Red Rock Capital, LLC : Commodity Long-Short Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 11.83% Mar Performance -1.92% Min Investment $ 500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 16.99% Sharpe (RFR=1%) 0.49 CAROR 8.30% Assets $ 4.8M Worst DD -30.11 S&P Correlation -0.31 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since9/2013 Commodity Long-Short -1.92 11.83 11.83 0.46 14.11 4.25 - 83.05 S&P 500 4.24 9.21 9.21 58.70 55.31 97.12 - 141.45 +/- S&P 500 -6.16 2.62 2.62 -58.24 -41.20 -92.86 - -58.40 Strategy Description SummaryInspired 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... Read More 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% Decision-Making Discretionary 0% Systematic 100.00% Strategy Pattern Recognition 100.00% Composition Grains 30.00% Energy 20.00% Softs 20.00% Precious Metals 15.00% Livestock 10.00% Industrial Metals 5.00% SummaryInspired 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. 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 -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 Show More Consecutive Gains Run-up Length (Mos.) Start End 31.70 4 12/1/2019 3/1/2020 20.96 5 5/1/2015 9/1/2015 20.37 7 9/1/2013 3/1/2014 17.99 3 12/1/2020 2/1/2021 17.07 1 9/1/2014 9/1/2014 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 Show More 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 -13.20 8 4/1/2020 11/1/2020 -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 -1.92 1 3/1/2021 3/1/2021 -1.66 1 10/1/2014 10/1/2014 -0.09 1 8/1/2016 8/1/2016 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods91.003.006.0012.0018.0024.0036.0048.0060.00 Percent Profitable51.65100.0066.6716.6788.8995.8338.8918.7520.00 Average Period Return0.789.315.38-6.8813.7614.80-2.08-6.11-7.76 Average Gain4.399.318.601.4415.9315.486.304.733.75 Average Loss-3.07-1.04-8.54-3.60-0.74-7.41-8.61-10.64 Best Period17.0714.0215.732.4229.4733.9016.3410.896.30 Worst Period-8.762.10-1.92-13.20-4.02-0.74-14.04-18.08-21.47 Standard Deviation4.906.347.425.079.9410.308.297.127.78 Gain Standard Deviation3.786.347.071.398.179.975.583.771.81 Loss Standard Deviation2.371.243.560.604.315.045.74 Sharpe Ratio (1%)0.141.430.66-1.561.231.24-0.62-1.43-1.65 Average Gain / Average Loss1.438.280.174.4320.860.850.550.35 Profit / Loss Ratio1.5316.550.0335.44479.870.540.130.09 Downside Deviation (10%)2.922.1212.834.174.2119.6228.5536.22 Downside Deviation (5%)2.731.029.241.710.698.8412.3015.00 Downside Deviation (0%)2.690.798.391.210.156.668.9710.79 Sortino Ratio (10%)0.131.37-0.931.481.08-0.91-0.97-0.98 Sortino Ratio (5%)0.264.78-0.857.1718.52-0.58-0.83-0.86 Sortino Ratio (0%)0.296.86-0.8211.4097.75-0.31-0.68-0.72 Top Performer Badges Index Award Type Rank Performance Period Agricultural Trader Index Month 1 11.67 2/2021 Agricultural Trader Index Month 8 2.10 1/2021 Agricultural Trader Index Month 8 3.49 12/2020 Agricultural Trader Index Month 1 13.16 3/2020 Agricultural Trader Index Month 1 8.18 2/2020 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 1 4.29 2/2019 Agricultural Trader Index Month 2 4.28 9/2018 IASG CTA Index Month 4 4.28 9/2018 Systematic Trader Index Month 4 4.28 9/2018 Agricultural Trader Index Month 1 4.65 8/2018 Agricultural Trader Index Month 10 1.45 7/2018 IASG CTA Index Month 10 4.25 6/2018 Systematic Trader Index Month 8 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 Systematic Trader Index Month 4 5.62 12/2017 Agricultural Trader Index Month 1 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 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. x {{title}} x {{title}} Add Cancel