John Locke Investments. Prior to creating John Locke Investments, Mr. Bonnin was in charge of Research and Alternative Investments at ING France from September 1998 to June 2001. Between March 1992 and September 1998, Mr. Bonnin was Managing Director and Founding Partner of CAP STARDEX SA, a French AMF regulated asset management company specializing in alternative systematic strategies. From September 1989 to March 1992, Mr. Bonnin was a director of the convertible bonds trading desk at RAFE SA. Mr. Bonnin graduated from the Institut Superieur de Gestion in 1986.

Accounting Notes: The performance before July 2011 represents the FCIMT Cyril Systematic Fund adjusted to incorporate current risk and fee structures.


  • Trading Methodology
    100% Systematic
  • Style Sub-Categories
    Pattern Recognition
  • Trading Style
    100% Trend Following
  • Market Allocation
    Diversified
  • Holding Period
  • Sector
    Global
    Contracts
    Futures

Performance Since July 2000

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2018 8.56% -5.01% -4.61% -2.78% -0.85%   -5.18% -12.66%
2017 -3.11% 6.54% -0.80% 2.92% 3.05% -0.69% 3.74% 0.28% -1.40% 4.34% 0.87% 0.59% 17.11% -3.11%
2016 11.23% 5.51% -3.68% -0.38% -3.29% 8.03% 1.74% -3.71% -5.29% -4.73% 5.98% 3.90% 14.51% -13.12%
2015 6.16% 1.52% -0.17% -3.19% 0.12% -7.02% -1.33% -1.59% 2.08% -5.05% 1.52% -3.67% -10.76% -17.19%
2014 -3.14% 4.37% -3.52% -0.93% 3.05% 2.88% -0.14% 6.17% 3.48% 0.98% 8.40% 2.42% 26% -4.42%
2013 -0.82% -0.88% 1.12% 4.47% -1.84% -3.13% -2.90% -2.28% -1.16% 2.05% 4.44% 1.33% 0.02% -10.82%

Annual Performance Since From Inception: Jul-2000

Years200020012002200320042005
ROR6.20%8.67%10.29%13.58%9.41%7.62%
Max DD-9.15%-6.10%-10.80%-9.41%-5.89%-9.69%

Years200620072008200920102011
ROR2.92%15.98%28.00%-7.38%7.22%-9.27%
Max DD-13.10%-5.17%-5.12%-10.79%-3.99%-10.01%

Years201220132014201520162017
ROR-5.04%0.02%26.00%-10.76%14.51%17.11%
Max DD-9.69%-10.82%-4.42%-17.19%-13.12%-3.11%

Years2018 YTD
ROR-5.18%
Max DD-12.66%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Program Information
  • Start Date: Jul-2000
  • New Money: Yes
  • Min Investment: €8,000,000
  • Fund Minimum: €500,000
  • Notional Funds: Yes
  • NFA Member: Yes
  • NFA Number: 0283356
  • Currency: Euros
  • AUM:5 €27,452,608
  • Annual CROR:1 : 6.67%
  • Worst Drawdown:2 -20.76 %
  • Losing Streak:3 -12.66 %
  • Sharpe Ratio:4 0.45
  • Calmar Ratio:6 0.20
  • Margin:7: 11%
  • Mgt Fee: 2.00%
  • Incentive Fee: 20.00%
  • Other Fees: None
  • Avg Comm:8 0.00
  • Max Comm:9:
  • Round Turns:10 1,350
Additional Information
  • Other Memberships: AMF (French Regulators)
  • Correlations: AG CTA Index: 0.687 | AG Systematic CTA Index: 0.731 |
  • Track Record Prepared By: N/A

    Accounting Notes: The performance before July 2011 represents the FCIMT Cyril Systematic Fund adjusted to incorporate current risk and fee structures.

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Footnotes:
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • ++Qualified Eligible Investors Only. A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

    Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

    RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

     THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    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.