RCMA Capital LLP : Merchant Commodity Fund

Year-to-Date: 11.43%
Feb Performance: 8.50%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 20.80%
Sharpe (RFR=1%): 0.65
CAROR: 13.16%

Assets: $ 137.0M
Worst DD: -36.75
S&P Correlation: -0.11

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Growth of 1,000 - VAMI

Monthly Performance

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	Feb	Qtr	YTD	1yr	3yr	5yr	10yr	Since 6/2004
Merchant Commodity Fund	8.50	13.07	11.43	28.89	21.09	17.51	90.47	600.74
S&P 500	-8.41	-5.95	-8.56	6.09	23.71	38.95	164.71	156.27
+/- S&P 500	16.91	19.01	19.99	22.80	-2.62	-21.44	-74.23	444.47

Strategy Description

Summary

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%

Composition

Energy: 60.00%
Other: 21.00%
Softs: 19.00%

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

Compare to:

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Index: Chart Type:

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:

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Skewness:
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Reward
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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
-13.12	7	-	4/1/2019	11/1/2019
-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

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
13.07	3	12/1/2019	2/1/2020
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
4.90	1	9/1/2019	9/1/2019
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

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
-7.08	2	10/1/2019	11/1/2019
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	189.00	187.00	184.00	178.00	172.00	166.00	154.00	142.00	130.00
Percent Profitable	56.61	61.50	66.85	74.16	74.42	74.10	78.57	87.32	97.69
Average Period Return	1.21	3.65	7.46	15.41	23.92	32.43	49.90	65.86	79.73
Average Gain	5.17	10.18	15.87	24.69	36.21	47.74	66.60	76.45	81.72
Average Loss	-4.05	-6.79	-9.50	-11.22	-11.84	-11.36	-11.36	-7.11	-4.64
Best Period	20.20	42.79	68.49	69.58	117.44	141.28	265.53	274.15	290.58
Worst Period	-16.30	-26.05	-31.20	-32.72	-33.33	-35.20	-24.98	-14.55	-12.54
Standard Deviation	6.00	11.15	16.66	21.93	30.44	40.16	59.94	72.40	76.59
Gain Standard Deviation	4.36	8.48	13.03	17.01	25.08	35.17	57.07	71.51	76.37
Loss Standard Deviation	3.31	5.54	8.01	8.51	8.25	9.62	6.02	4.23	6.84
Sharpe Ratio (1%)	0.19	0.30	0.42	0.66	0.74	0.76	0.78	0.85	0.97
Average Gain / Average Loss	1.28	1.50	1.67	2.20	3.06	4.20	5.86	10.75	17.63
Profit / Loss Ratio	1.71	2.40	3.37	6.31	8.90	12.02	21.49	74.06	746.18
Downside Deviation (10%)	3.60	6.04	8.28	9.31	10.72	12.20	13.47	11.36	8.86
Downside Deviation (5%)	3.44	5.54	7.35	7.54	7.91	8.35	7.21	4.26	1.78
Downside Deviation (0%)	3.39	5.42	7.13	7.13	7.27	7.54	5.93	2.92	1.10
Sortino Ratio (10%)	0.22	0.40	0.60	1.12	1.52	1.82	2.53	3.90	5.88
Sortino Ratio (5%)	0.33	0.61	0.95	1.91	2.83	3.64	6.50	14.49	41.82
Sortino Ratio (0%)	0.36	0.67	1.05	2.16	3.29	4.30	8.41	22.52	72.28

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Discretionary Trader Index	Month	6	2.70	1/2020
IASG CTA Index	Month	7	4.90	9/2019
Discretionary Trader Index	Month	4	4.90	9/2019
IASG CTA Index	Month	6	4.90	9/2019
Discretionary Trader Index	Month	3	4.90	9/2019
Discretionary Trader Index	Month	1	13.50	4/2019
IASG CTA 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.

^#6

Top Performer

DISCRETIONARY TRADER INDEX

JANUARY
2020

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Merchant Commodity Fund	13.16%

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RCMA Capital LLP : Merchant Commodity Fund

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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