Molinero Capital Management LLP : Global Markets Program

Year-to-Date
16.08%
Oct Performance
-6.46%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
12.33%
Sharpe (RFR=1%)
0.37
CAROR
4.94%
Assets
$ 30.0M
Worst DD
-23.48
S&P Correlation
-0.10

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2005
Global Markets Program -6.46 -12.42 -16.08 -14.44 9.45 3.31 41.72 72.66
S&P 500 -1.94 -2.18 4.02 2.25 21.04 69.63 54.27 72.24
+/- S&P 500 -4.52 -10.24 -20.11 -16.69 -11.59 -66.32 -12.56 0.42

Strategy Description

Summary

RAFAEL MOLINERO, CEO & Founder of Molinero Capital Management LLP, has more than 10 years of experience in the hedge fund and financial industry. He was previously a Proprietary Portfolio Manager as well as the Risk Manager for five years at Rotella Capital Management, a CTA with up... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$2.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Interest Rates
25.00%
Stock Indices
25.00%
Currency FX
12.00%
Currency Futures
12.00%
Energy
8.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Grains
4.00%
Softs
4.00%
Composition Pie Chart

Summary

RAFAEL MOLINERO, CEO & Founder of Molinero Capital Management LLP, has more than 10 years of experience in the hedge fund and financial industry. He was previously a Proprietary Portfolio Manager as well as the Risk Manager for five years at Rotella Capital Management, a CTA with up to $1.5 billion under management. He traded up to $15 million of proprietary capital using quantitative models he developed. He also managed a team of researchers to study new trading and portfolio allocation strategies using advanced mathematical concepts. Under his Risk Management role, he created the Risk Department and built a proprietary risk analysis platform. Prior to his role at Rotella, he was a Front Office Manager for the Structured Products & Alternative Asset Management Group at Calyon Financial, where he participated in the creation of the Structured Products department and designed hedge funds structured products for clients (such as capital guaranteed products and leverage return swaps). He was also in charge of managing a portfolio of CTAs and hedge funds in the Fund of Funds segment of the department. Rafael Molinero holds an MBA with High Honors (top 1%) from the University of Chicago and has a diploma from ENSIMAG, one of France's top universities (equivalent to a Masters in Applied Mathematics).

Investment Strategy

The MOLINERO CAPITAL MANAGEMENT trading strategy is purely quantitative and employs mathematical and physics concepts such as digital signal processing, cyclical analysis, and noise reduction techniques. The models are adaptive in nature and evaluate the highest probability market move as well as the frequency at which the market is evolving and adjusts the trade duration accordingly. Thorough risk management techniques are applied such as adaptive stop loss orders which tighten in tough market conditions thereby reducing downside risk. The strategy trades a diversified basket of commodities, currencies, equities and interest rate futures and forwards markets.

Risk Management

Risk management is applied in order to control volatility, downside volatility, and drawdowns. All trading models have built-in stop losses which are adjusted daily. Our proprietary risk platform analyzes risk at each level: portfolio, sectors, markets, and trading models. Each day we analyze VaR, evaluate potential concentrations, analyze PL/VaR for consistency, stress test portfolio correlations, and evaluate distances to stop losses.Using a proprietary real-time analysis platform we monitor real-time P&L and positions, distance to stop loss levels, and fills/slippage.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-23.48 8 - 2/1/2016 10/1/2016
-23.05 12 32 4/1/2011 4/1/2012
-15.39 12 14 2/1/2009 2/1/2010
-10.71 3 8 3/1/2015 6/1/2015
-5.87 3 3 4/1/2006 7/1/2006
-5.68 2 2 6/1/2007 8/1/2007
-5.46 2 6 2/1/2008 4/1/2008
-3.68 1 2 9/1/2005 10/1/2005
-2.55 2 1 1/1/2007 3/1/2007
-1.88 2 2 10/1/2007 12/1/2007
-0.58 1 1 7/1/2005 8/1/2005
-0.25 1 1 1/1/2006 2/1/2006
-0.23 1 1 11/1/2008 12/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
43.70 11 5/1/2014 3/1/2015
20.63 6 8/1/2006 1/1/2007
12.90 3 4/1/2007 6/1/2007
10.70 4 7/1/2010 10/1/2010
10.58 2 9/1/2007 10/1/2007
10.27 4 11/1/2012 2/1/2013
9.69 3 9/1/2008 11/1/2008
9.66 2 1/1/2016 2/1/2016
8.60 2 3/1/2006 4/1/2006
8.59 1 5/1/2012 5/1/2012
8.41 3 11/1/2005 1/1/2006
6.46 2 1/1/2008 2/1/2008
6.29 2 3/1/2010 4/1/2010
6.23 1 7/1/2015 7/1/2015
6.07 3 10/1/2013 12/1/2013
5.28 1 4/1/2013 4/1/2013
5.26 1 9/1/2005 9/1/2005
5.17 2 1/1/2009 2/1/2009
5.12 1 11/1/2015 11/1/2015
4.73 1 4/1/2011 4/1/2011
4.47 1 12/1/2010 12/1/2010
4.24 3 5/1/2008 7/1/2008
4.06 1 9/1/2012 9/1/2012
3.41 1 2/1/2011 2/1/2011
2.71 1 7/1/2011 7/1/2011
2.37 1 7/1/2005 7/1/2005
2.33 1 11/1/2009 11/1/2009
2.18 1 9/1/2015 9/1/2015
2.05 1 7/1/2012 7/1/2012
1.79 1 5/1/2015 5/1/2015
1.77 1 6/1/2016 6/1/2016
1.75 2 8/1/2009 9/1/2009
0.53 1 2/1/2014 2/1/2014
0.34 1 12/1/2011 12/1/2011
0.30 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.52 4 7/1/2016 10/1/2016
-13.06 3 3/1/2016 5/1/2016
-12.27 5 3/1/2009 7/1/2009
-10.86 4 1/1/2012 4/1/2012
-10.33 4 8/1/2011 11/1/2011
-9.36 5 5/1/2013 9/1/2013
-6.60 1 6/1/2015 6/1/2015
-6.59 2 5/1/2011 6/1/2011
-6.56 3 12/1/2009 2/1/2010
-6.45 1 6/1/2012 6/1/2012
-6.08 1 4/1/2015 4/1/2015
-5.69 2 5/1/2010 6/1/2010
-5.68 2 7/1/2007 8/1/2007
-5.46 2 3/1/2008 4/1/2008
-5.43 1 10/1/2015 10/1/2015
-4.25 1 1/1/2014 1/1/2014
-3.68 1 10/1/2005 10/1/2005
-3.36 1 5/1/2006 5/1/2006
-3.26 1 10/1/2012 10/1/2012
-3.01 1 12/1/2015 12/1/2015
-2.94 1 8/1/2012 8/1/2012
-2.89 1 7/1/2006 7/1/2006
-2.55 2 2/1/2007 3/1/2007
-1.90 1 8/1/2008 8/1/2008
-1.88 2 11/1/2007 12/1/2007
-1.57 2 3/1/2014 4/1/2014
-1.42 1 11/1/2010 11/1/2010
-1.36 1 3/1/2013 3/1/2013
-0.88 1 10/1/2009 10/1/2009
-0.84 1 3/1/2011 3/1/2011
-0.65 1 1/1/2011 1/1/2011
-0.58 1 8/1/2005 8/1/2005
-0.47 1 8/1/2015 8/1/2015
-0.25 1 2/1/2006 2/1/2006
-0.23 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods136.00134.00131.00125.00119.00113.00101.0089.0077.00
Percent Profitable53.6858.9661.0766.4072.2771.6870.3065.1775.32
Average Period Return0.461.533.286.9810.8013.8316.4017.1119.00
Average Gain3.135.719.0314.5618.5422.0227.3529.1327.17
Average Loss-2.62-4.47-5.73-7.99-9.36-6.91-9.52-5.37-5.94
Best Period11.3927.4438.0441.7344.4253.0364.5862.8367.00
Worst Period-6.60-13.06-16.09-23.05-22.06-14.36-18.70-13.84-14.79
Standard Deviation3.566.599.9613.9817.4918.8623.1221.0623.68
Gain Standard Deviation2.324.808.0110.2713.8615.8118.5515.9521.62
Loss Standard Deviation1.813.394.545.856.134.464.944.043.98
Sharpe Ratio (1%)0.110.190.280.430.530.630.580.620.59
Average Gain / Average Loss1.191.281.571.821.983.192.875.424.57
Profit / Loss Ratio1.381.842.473.605.168.066.8010.1413.96
Downside Deviation (10%)2.404.245.878.309.769.9714.7016.9920.82
Downside Deviation (5%)2.213.714.806.206.555.307.346.065.92
Downside Deviation (0%)2.163.584.555.725.864.365.823.943.52
Sortino Ratio (10%)0.020.070.140.240.330.360.04-0.26-0.41
Sortino Ratio (5%)0.170.350.580.961.422.231.822.152.35
Sortino Ratio (0%)0.210.430.721.221.843.172.824.345.39

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 7 4.11 2/2009
Diversified Trader Index Month 8 4.11 2/2009

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.