Molinero Capital Management LLP : Global Markets Program
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Year-to-Date
3.96%
May -3.48%
|
Min. Investment
|
$ 3,000k
|
Inception
|
Jul 2005
|
Assets
|
$ 150.0M
|
|
Mgmt Fee
|
2.00%
|
Sharpe (RFR=1%)
|
0.51
|
Worst DD
|
-23.05
|
|
Perf Fee
|
20.00%
|
CAROR
|
6.38%
|
S&P Correlation
|
-0.09
|
Growth of 1,000 - VAMI
Monthly Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2013 | 2.06 | 1.62 | -1.36 | 5.28 | -3.48 | | | | | | | | 3.96 | -3.48 |
| 2012 | -1.58 | -6.30 | -1.92 | -1.45 | 8.59 | -6.45 | 2.05 | -2.94 | 4.06 | -3.26 | 2.12 | 4.11 | -4.01 | -10.86 |
| 2011 | -0.65 | 3.41 | -0.84 | 4.73 | -3.61 | -3.09 | 2.71 | -1.11 | -2.41 | -4.67 | -2.53 | 0.34 | -7.89 | -13.97 |
| 2010 | -2.90 | -1.58 | 4.86 | 1.36 | -2.69 | -3.08 | 1.65 | 1.97 | 3.80 | 2.89 | -1.42 | 4.47 | 9.21 | -5.69 |
| 2009 | 1.02 | 4.11 | -1.67 | -6.18 | -3.30 | -0.55 | -1.11 | 1.08 | 0.66 | -0.88 | 2.33 | -2.22 | -6.89 | -12.27 |
| 2008 | 0.14 | 6.31 | -0.97 | -4.53 | 0.05 | 3.94 | 0.24 | -1.90 | 0.51 | 4.70 | 4.23 | -0.23 | 12.64 | -5.46 |
| 2007 | 5.07 | -2.11 | -0.45 | 5.00 | 5.48 | 1.94 | -2.85 | -2.91 | 5.30 | 5.01 | -1.78 | -0.10 | 18.31 | -5.68 |
| 2006 | 3.86 | -0.25 | 3.57 | 4.86 | -3.36 | 0.30 | -2.89 | 2.64 | 0.03 | 4.03 | 1.14 | 6.28 | 21.59 | -5.87 |
| 2005 | | | | | | | 2.37 | -0.58 | 5.26 | -3.68 | 3.00 | 1.34 | 7.71 | -3.68 |
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
|
|
May
|
Qtr
|
YTD
|
1yr
|
3yr
|
5yr
|
10yr
|
Since
7/2005
|
|
Global Markets Program
|
-3.48
|
0.23
|
3.96
|
3.10
|
1.56
|
4.54
|
-
|
63.11
|
|
S&P 500
|
2.08
|
7.66
|
14.34
|
24.45
|
49.67
|
16.43
|
-
|
32.11
|
|
+/- S&P 500
|
-5.56
|
-7.43
|
-10.39
|
-21.36
|
-48.11
|
-11.89
|
-
|
31.00
|
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...
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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 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.