RCMA Capital LLP : Merchant Commodity Fund

Year-to-Date
7.33%
Aug Performance
-1.00%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.96%
Sharpe (RFR=1%)
0.64
CAROR
12.90%
Assets
$ 132.0M
Worst DD
-36.75
S&P Correlation
-0.09

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
6/2004
Merchant Commodity Fund -1.00 -7.58 7.33 18.76 10.56 52.35 66.12 535.83
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 153.87
+/- S&P 500 0.81 -13.91 -9.40 17.91 -22.87 7.75 -117.65 381.96

Strategy Description

Summary

Commodity focused global macro fund which employs a discretionary, fundamental approach combining bottom-up analysis and macro inputs.

Detailed supply and demand analysis utilizing extensive real time insight into the physical commodity markets.

Not long-biased.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
11%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
33.00%
1-3 Months
34.00%
1-30 Days
33.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Energy
60.00%
Other
21.00%
Softs
19.00%
Composition Pie Chart

Summary

Commodity focused global macro fund which employs a discretionary, fundamental approach combining bottom-up analysis and macro inputs.

Detailed supply and demand analysis utilizing extensive real time insight into the physical commodity markets.

Not long-biased. The strategy can and does run net short when conditions dictate.

Relative value trades are based on real physical linkages between commodities.

Position limits established per commodity, contract and instrument to ensure a highly liquid portfolio.

Investment Strategy

The fund employs a fundamental approach to commodity markets, seeking to profit from the identification of how price relationships across time curves, between geographies and between qualities and grades of various commodities will evolve over time.

The fund trades exchange-cleared derivatives (futures, options and swaps) and expresses both directional and relative value views with a focus on energy, agriculture, soft commodities, industrials and freight.

The investment team combines deep supply and demand analysis with signals generated from the physical commodity markets, including information flows from the RCMA Group, a physical commodities trading and supply chain management firm which is majority owned by the shareholders of RCMA Asset Management.

Risk Management

Four Key Elements:
1. A Parametric VaR model (20 day correlation, 21.5% volatility at 95% confidence)

2. A daily stress test and a stress limit of 7.5% of AUM

3. Profit and loss determined Management Action Triggers (MATs) which drives the de-risking process. MATs precipitate discussion on how to handle budget drawdowns. e.g. reduce a position, change a position, liquidate a trade, institute a hard stop. Extra analytical time is spent on extreme value movements (e.g. tail risk) via historical VaR, stress testing and scenario analysis.

4. Peak to trough de-risking triggers at -5% year-to-date or from high watermark and at -10% year-to-date from high watermark

   

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=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
-36.75 10 38 12/1/2010 10/1/2011
-26.05 3 6 1/1/2010 4/1/2010
-23.23 6 6 2/1/2008 8/1/2008
-22.35 9 42 1/1/2015 10/1/2015
-10.87 4 - 4/1/2019 8/1/2019
-10.16 3 2 8/1/2009 11/1/2009
-8.59 1 2 2/1/2009 3/1/2009
-7.81 6 3 9/1/2004 3/1/2005
-6.88 2 1 5/1/2009 7/1/2009
-4.60 1 1 10/1/2010 11/1/2010
-3.78 2 1 6/1/2007 8/1/2007
-3.48 2 2 6/1/2006 8/1/2006
-2.20 1 1 9/1/2007 10/1/2007
-1.40 1 1 1/1/2006 2/1/2006
-0.80 1 1 3/1/2007 4/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
54.57 10 4/1/2005 1/1/2006
48.91 6 5/1/2010 10/1/2010
45.02 4 11/1/2007 2/1/2008
42.79 3 11/1/2014 1/1/2015
38.29 7 9/1/2006 3/1/2007
31.21 2 3/1/2019 4/1/2019
26.91 4 9/1/2008 12/1/2008
26.01 7 12/1/2012 6/1/2013
25.25 4 11/1/2013 2/1/2014
24.51 3 7/1/2014 9/1/2014
19.06 2 12/1/2009 1/1/2010
16.10 1 10/1/2018 10/1/2018
15.98 3 2/1/2012 4/1/2012
14.96 4 3/1/2006 6/1/2006
13.74 2 2/1/2016 3/1/2016
11.50 1 12/1/2010 12/1/2010
11.06 2 4/1/2009 5/1/2009
10.88 2 11/1/2011 12/1/2011
9.51 2 11/1/2015 12/1/2015
9.20 1 9/1/2007 9/1/2007
8.59 2 12/1/2016 1/1/2017
8.30 1 6/1/2008 6/1/2008
7.88 1 8/1/2009 8/1/2009
7.51 2 8/1/2004 9/1/2004
6.35 2 5/1/2007 6/1/2007
6.12 3 4/1/2018 6/1/2018
5.31 1 2/1/2009 2/1/2009
5.30 1 3/1/2015 3/1/2015
5.26 2 7/1/2012 8/1/2012
4.46 2 10/1/2017 11/1/2017
4.40 1 7/1/2015 7/1/2015
3.50 1 4/1/2014 4/1/2014
2.50 1 12/1/2018 12/1/2018
2.30 1 12/1/2004 12/1/2004
1.26 1 3/1/2017 3/1/2017
1.20 1 7/1/2017 7/1/2017
1.10 1 1/1/2018 1/1/2018
0.90 1 10/1/2012 10/1/2012
0.70 2 9/1/2016 10/1/2016
0.60 1 6/1/2004 6/1/2004
0.40 1 8/1/2018 8/1/2018
0.40 1 5/1/2015 5/1/2015
0.30 1 6/1/2016 6/1/2016
0.10 1 4/1/2008 4/1/2008
0.10 1 9/1/2013 9/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.75 10 1/1/2011 10/1/2011
-26.05 3 2/1/2010 4/1/2010
-16.30 1 3/1/2008 3/1/2008
-14.44 2 5/1/2012 6/1/2012
-14.28 2 7/1/2008 8/1/2008
-11.94 3 8/1/2015 10/1/2015
-11.27 3 4/1/2017 6/1/2017
-10.87 4 5/1/2019 8/1/2019
-10.16 3 9/1/2009 11/1/2009
-9.80 1 4/1/2015 4/1/2015
-8.59 1 3/1/2009 3/1/2009
-8.50 1 2/1/2015 2/1/2015
-8.22 2 1/1/2019 2/1/2019
-8.08 2 5/1/2014 6/1/2014
-8.00 1 9/1/2012 9/1/2012
-7.46 2 7/1/2013 8/1/2013
-6.88 2 6/1/2009 7/1/2009
-6.10 1 2/1/2017 2/1/2017
-6.10 1 3/1/2014 3/1/2014
-5.60 1 11/1/2018 11/1/2018
-5.08 2 10/1/2004 11/1/2004
-5.06 3 1/1/2005 3/1/2005
-4.80 2 7/1/2016 8/1/2016
-4.60 1 10/1/2013 10/1/2013
-4.60 1 11/1/2010 11/1/2010
-4.20 1 1/1/2012 1/1/2012
-3.90 1 10/1/2014 10/1/2014
-3.78 2 7/1/2007 8/1/2007
-3.48 2 2/1/2018 3/1/2018
-3.48 2 7/1/2006 8/1/2006
-3.30 1 1/1/2016 1/1/2016
-3.20 1 7/1/2018 7/1/2018
-3.20 1 6/1/2015 6/1/2015
-2.85 2 8/1/2017 9/1/2017
-2.20 1 10/1/2007 10/1/2007
-2.00 1 11/1/2016 11/1/2016
-2.00 1 11/1/2012 11/1/2012
-1.50 1 9/1/2018 9/1/2018
-1.40 1 2/1/2006 2/1/2006
-1.30 1 5/1/2008 5/1/2008
-1.20 2 4/1/2016 5/1/2016
-0.80 1 4/1/2007 4/1/2007
-0.37 1 12/1/2017 12/1/2017
-0.24 1 1/1/2009 1/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods183.00181.00178.00172.00166.00160.00148.00136.00124.00
Percent Profitable56.2861.3367.4273.2673.4973.1377.7086.7698.39
Average Period Return1.193.727.7515.4423.9932.7651.4767.7982.48
Average Gain5.2010.4016.1325.1736.9248.9869.5079.2283.94
Average Loss-4.06-6.86-9.60-11.22-11.84-11.36-11.36-7.11-6.50
Best Period20.2042.7968.4969.58117.44141.28265.53274.15290.58
Worst Period-16.30-26.05-31.20-32.72-33.33-35.20-24.98-14.55-12.54
Standard Deviation6.0511.2816.8122.2430.9640.8560.6173.3777.30
Gain Standard Deviation4.428.4913.0817.1425.4535.6057.0672.2177.07
Loss Standard Deviation3.355.608.188.518.259.626.024.238.53
Sharpe Ratio (1%)0.180.310.430.650.730.750.800.871.00
Average Gain / Average Loss1.281.521.682.243.124.316.1211.1412.91
Profit / Loss Ratio1.692.403.486.148.6511.7321.3173.02787.46
Downside Deviation (10%)3.646.118.319.4810.9212.4213.6711.588.50
Downside Deviation (5%)3.475.617.397.678.058.517.364.361.75
Downside Deviation (0%)3.435.497.177.257.407.686.052.991.13
Sortino Ratio (10%)0.220.410.641.101.501.812.613.996.45
Sortino Ratio (5%)0.320.620.981.882.793.616.5814.6344.32
Sortino Ratio (0%)0.350.681.082.133.244.278.5022.6973.22

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 13.50 4/2019
Discretionary Trader Index Month 1 13.50 4/2019
IASG CTA Index Month 1 13.50 4/2019
Discretionary Trader Index Month 1 13.50 4/2019
Discretionary Trader Index Month 1 15.60 3/2019
IASG CTA Index Month 2 15.60 3/2019
Discretionary Trader Index Month 9 2.50 12/2018
Discretionary Trader Index Month 1 16.10 10/2018
IASG CTA Index Month 1 16.10 10/2018

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