RCMA Capital LLP : Merchant Commodity Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.10% Jan Performance 1.10% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 20.75% Sharpe (RFR=1%) 0.64 CAROR 12.98% Assets $ 139.0M Worst DD -36.75 S&P Correlation -0.16 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since6/2004 Merchant Commodity Fund 1.10 1.59 1.10 18.30 42.06 42.56 61.09 664.01 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 185.82 222.21 +/- S&P 500 2.21 -12.00 2.21 3.14 10.53 -46.93 -124.73 441.81 Strategy Description SummaryCommodity 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% Composition Energy 60.00% Other 21.00% Softs 19.00% SummaryCommodity 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 StrategyThe 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 ManagementFour 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: {{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 -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 4/1/2019 11/1/2019 -10.92 5 - 3/1/2020 8/1/2020 -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 Show More 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 33.53 4 12/1/2019 3/1/2020 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 4.90 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 2.10 1 9/1/2020 9/1/2020 1.60 1 11/1/2020 11/1/2020 1.26 1 3/1/2017 3/1/2017 1.20 1 7/1/2017 7/1/2017 1.10 1 1/1/2021 1/1/2021 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 Show More 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 -10.92 5 4/1/2020 8/1/2020 -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 -1.10 1 12/1/2020 12/1/2020 -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 -0.08 1 10/1/2020 10/1/2020 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods200.00198.00195.00189.00183.00177.00165.00153.00141.00 Percent Profitable55.5061.6266.6775.6675.9675.7180.0088.2497.87 Average Period Return1.203.717.5615.5924.0932.8849.5263.2576.69 Average Gain5.1910.2215.9724.2135.4747.0764.7572.6378.45 Average Loss-3.87-6.74-9.25-11.22-11.84-11.36-11.36-7.11-4.64 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 Deviation5.9911.2316.5121.3329.7039.0057.9270.3774.29 Gain Standard Deviation4.508.7112.8716.4924.5133.8854.9869.7274.10 Loss Standard Deviation3.255.417.848.518.259.626.024.236.84 Sharpe Ratio (1%)0.190.310.430.680.760.790.800.840.96 Average Gain / Average Loss1.341.521.732.163.004.145.7010.2116.92 Profit / Loss Ratio1.712.433.456.719.4612.9122.7976.60778.36 Downside Deviation (10%)3.545.958.139.0410.4011.8113.0210.958.51 Downside Deviation (5%)3.375.467.207.327.678.096.974.111.71 Downside Deviation (0%)3.325.346.986.927.057.305.732.821.06 Sortino Ratio (10%)0.220.420.631.171.591.922.593.815.77 Sortino Ratio (5%)0.330.630.981.992.953.826.6714.4141.77 Sortino Ratio (0%)0.360.691.082.253.424.508.6422.4572.40 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 8 2.10 9/2020 Discretionary Trader Index Month 8 2.10 9/2020 Discretionary Trader Index Month 3 18.10 3/2020 Discretionary Trader Index Month 3 8.50 2/2020 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 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. x {{title}} x {{title}} Add Cancel