RCUBE ASSET MANAGEMENT : Commodity Spread Program

Year-to-Date
8.72%
Feb Performance
6.46%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.49%
Sharpe (RFR=1%)
1.40
CAROR
11.80%
Assets
$ 12.0M
Worst DD
-6.62
S&P Correlation
-0.02

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Commodity Spread Program 6.46 8.17 8.72 29.65 44.29 77.13 - 93.79
S&P 500 2.97 0.88 11.08 2.60 42.65 48.24 - 114.29
+/- S&P 500 3.49 7.29 -2.36 27.04 1.64 28.90 - -20.50

Strategy Description

Summary

RCube Commodity Spread Program (RCSP) alpha is generated by its unique approach using quantitative and qualitative analysis to select uncorrelated spreads in agricultural markets.
RCSP trades agricultural calendar, cross products and location spreads with a global reach (CBOT,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
9000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
20.00%
1-30 Days
70.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-purchasing
1.00%
Spreading/hedging
99.00%
Strategy Pie Chart

Composition

Grains
50.00%
Livestock
25.00%
Softs
25.00%
Composition Pie Chart

Summary

RCube Commodity Spread Program (RCSP) alpha is generated by its unique approach using quantitative and qualitative analysis to select uncorrelated spreads in agricultural markets.
RCSP trades agricultural calendar, cross products and location spreads with a global reach (CBOT, CME, ICE, Euronext, Kuala Lumpur, Winnipeg etc.). Firstly, we select the spreads with the strongest statistical signal from our modelisation based on advanced statistics and a large database containing futures prices, cash prices, CFTC, USDA, FX, exports etc. Secondly, within this selection, we use our fundamental knowledge and cash contacts to make a qualitative selection. Lastly, RCSP builds a portfolio containing around 10 uncorrelated of the selected spreads. The portfolio targets a 7.5 % volatility and risk by spread is limited.

DISCLAIMER: RETURNS PRIOR MARCH 2017 ARE PROPRIETARY AND ASSUMES THAT THE ACCOUNT WAS TRADED AT A 4X CASH TRADE LEVEL. RETURNS SNCE MARCH 2017 ARE CLIENTS ACCOUNTS.

The Annual ROR performance has been calculated by adding each monthly return.

Risk Management

RCSP targets a 7.5% volatility with a highly diversified portfolio of 10 uncorrelated spreads. We limit the loss by trade at 1.5% of the AUM. From 2011, realized volatility has been 7.31%/year, historical daily VaR at 99% was -1.53% and maximum drawdown was -6.61%.

   

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
-6.62 2 5 4/1/2016 6/1/2016
-5.92 13 4 6/1/2013 7/1/2014
-4.41 4 1 3/1/2012 7/1/2012
-4.19 3 3 1/1/2018 4/1/2018
-3.36 3 1 5/1/2011 8/1/2011
-2.62 6 1 11/1/2016 5/1/2017
-1.51 1 1 3/1/2015 4/1/2015
-1.32 1 1 9/1/2015 10/1/2015
-1.16 1 2 1/1/2016 2/1/2016
-1.15 1 1 9/1/2017 10/1/2017
-0.80 1 1 9/1/2011 10/1/2011
-0.64 1 1 11/1/2018 12/1/2018
-0.04 1 1 1/1/0001 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
29.17 11 8/1/2012 6/1/2013
23.42 7 5/1/2018 11/1/2018
16.51 8 8/1/2014 3/1/2015
12.35 5 5/1/2015 9/1/2015
8.87 2 1/1/2019 2/1/2019
7.16 5 11/1/2011 3/1/2012
6.96 3 11/1/2017 1/1/2018
6.61 4 2/1/2011 5/1/2011
6.28 4 6/1/2017 9/1/2017
5.75 1 7/1/2016 7/1/2016
4.28 1 9/1/2011 9/1/2011
3.37 3 11/1/2015 1/1/2016
3.12 1 11/1/2016 11/1/2016
2.32 2 3/1/2016 4/1/2016
1.59 2 1/1/2014 2/1/2014
1.54 1 6/1/2014 6/1/2014
1.20 1 7/1/2011 7/1/2011
1.08 1 2/1/2017 2/1/2017
0.78 1 3/1/2018 3/1/2018
0.70 1 9/1/2016 9/1/2016
0.60 1 5/1/2012 5/1/2012
0.39 1 8/1/2013 8/1/2013
0.18 1 11/1/2013 11/1/2013
0.14 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.62 2 5/1/2016 6/1/2016
-4.64 3 3/1/2014 5/1/2014
-3.82 2 6/1/2012 7/1/2012
-3.64 1 4/1/2018 4/1/2018
-2.65 1 8/1/2011 8/1/2011
-2.46 1 7/1/2014 7/1/2014
-2.29 1 5/1/2017 5/1/2017
-1.91 1 6/1/2011 6/1/2011
-1.86 1 7/1/2013 7/1/2013
-1.71 1 10/1/2016 10/1/2016
-1.51 1 4/1/2015 4/1/2015
-1.34 1 2/1/2018 2/1/2018
-1.32 1 10/1/2015 10/1/2015
-1.32 2 12/1/2016 1/1/2017
-1.21 1 4/1/2012 4/1/2012
-1.16 1 2/1/2016 2/1/2016
-1.15 1 10/1/2017 10/1/2017
-0.80 1 10/1/2011 10/1/2011
-0.64 1 12/1/2018 12/1/2018
-0.54 2 9/1/2013 10/1/2013
-0.23 1 3/1/2017 3/1/2017
-0.11 1 12/1/2013 12/1/2013
-0.04 1 1/1/2011 1/1/2011
-0.03 1 8/1/2016 8/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods98.0096.0093.0087.0081.0075.0063.0051.0039.00
Percent Profitable69.3975.0083.8793.1097.53100.00100.00100.00100.00
Average Period Return0.962.044.037.8111.5915.4922.5732.7240.59
Average Gain2.013.195.158.5411.8915.4922.5732.7240.59
Average Loss-1.44-1.41-1.81-2.10-0.40
Best Period6.4610.1916.2023.5826.3529.8638.3848.7457.10
Worst Period-4.91-3.66-4.12-3.32-0.753.8812.0716.9023.20
Standard Deviation2.162.834.326.087.056.886.138.619.10
Gain Standard Deviation1.562.203.755.636.876.886.138.619.10
Loss Standard Deviation1.211.221.271.390.50
Sharpe Ratio (1%)0.400.630.821.121.431.963.193.333.90
Average Gain / Average Loss1.402.262.854.0729.60
Profit / Loss Ratio3.176.7814.8054.981169.30
Downside Deviation (10%)1.221.471.912.392.561.760.610.881.04
Downside Deviation (5%)1.071.021.050.880.32
Downside Deviation (0%)1.030.930.880.640.08
Sortino Ratio (10%)0.450.550.821.171.562.9811.2112.6212.45
Sortino Ratio (5%)0.821.753.367.7231.33
Sortino Ratio (0%)0.932.204.5912.13138.30

Top Performer Badges

Index Award Type Rank Performance Period

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