Molinero Capital Management LLP : Global Markets Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 8.38% Nov Performance -4.60% Min Investment $ 2,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 12.25% Sharpe (RFR=1%) 0.21 CAROR 2.80% Assets $ 1k Worst DD -34.31 S&P Correlation -0.14 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Nov Qtr 2020 1yr 3yr 5yr 10yr Since7/2005 Global Markets Program -4.60 -4.40 8.38 8.38 -1.95 -16.92 -5.23 53.09 S&P 500 10.75 3.47 12.10 15.30 40.10 72.31 203.60 201.19 +/- S&P 500 -15.35 -7.87 -3.72 -6.92 -42.05 -89.23 -208.83 -148.10 Strategy Description SummaryRAFAEL 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 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 Futures 12.00% Currency FX 12.00% Energy 8.00% Industrial Metals 5.00% Precious Metals 5.00% Grains 4.00% Softs 4.00% SummaryRAFAEL 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 StrategyThe 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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=1%) 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=1%) 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 -34.31 35 - 2/1/2016 1/1/2019 -23.15 12 33 4/1/2011 4/1/2012 -15.66 12 14 2/1/2009 2/1/2010 -10.71 3 8 3/1/2015 6/1/2015 -6.60 3 5 4/1/2006 7/1/2006 -6.36 2 2 6/1/2007 8/1/2007 -5.93 3 5 2/1/2008 5/1/2008 -3.92 1 3 9/1/2005 10/1/2005 -3.09 2 1 1/1/2007 3/1/2007 -2.37 3 1 10/1/2007 1/1/2008 -0.74 1 1 7/1/2005 8/1/2005 -0.57 1 1 1/1/2006 2/1/2006 -0.26 1 1 11/1/2008 12/1/2008 Show More Consecutive Gains Run-up Length (Mos.) Start End 42.28 10 6/1/2014 3/1/2015 17.77 5 9/1/2017 1/1/2018 16.54 4 10/1/2006 1/1/2007 13.01 4 12/1/2019 3/1/2020 12.44 4 2/1/2019 5/1/2019 12.07 3 4/1/2007 6/1/2007 10.74 4 7/1/2010 10/1/2010 10.20 2 9/1/2007 10/1/2007 9.99 4 11/1/2012 2/1/2013 9.63 2 1/1/2016 2/1/2016 9.48 3 9/1/2008 11/1/2008 9.13 2 7/1/2019 8/1/2019 8.58 1 5/1/2012 5/1/2012 8.10 2 3/1/2006 4/1/2006 7.45 3 11/1/2005 1/1/2006 6.27 2 3/1/2010 4/1/2010 6.23 1 7/1/2015 7/1/2015 6.13 1 2/1/2008 2/1/2008 6.03 3 10/1/2013 12/1/2013 5.27 1 4/1/2013 4/1/2013 5.13 2 1/1/2009 2/1/2009 5.12 1 11/1/2015 11/1/2015 5.12 1 9/1/2005 9/1/2005 4.73 1 4/1/2011 4/1/2011 4.50 1 12/1/2010 12/1/2010 4.09 1 9/1/2012 9/1/2012 3.89 3 8/1/2020 10/1/2020 3.86 2 6/1/2008 7/1/2008 3.41 1 2/1/2011 2/1/2011 2.70 1 7/1/2011 7/1/2011 2.48 3 6/1/2018 8/1/2018 2.37 1 7/1/2005 7/1/2005 2.35 1 7/1/2017 7/1/2017 2.32 1 11/1/2009 11/1/2009 2.24 1 8/1/2006 8/1/2006 2.18 1 9/1/2015 9/1/2015 2.18 1 7/1/2012 7/1/2012 2.17 2 1/1/2017 2/1/2017 1.79 1 5/1/2015 5/1/2015 1.77 1 6/1/2016 6/1/2016 1.74 2 8/1/2009 9/1/2009 1.54 1 12/1/2018 12/1/2018 0.52 1 2/1/2014 2/1/2014 0.34 1 12/1/2011 12/1/2011 0.02 1 6/1/2006 6/1/2006 Show More Consecutive Losses Run-up Length (Mos.) Start End -15.07 6 7/1/2016 12/1/2016 -13.06 3 3/1/2016 5/1/2016 -12.94 3 9/1/2019 11/1/2019 -12.47 5 3/1/2009 7/1/2009 -11.88 4 2/1/2018 5/1/2018 -10.88 4 1/1/2012 4/1/2012 -10.36 4 8/1/2011 11/1/2011 -9.42 5 5/1/2013 9/1/2013 -8.06 3 9/1/2018 11/1/2018 -6.95 4 3/1/2017 6/1/2017 -6.92 1 1/1/2019 1/1/2019 -6.66 2 5/1/2011 6/1/2011 -6.60 3 12/1/2009 2/1/2010 -6.60 1 6/1/2015 6/1/2015 -6.60 1 6/1/2012 6/1/2012 -6.36 2 7/1/2007 8/1/2007 -6.08 1 4/1/2015 4/1/2015 -5.93 3 3/1/2008 5/1/2008 -5.71 2 5/1/2010 6/1/2010 -5.43 1 10/1/2015 10/1/2015 -4.60 1 11/1/2020 11/1/2020 -4.26 1 1/1/2014 1/1/2014 -3.92 1 10/1/2005 10/1/2005 -3.60 1 5/1/2006 5/1/2006 -3.27 1 10/1/2012 10/1/2012 -3.13 1 7/1/2006 7/1/2006 -3.09 2 2/1/2007 3/1/2007 -3.01 1 12/1/2015 12/1/2015 -2.98 1 8/1/2012 8/1/2012 -2.80 1 8/1/2017 8/1/2017 -2.37 3 11/1/2007 1/1/2008 -2.25 4 4/1/2020 7/1/2020 -2.06 1 8/1/2008 8/1/2008 -1.59 3 3/1/2014 5/1/2014 -1.51 1 11/1/2010 11/1/2010 -1.37 1 3/1/2013 3/1/2013 -1.36 1 6/1/2019 6/1/2019 -0.89 1 10/1/2009 10/1/2009 -0.85 1 3/1/2011 3/1/2011 -0.74 1 8/1/2005 8/1/2005 -0.66 1 1/1/2011 1/1/2011 -0.57 1 2/1/2006 2/1/2006 -0.47 1 8/1/2015 8/1/2015 -0.33 1 9/1/2006 9/1/2006 -0.26 1 12/1/2008 12/1/2008 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods185.00183.00180.00174.00168.00162.00150.00138.00126.00 Percent Profitable50.8153.5552.2258.6255.3656.7958.0057.9762.70 Average Period Return0.290.931.813.314.755.376.586.458.58 Average Gain3.035.528.5711.8116.1817.5020.2419.2118.75 Average Loss-2.62-4.36-5.58-8.72-9.42-10.58-12.27-11.14-8.50 Best Period11.3827.0637.2940.3143.4343.5652.9548.4552.93 Worst Period-8.95-13.06-16.13-23.22-28.93-24.57-34.26-31.32-25.03 Standard Deviation3.546.389.3413.1316.2917.8620.5819.1018.87 Gain Standard Deviation2.334.537.319.2912.0313.6415.5013.6516.21 Loss Standard Deviation1.993.434.406.887.186.687.838.696.84 Sharpe Ratio (1%)0.060.110.140.180.200.190.170.130.18 Average Gain / Average Loss1.161.261.541.351.721.651.651.722.21 Profit / Loss Ratio1.231.461.681.922.132.172.282.383.71 Downside Deviation (10%)2.504.476.359.9112.4814.7519.5223.3425.92 Downside Deviation (5%)2.313.915.177.648.729.3611.1311.359.33 Downside Deviation (0%)2.273.774.907.127.908.219.419.136.64 Sortino Ratio (10%)-0.05-0.07-0.10-0.17-0.23-0.33-0.47-0.65-0.73 Sortino Ratio (5%)0.090.170.250.300.370.360.320.210.37 Sortino Ratio (0%)0.130.250.370.470.600.650.700.711.29 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. x {{title}} x {{title}} Add Cancel