Revolution Capital Management : Mosaic Institutional Program

Year-to-Date
7.65%
Dec Performance
-2.42%
Min Investment
$ 25,000k
Mgmt Fee
0%
Perf Fee
25.00%
Annualized Vol
11.96%
Sharpe (RFR=1%)
-0.41
CAROR
-4.55%
Assets
$ 153.0M
Worst DD
-32.09
S&P Correlation
0.24

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
9/2009
Mosaic Institutional Program -2.42 4.75 -7.65 -7.65 -8.40 -27.39 - -25.52
S&P 500 -1.75 6.45 -0.73 -0.73 43.31 62.49 - 93.33
+/- S&P 500 -0.67 -1.70 -6.92 -6.92 -51.72 -89.88 - -118.84

Strategy Description

Summary

The Mosaic Institutional Program utilizes the same strategies as the Mosaic Program but targets a volatility that is about 0.40x that of Mosaic. This yields an annualized volatility of about 12% for Mosaic Institutional vs. 30% for Mosaic.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
25.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
4200 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
20.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
100.00%
1-30 Days
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Summary

The Mosaic Institutional Program utilizes the same strategies as the Mosaic Program but targets a volatility that is about 0.40x that of Mosaic. This yields an annualized volatility of about 12% for Mosaic Institutional vs. 30% for Mosaic.

Investment Strategy

Short-term, systematic, pattern recognition diversified across all major futures sectors.

   

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

Statistics & Ratios

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
-32.09 59 - 10/1/2010 9/1/2015
-13.32 4 3 9/1/2009 1/1/2010
-4.95 2 3 5/1/2010 7/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
17.97 4 2/1/2010 5/1/2010
9.64 4 3/1/2013 6/1/2013
7.35 2 10/1/2015 11/1/2015
6.30 3 11/1/2013 1/1/2014
6.16 1 9/1/2014 9/1/2014
5.97 2 5/1/2011 6/1/2011
5.86 1 8/1/2013 8/1/2013
5.45 1 10/1/2010 10/1/2010
5.01 2 3/1/2012 4/1/2012
4.36 1 1/1/2015 1/1/2015
3.38 1 10/1/2011 10/1/2011
3.28 1 1/1/2013 1/1/2013
3.13 2 12/1/2010 1/1/2011
2.47 1 8/1/2010 8/1/2010
1.88 1 11/1/2009 11/1/2009
1.54 1 6/1/2012 6/1/2012
1.18 1 11/1/2014 11/1/2014
0.85 1 9/1/2012 9/1/2012
0.75 1 9/1/2009 9/1/2009
0.68 1 6/1/2015 6/1/2015
0.53 1 1/1/2012 1/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.16 2 12/1/2009 1/1/2010
-10.93 7 2/1/2014 8/1/2014
-10.13 4 2/1/2015 5/1/2015
-8.34 3 7/1/2011 9/1/2011
-8.02 2 7/1/2012 8/1/2012
-7.54 1 10/1/2014 10/1/2014
-7.48 1 5/1/2012 5/1/2012
-6.73 3 2/1/2011 4/1/2011
-6.64 3 7/1/2015 9/1/2015
-5.06 3 10/1/2012 12/1/2012
-4.95 2 6/1/2010 7/1/2010
-4.22 2 9/1/2013 10/1/2013
-4.17 1 12/1/2014 12/1/2014
-3.29 1 11/1/2010 11/1/2010
-2.51 1 2/1/2012 2/1/2012
-2.42 1 12/1/2015 12/1/2015
-2.37 2 11/1/2011 12/1/2011
-2.13 1 2/1/2013 2/1/2013
-2.05 1 7/1/2013 7/1/2013
-2.03 1 10/1/2009 10/1/2009
-1.04 1 9/1/2010 9/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods76.0074.0071.0065.0059.0053.0041.0029.00
Percent Profitable43.4237.8438.0333.8525.4211.320.003.45
Average Period Return-0.33-1.04-2.16-4.15-6.32-8.19-12.61-15.30
Average Gain2.794.064.356.676.353.198.94
Average Loss-2.72-4.13-6.16-9.68-10.64-9.64-12.61-16.17
Best Period7.5316.6413.6819.5917.349.93-3.838.94
Worst Period-11.14-12.17-15.00-20.96-23.63-23.67-22.29-27.92
Standard Deviation3.455.196.429.309.698.064.168.78
Gain Standard Deviation1.833.703.755.514.513.76
Loss Standard Deviation2.293.093.954.896.717.284.167.58
Sharpe Ratio (1%)-0.12-0.25-0.41-0.55-0.81-1.26-3.76-2.21
Average Gain / Average Loss1.030.980.710.690.600.330.55
Profit / Loss Ratio0.790.600.430.350.200.040.02
Downside Deviation (10%)2.904.877.4812.6416.8520.0928.6737.85
Downside Deviation (5%)2.714.216.089.5411.9512.9016.1721.18
Downside Deviation (0%)2.664.055.748.8010.8311.3313.2617.49
Sortino Ratio (10%)-0.25-0.46-0.62-0.72-0.83-0.92-0.99-0.97
Sortino Ratio (5%)-0.15-0.30-0.44-0.54-0.65-0.79-0.97-0.91
Sortino Ratio (0%)-0.12-0.26-0.38-0.47-0.58-0.72-0.95-0.88

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 5 5.86 8/2013
Diversified Trader Index Month 5 5.86 8/2013
IASG CTA Index Month 9 5.86 8/2013
Diversified Trader Index Month 9 4.54 6/2011
Systematic Trader Index Month 6 4.54 6/2011
Systematic Trader Index Month 8 7.53 2/2010
Diversified Trader Index Month 8 7.53 2/2010

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