County Cork LLC

Acclivity Program *QEP*


Monthly Performance (%)

Date Range: 12/15 - 10/19
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2019 3.21 -0.93 6.04 -1.04 1.27 7.78 3.05 2.81 0.38 -1.30   22.93 
2018 -1.00 3.37 2.84 -3.46 4.56 -2.02 0.84 2.23 -1.71 -4.33 0.78 -3.93  -2.31 
2017 1.87 0.92 -2.70 0.34 0.23 0.06 -0.22 3.73 -4.30 -0.18 0.27 -0.18  -0.38 
2016 1.24 3.99 1.56 -2.82 1.80 8.38 0.80 -0.51 1.60 -5.12 -2.37 2.77  11.20 

Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

Managed by County Cork, the Acclivity Program is a systematic managed futures long-only strategy trading US 10yr Interest Rate Futures, Euro Bond Futures, and E-Mini S&P 500 Futures. Trading signals are based on classical technical analysis, which combine both long and short-term trend following, momentum, price pattern, oscillator, and mean reversion. The Acclivity Program is a blending of unique systems, which think independently of one another, in an effort to reduce volatility and enhance performance. Returns exhibit low or no correlation with the S&P 500 Index, offering excellent diversification benefits to any portfolio.

Performance Statistics

Date Range: 12/15 - 10/19
  Program S&P 500 Coquest 40 
Total Return 33.03% 58.16% -1.73% 
Annualized Return 7.73% 12.42% -0.45% 
Annualized Std. Deviation 10.20% 11.55% 8.11% 
Correlation 0.26 0.35 
Sharpe Ratio (rf=2.5%) 0.51 0.86 -0.36 
Worst Month -5.12% -9.03% -6.10% 
Date of Worst Month 10/2016 12/2018 02/2018 
Worst Drawdown -8.96% -13.52% -13.08% 
Date of Worst Drawdown 8/18 - 12/18 9/18 - 12/18 2/16 - 1/19 

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 12/15 - 10/19
Year or YTD Program S&P 500 Coquest 40 
2019 22.93 23.18 7.15 
2018 -2.31 -4.38 -4.29 
2017 -0.38 21.84 1.24 
2016 11.20 11.98 -3.13 

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 12/15 - 10/19
Date: 10/31/2019
Perf: $1,005.79 Date: 9/30/2019
Perf: $1,028.52 Date: 8/31/2019
Perf: $1,057.82 Date: 7/31/2019
Perf: $1,020.87 Date: 6/30/2019
Perf: $987.20 Date: 5/31/2019
Perf: $967.85 Date: 4/30/2019
Perf: $987.20 Date: 3/31/2019
Perf: $960.77 Date: 2/28/2019
Perf: $927.48 Date: 1/31/2019
Perf: $921.58 Date: 12/31/2018
Perf: $938.66 Date: 11/30/2018
Perf: $934.74 Date: 10/31/2018
Perf: $946.09 Date: 9/30/2018
Perf: $970.05 Date: 8/31/2018
Perf: $974.44 Date: 7/31/2018
Perf: $950.21 Date: 6/30/2018
Perf: $957.39 Date: 5/31/2018
Perf: $949.41 Date: 4/30/2018
Perf: $961.82 Date: 3/31/2018
Perf: $951.54 Date: 2/28/2018
Perf: $952.40 Date: 1/31/2018
Perf: $1,014.27 Date: 12/31/2017
Perf: $980.73 Date: 11/30/2017
Perf: $970.15 Date: 10/31/2017
Perf: $968.89 Date: 9/30/2017
Perf: $929.93 Date: 8/31/2017
Perf: $949.97 Date: 7/31/2017
Perf: $934.46 Date: 6/30/2017
Perf: $930.83 Date: 5/31/2017
Perf: $958.83 Date: 4/30/2017
Perf: $957.01 Date: 3/31/2017
Perf: $962.79 Date: 2/28/2017
Perf: $977.05 Date: 1/31/2017
Perf: $956.21 Date: 12/31/2016
Perf: $968.70 Date: 11/30/2016
Perf: $961.40 Date: 10/31/2016
Perf: $972.09 Date: 9/30/2016
Perf: $997.84 Date: 8/31/2016
Perf: $1,010.88 Date: 7/31/2016
Perf: $1,038.82 Date: 6/30/2016
Perf: $1,028.33 Date: 5/31/2016
Perf: $986.41 Date: 4/30/2016
Perf: $1,003.98 Date: 3/31/2016
Perf: $1,029.83 Date: 2/29/2016
Perf: $1,060.26 Date: 1/31/2016
Perf: $1,034.80 Date: 12/31/2015
Perf: $1,000.00 Date: 10/31/2019
Perf: $1,606.97 Date: 9/30/2019
Perf: $1,572.84 Date: 8/31/2019
Perf: $1,543.97 Date: 7/31/2019
Perf: $1,568.76 Date: 6/30/2019
Perf: $1,546.49 Date: 5/31/2019
Perf: $1,444.64 Date: 4/30/2019
Perf: $1,542.60 Date: 3/31/2019
Perf: $1,482.55 Date: 2/28/2019
Perf: $1,454.34 Date: 1/31/2019
Perf: $1,409.11 Date: 12/31/2018
Perf: $1,304.61 Date: 11/30/2018
Perf: $1,434.11 Date: 10/31/2018
Perf: $1,405.44 Date: 9/30/2018
Perf: $1,508.63 Date: 8/31/2018
Perf: $1,500.08 Date: 7/31/2018
Perf: $1,452.72 Date: 6/30/2018
Perf: $1,400.61 Date: 5/31/2018
Perf: $1,391.98 Date: 4/30/2018
Perf: $1,359.23 Date: 3/31/2018
Perf: $1,354.08 Date: 2/28/2018
Perf: $1,389.37 Date: 1/31/2018
Perf: $1,442.60 Date: 12/31/2017
Perf: $1,364.42 Date: 11/30/2017
Perf: $1,349.44 Date: 10/31/2017
Perf: $1,309.25 Date: 9/30/2017
Perf: $1,279.44 Date: 8/31/2017
Perf: $1,253.61 Date: 7/31/2017
Perf: $1,249.74 Date: 6/30/2017
Perf: $1,224.51 Date: 5/31/2017
Perf: $1,216.97 Date: 4/30/2017
Perf: $1,200.05 Date: 3/31/2017
Perf: $1,187.81 Date: 2/28/2017
Perf: $1,186.39 Date: 1/31/2017
Perf: $1,141.09 Date: 12/31/2016
Perf: $1,119.81 Date: 11/30/2016
Perf: $1,098.07 Date: 10/31/2016
Perf: $1,058.89 Date: 9/30/2016
Perf: $1,078.52 Date: 8/31/2016
Perf: $1,078.31 Date: 7/31/2016
Perf: $1,076.80 Date: 6/30/2016
Perf: $1,038.48 Date: 5/31/2016
Perf: $1,035.79 Date: 4/30/2016
Perf: $1,017.47 Date: 3/31/2016
Perf: $1,013.52 Date: 2/29/2016
Perf: $949.16 Date: 1/31/2016
Perf: $950.40 Date: 12/31/2015
Perf: $1,000.00 Date: 10/31/2019
Perf: $1,330.31 Date: 9/30/2019
Perf: $1,347.83 Date: 8/31/2019
Perf: $1,342.73 Date: 7/31/2019
Perf: $1,306.03 Date: 6/30/2019
Perf: $1,267.38 Date: 5/31/2019
Perf: $1,175.89 Date: 4/30/2019
Perf: $1,161.15 Date: 3/31/2019
Perf: $1,173.35 Date: 2/28/2019
Perf: $1,106.52 Date: 1/31/2019
Perf: $1,116.90 Date: 12/31/2018
Perf: $1,082.16 Date: 11/30/2018
Perf: $1,126.43 Date: 10/31/2018
Perf: $1,117.72 Date: 9/30/2018
Perf: $1,168.30 Date: 8/31/2018
Perf: $1,188.63 Date: 7/31/2018
Perf: $1,162.70 Date: 6/30/2018
Perf: $1,153.02 Date: 5/31/2018
Perf: $1,176.79 Date: 4/30/2018
Perf: $1,125.46 Date: 3/31/2018
Perf: $1,165.80 Date: 2/28/2018
Perf: $1,133.61 Date: 1/31/2018
Perf: $1,096.65 Date: 12/31/2017
Perf: $1,107.73 Date: 11/30/2017
Perf: $1,109.72 Date: 10/31/2017
Perf: $1,106.74 Date: 9/30/2017
Perf: $1,108.73 Date: 8/31/2017
Perf: $1,158.55 Date: 7/31/2017
Perf: $1,116.89 Date: 6/30/2017
Perf: $1,119.35 Date: 5/31/2017
Perf: $1,118.68 Date: 4/30/2017
Perf: $1,116.11 Date: 3/31/2017
Perf: $1,112.33 Date: 2/28/2017
Perf: $1,143.20 Date: 1/31/2017
Perf: $1,132.78 Date: 12/31/2016
Perf: $1,111.98 Date: 11/30/2016
Perf: $1,082.01 Date: 10/31/2016
Perf: $1,108.28 Date: 9/30/2016
Perf: $1,168.08 Date: 8/31/2016
Perf: $1,149.69 Date: 7/31/2016
Perf: $1,155.58 Date: 6/30/2016
Perf: $1,146.41 Date: 5/31/2016
Perf: $1,057.77 Date: 4/30/2016
Perf: $1,039.07 Date: 3/31/2016
Perf: $1,069.22 Date: 2/29/2016
Perf: $1,052.79 Date: 1/31/2016
Perf: $1,012.40 Date: 12/31/2015
Perf: $1,000.00

Note: All performance data is since program inception.

Monthly Returns

Date Range: 12/15 - 10/19
Date: 10/31/2019
Return: -1.30 % Date: 9/30/2019
Return: 0.38 % Date: 8/31/2019
Return: 2.81 % Date: 7/31/2019
Return: 3.05 % Date: 6/30/2019
Return: 7.78 % Date: 5/31/2019
Return: 1.27 % Date: 4/30/2019
Return: -1.04 % Date: 3/31/2019
Return: 6.04 % Date: 2/28/2019
Return: -0.93 % Date: 1/31/2019
Return: 3.21 % Date: 12/31/2018
Return: -3.93 % Date: 11/30/2018
Return: 0.78 % Date: 10/31/2018
Return: -4.33 % Date: 9/30/2018
Return: -1.71 % Date: 8/31/2018
Return: 2.23 % Date: 7/31/2018
Return: 0.84 % Date: 6/30/2018
Return: -2.02 % Date: 5/31/2018
Return: 4.56 % Date: 4/30/2018
Return: -3.46 % Date: 3/31/2018
Return: 2.84 % Date: 2/28/2018
Return: 3.37 % Date: 1/31/2018
Return: -1.00 % Date: 12/31/2017
Return: -0.18 % Date: 11/30/2017
Return: 0.27 % Date: 10/31/2017
Return: -0.18 % Date: 9/30/2017
Return: -4.30 % Date: 8/31/2017
Return: 3.73 % Date: 7/31/2017
Return: -0.22 % Date: 6/30/2017
Return: 0.06 % Date: 5/31/2017
Return: 0.23 % Date: 4/30/2017
Return: 0.34 % Date: 3/31/2017
Return: -2.70 % Date: 2/28/2017
Return: 0.92 % Date: 1/31/2017
Return: 1.87 % Date: 12/31/2016
Return: 2.77 % Date: 11/30/2016
Return: -2.37 % Date: 10/31/2016
Return: -5.12 % Date: 9/30/2016
Return: 1.60 % Date: 8/31/2016
Return: -0.51 % Date: 7/31/2016
Return: 0.80 % Date: 6/30/2016
Return: 8.38 % Date: 5/31/2016
Return: 1.80 % Date: 4/30/2016
Return: -2.82 % Date: 3/31/2016
Return: 1.56 % Date: 2/29/2016
Return: 3.99 % Date: 1/31/2016
Return: 1.24 % Date: 12/31/2015
Return: 0.00 %

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 12/15 - 10/19
Return: 6.00 %
Count: 1 Return: 5.00 %
Count: 1 Return: -4.00 %
Count: 3 Return: 3.00 %
Count: 6 Return: -2.00 %
Count: 3 Return: -5.00 %
Count: 1 Return: -1.00 %
Count: 5 Return: 8.00 %
Count: 2 Return: -3.00 %
Count: 3 Return: 2.00 %
Count: 5 Return: 4.00 %
Count: 2 Return: 1.00 %
Count: 6 Return: 0.00 %
Count: 9

Note: All performance data is since program inception.

Underwater Curve

Date Range: 12/15 - 10/19
Date: 10/31/2019
Drawdown: -1.30 % Date: 9/30/2019
Drawdown: 0.00 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: 0.00 % Date: 6/30/2019
Drawdown: 0.00 % Date: 5/31/2019
Drawdown: -1.07 % Date: 4/30/2019
Drawdown: -2.31 % Date: 3/31/2019
Drawdown: -1.29 % Date: 2/28/2019
Drawdown: -6.91 % Date: 1/31/2019
Drawdown: -6.03 % Date: 12/31/2018
Drawdown: -8.96 % Date: 11/30/2018
Drawdown: -5.23 % Date: 10/31/2018
Drawdown: -5.97 % Date: 9/30/2018
Drawdown: -1.71 % Date: 8/31/2018
Drawdown: 0.00 % Date: 7/31/2018
Drawdown: -1.20 % Date: 6/30/2018
Drawdown: -2.02 % Date: 5/31/2018
Drawdown: 0.00 % Date: 4/30/2018
Drawdown: -3.65 % Date: 3/31/2018
Drawdown: -0.20 % Date: 2/28/2018
Drawdown: -2.95 % Date: 1/31/2018
Drawdown: -6.12 % Date: 12/31/2017
Drawdown: -5.17 % Date: 11/30/2017
Drawdown: -5.00 % Date: 10/31/2017
Drawdown: -5.25 % Date: 9/30/2017
Drawdown: -5.08 % Date: 8/31/2017
Drawdown: -0.82 % Date: 7/31/2017
Drawdown: -4.38 % Date: 6/30/2017
Drawdown: -4.17 % Date: 5/31/2017
Drawdown: -4.23 % Date: 4/30/2017
Drawdown: -4.45 % Date: 3/31/2017
Drawdown: -4.77 % Date: 2/28/2017
Drawdown: -2.13 % Date: 1/31/2017
Drawdown: -3.02 % Date: 12/31/2016
Drawdown: -4.80 % Date: 11/30/2016
Drawdown: -7.37 % Date: 10/31/2016
Drawdown: -5.12 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: -0.51 % Date: 7/31/2016
Drawdown: 0.00 % Date: 6/30/2016
Drawdown: 0.00 % Date: 5/31/2016
Drawdown: -1.07 % Date: 4/30/2016
Drawdown: -2.82 % Date: 3/31/2016
Drawdown: 0.00 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: 0.00 %

Note: All performance data is since program inception.

Manager Information

Manager Name:  County Cork LLC
Address: 5215 Old Orchard Rd, Suite 630
City: Skokie
State: IL
Zip: 60077
Country: United States

Key People

Name:  Robert J. O'Brien Jr.
Position:  Principal
Biography: 

Robert J. O’Brien, Jr.is County Cork LLC’s Chairman and CEO and the Manager of County Cork Asset Management LLC (“CCAM”), an affiliate of County Cork LLC. Mr. O’Brien has been registered as an Associated Person with County Cork LLC since May8, 2002. Mr. O’Brien is one of County Cork LLC’s trading principals and is primarily responsible for review and acceptance of trading-related decisions, including money management, portfolio selection, and halt trading decisions.


Name:  Thomas Senft
Position:  Principal
Biography: 

Thomas W. Senft is the Chief Operating Officer of County Cork LLC since August, 2011. Mr. Senft is responsible for the CTA’s operations and risk management.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Investment Methodology
 Technical Yes 
 Trend Following Yes 
 Systematic Yes 
 Mean-reversion Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 United States Yes 
 Europe Yes 
 Holding Period
 Long Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $3,000,000 
 Margin / Equity Ratio: 5% 
 Managed Account Availability: Open 
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