Red Rock Capital, LLC : Commodity Long-Short

Year-to-Date: 10.59%
Feb Performance: 8.18%

Min Investment: $ 500k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 16.79%
Sharpe (RFR=1%): 0.46
CAROR: 7.60%

Assets: $ 5.5M
Worst DD: -30.11
S&P Correlation: -0.25

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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 9/2013
Commodity Long-Short	8.18	16.39	10.59	11.98	-6.09	7.56	-	61.02
S&P 500	-8.41	-5.95	-8.56	6.09	23.71	38.95	-	73.90
+/- S&P 500	16.59	22.33	19.15	5.89	-29.80	-31.38	-	-12.87

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 4.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $8.15
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: Daily
Redemption Frequency: Daily
Investor Requirements: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 2230 RT/YR/$M
Avg. Margin-to-Equity: 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Agricultural Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 100.00%
Intraday: 0%

Summary

Inspired by the strategy Red Rock portfolio manager Thomas Rollinger developed with Edward O. Thorp. The Commodity Long/Short Program utilizes a unique, quantitative pattern recognition strategy that is designed to capture long or short directional “volatility bursts” in physical commodity futures (no financials). The patterns are not visible to the naked eye. Positions are generated in both counter-trend and trending environments. The average holding period of a trade is 9 days.

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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.

Compare to:

Index:

Monthly Annual

Reward
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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:
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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
-30.11	38	-	11/1/2015	1/1/2019
-6.08	1	3	3/1/2014	4/1/2014
-5.03	1	2	3/1/2015	4/1/2015
-3.06	1	1	7/1/2014	8/1/2014
-2.50	1	1	9/1/2015	10/1/2015
-2.09	1	1	1/1/2015	2/1/2015
-1.66	1	1	9/1/2014	10/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
20.96	5	5/1/2015	9/1/2015
20.37	7	9/1/2013	3/1/2014
17.07	1	9/1/2014	9/1/2014
16.39	3	12/1/2019	2/1/2020
15.42	4	6/1/2018	9/1/2018
14.50	1	11/1/2015	11/1/2015
12.35	3	11/1/2014	1/1/2015
9.63	2	4/1/2019	5/1/2019
9.45	2	6/1/2016	7/1/2016
7.87	3	5/1/2014	7/1/2014
7.32	1	8/1/2017	8/1/2017
6.81	2	12/1/2017	1/1/2018
4.65	1	6/1/2017	6/1/2017
4.38	1	8/1/2019	8/1/2019
4.29	1	2/1/2019	2/1/2019
3.18	1	3/1/2018	3/1/2018
2.76	1	3/1/2015	3/1/2015
2.33	3	9/1/2016	11/1/2016
1.31	1	10/1/2017	10/1/2017

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-17.00	4	10/1/2018	1/1/2019
-15.83	6	12/1/2015	5/1/2016
-11.92	6	12/1/2016	5/1/2017
-10.27	2	4/1/2018	5/1/2018
-10.06	3	9/1/2019	11/1/2019
-7.88	1	11/1/2017	11/1/2017
-7.67	1	7/1/2017	7/1/2017
-6.14	1	9/1/2017	9/1/2017
-6.08	1	4/1/2014	4/1/2014
-5.03	1	4/1/2015	4/1/2015
-3.56	2	6/1/2019	7/1/2019
-3.07	1	3/1/2019	3/1/2019
-3.06	1	8/1/2014	8/1/2014
-2.50	1	10/1/2015	10/1/2015
-2.09	1	2/1/2015	2/1/2015
-2.08	1	2/1/2018	2/1/2018
-1.66	1	10/1/2014	10/1/2014
-0.09	1	8/1/2016	8/1/2016

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	78.00	76.00	73.00	67.00	61.00	55.00	43.00	31.00
Percent Profitable	55.13	63.16	57.53	47.76	42.62	43.64	48.84	58.06
Average Period Return	0.73	1.96	3.54	6.97	9.84	12.00	11.57	13.72
Average Gain	4.09	6.84	10.96	23.22	36.11	43.50	40.11	33.84
Average Loss	-3.40	-6.41	-6.51	-7.89	-9.68	-12.39	-15.69	-14.14
Best Period	17.07	20.64	31.57	48.55	73.74	89.78	83.43	69.69
Worst Period	-8.76	-13.27	-16.10	-19.99	-22.52	-24.65	-27.08	-29.87
Standard Deviation	4.85	8.00	11.23	18.67	26.85	33.42	35.44	28.76
Gain Standard Deviation	3.51	5.39	8.61	13.94	20.96	27.31	30.06	19.72
Loss Standard Deviation	2.47	3.50	4.44	4.83	5.46	5.43	7.59	8.34
Sharpe Ratio (1%)	0.13	0.21	0.27	0.32	0.31	0.30	0.24	0.34
Average Gain / Average Loss	1.20	1.07	1.68	2.94	3.73	3.51	2.56	2.39
Profit / Loss Ratio	1.48	1.83	2.28	2.69	2.77	2.72	2.44	3.31
Downside Deviation (10%)	3.03	5.09	6.53	9.94	13.74	17.49	23.47	24.34
Downside Deviation (5%)	2.85	4.55	5.39	7.29	9.40	11.53	14.40	12.89
Downside Deviation (0%)	2.80	4.42	5.11	6.66	8.39	10.13	12.41	10.52
Sortino Ratio (10%)	0.11	0.14	0.16	0.20	0.16	0.10	-0.18	-0.32
Sortino Ratio (5%)	0.23	0.38	0.56	0.82	0.89	0.87	0.59	0.75
Sortino Ratio (0%)	0.26	0.44	0.69	1.05	1.17	1.18	0.93	1.30

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Agricultural Trader Index	Month	3	2.23	1/2020
Agricultural Trader Index	Month	1	5.24	12/2019
IASG CTA Index	Month	7	5.24	12/2019
Systematic Trader Index	Month	7	5.24	12/2019
Agricultural Trader Index	Month	2	4.38	8/2019
Agricultural Trader Index	Month	2	8.12	5/2019
Systematic Trader Index	Month	4	8.12	5/2019
IASG CTA Index	Month	5	8.12	5/2019
Agricultural Trader Index	Month	5	1.40	4/2019
Agricultural Trader Index	Month	5	1.40	4/2019
Agricultural Trader Index	Month	1	4.29	2/2019
Agricultural Trader Index	Month	1	4.29	2/2019
Agricultural Trader Index	Month	1	4.29	2/2019
Agricultural Trader Index	Month	1	4.29	2/2019
Agricultural Trader Index	Month	2	4.28	9/2018
Systematic Trader Index	Month	4	4.28	9/2018
IASG CTA Index	Month	4	4.28	9/2018
Systematic Trader Index	Month	4	4.28	9/2018
IASG CTA Index	Month	4	4.28	9/2018
Agricultural Trader Index	Month	2	4.28	9/2018
Agricultural Trader Index	Month	1	4.65	8/2018
Agricultural Trader Index	Month	10	1.45	7/2018
Systematic Trader Index	Month	8	4.25	6/2018
IASG CTA Index	Month	10	4.25	6/2018
Agricultural Trader Index	Month	3	4.25	6/2018
Agricultural Trader Index	Month	2	3.18	3/2018
Systematic Trader Index	Month	10	3.18	3/2018
Agricultural Trader Index	Month	10	1.13	1/2018
IASG CTA Index	Month	5	5.62	12/2017
Agricultural Trader Index	Month	1	5.62	12/2017
Systematic Trader Index	Month	4	5.62	12/2017
Agricultural Trader Index	Month	4	1.31	10/2017
Systematic Trader Index	Month	4	7.32	8/2017
Agricultural Trader Index	Month	2	7.32	8/2017
IASG CTA Index	Month	8	7.32	8/2017
Systematic Trader Index	Month	3	4.65	6/2017
Agricultural Trader Index	Month	4	4.65	6/2017
IASG CTA Index	Month	5	4.65	6/2017
IASG CTA Index	3 Year Rolling	10	74.79	2013 - 2016
Agricultural Trader Index	Month	8	0.68	11/2016
Agricultural Trader Index	Month	6	0.99	10/2016
Agricultural Trader Index	Month	9	0.64	9/2016
Agricultural Trader Index	Month	4	3.38	7/2016
Agricultural Trader Index	Month	7	5.87	6/2016
Systematic Trader Index	Month	4	14.50	11/2015
Agricultural Trader Index	Month	1	14.50	11/2015
Agricultural Trader Index	Month	5	0.63	9/2015
Agricultural Trader Index	Month	2	4.29	8/2015
Agricultural Trader Index	Month	1	8.20	7/2015
Agricultural Trader Index	Month	5	3.79	6/2015
Agricultural Trader Index	Month	4	2.63	5/2015

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

^#3

Top Performer

AGRICULTURAL TRADER INDEX

JANUARY
2020

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More Programs by Red Rock Capital, LLC

Program Name	CAROR
Commodity Long-Short	7.60%
Systematic Global Macro	6.73%

IASG Activity

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Portfolios 44
Watchlists 80

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Red Rock Capital, LLC : Commodity Long-Short

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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