Red Rock Capital, LLC : Commodity Long-Short

Year-to-Date
1.79%
Aug Performance
4.38%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.77%
Sharpe (RFR=1%)
0.45
CAROR
7.44%
Assets
$ 6.9M
Worst DD
-30.11
S&P Correlation
-0.21

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
Commodity Long-Short 4.38 0.66 1.79 -3.45 -15.28 30.13 - 53.83
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 72.26
+/- S&P 500 6.19 -5.67 -14.94 -4.30 -48.71 -14.46 - -18.44

Strategy Description

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... 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%
Strategy Pie Chart

Composition

Grains
30.00%
Energy
20.00%
Softs
20.00%
Precious Metals
15.00%
Livestock
10.00%
Industrial Metals
5.00%
Composition Pie Chart

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.

   

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
-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
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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
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
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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
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods72.0070.0067.0061.0055.0049.0037.0025.00
Percent Profitable55.5664.2958.2149.1845.4546.9456.7672.00
Average Period Return0.712.053.917.9811.4414.2816.5722.15
Average Gain4.006.7611.5724.1137.5145.2440.1133.84
Average Loss-3.40-6.44-6.75-7.63-10.28-13.11-14.33-7.93
Best Period17.0720.6431.5748.5573.7489.7883.4369.69
Worst Period-8.76-13.27-16.10-19.99-22.52-24.65-27.08-12.48
Standard Deviation4.847.9411.5719.0227.7934.7035.6925.41
Gain Standard Deviation3.575.318.6313.9520.1126.5330.0619.72
Loss Standard Deviation2.503.574.464.895.475.547.574.04
Sharpe Ratio (1%)0.130.230.300.370.360.350.380.71
Average Gain / Average Loss1.181.051.713.163.653.452.804.27
Profit / Loss Ratio1.471.892.393.063.043.053.6710.98
Downside Deviation (10%)3.025.046.629.6413.8017.4720.8416.91
Downside Deviation (5%)2.844.515.477.049.5611.7012.396.67
Downside Deviation (0%)2.804.385.206.438.5710.3410.584.64
Sortino Ratio (10%)0.100.160.220.310.280.230.040.04
Sortino Ratio (5%)0.220.400.620.991.041.051.092.71
Sortino Ratio (0%)0.260.470.751.241.341.381.574.77

Top Performer Badges

Index Award Type Rank Performance Period
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
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
Systematic Trader 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
Agricultural Trader Index Month 1 5.62 12/2017
Systematic Trader Index Month 4 5.62 12/2017
IASG CTA Index Month 5 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.