Red Rock Capital, LLC : Systematic Global Macro

Year-to-Date
8.44%
Jun Performance
4.95%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
12.49%
Sharpe (RFR=1%)
0.56
CAROR
7.43%
Assets
$ 5.9M
Worst DD
-24.63
S&P Correlation
-0.10

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
9/2003
Systematic Global Macro 4.95 10.02 8.44 7.48 -13.22 17.74 37.63 211.18
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 173.46
+/- S&P 500 -1.94 6.24 -8.90 -0.73 -51.95 -30.81 -179.05 37.72

Strategy Description

Summary

Accounting Notes: Prior to June 2013, the accounts in this composite were traded by Red Rock Capital Management, Inc., a Commodity Trading Advisor solely owned and operated by Scott T. Hoffman, pursuant to Red Rock Capital Management, Inc.'s Diversified Program. In March 2013, Thomas... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
-7.50%
Worst Peak-to-Trough
15.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
50.00%
4-12 Months
30.00%
1-3 Months
20.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
21.00%
Currency Futures
15.00%
Grains
15.00%
Stock Indices
15.00%
Energy
11.00%
Softs
9.00%
Precious Metals
7.00%
Livestock
5.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

Accounting Notes: Prior to June 2013, the accounts in this composite were traded by Red Rock Capital Management, Inc., a Commodity Trading Advisor solely owned and operated by Scott T. Hoffman, pursuant to Red Rock Capital Management, Inc.'s Diversified Program. In March 2013, Thomas N. Rollinger joined Scott T. Hoffman under the name of Red Rock Capital, LLC and the program name was changed to Systematic Global Macro. All of Red Rock Capital Management, Inc.'s proprietary trading systems, intellectual property, client performance track records, and client account agreements have been or will be transferred to Red Rock Capital. Therefore, Red Rock Capital, LLC (Systematic Global Macro) is most accurately and properly considered a simple name change and continuation of Red Rock Capital Management, Inc. (Diversified Program).

Investment Strategy

Red Rock Capital is an award-winning Systematic Global Macro hedge fund with a 10+ year track record. The firm is helmed by Thomas Rollinger, a 17-year industry veteran who studied under, and was a portfolio manager for, quantitative hedge fund legend Edward O. Thorp. The Systematic Global Macro Program was designed to capture the high-value payoff portion of globally trending markets by blending the benefits of both momentum and probability theory. The Program has three distinct aspects: Market Profiling, Alpha Generation, and Phase Discrimination. The Program is completely quantitative, systematic, and adaptable. Long and short positions are tactically implemented and managed on a globally diverse portfolio of liquid futures markets. It is Red Rock’s aim, through the disciplined application of their Systematic Global Macro Program, to produce as high as possible risk-adjusted returns for themselves and their investors – returns that are uncorrelated to the performance of major asset classes like stocks, bonds, & real estate. Red Rock was originally founded in 2003 by engineer Scott Hoffman.

   

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
-24.63 32 - 6/1/2016 2/1/2019
-17.75 17 5 3/1/2004 8/1/2005
-13.33 29 11 4/1/2011 9/1/2013
-11.71 15 4 5/1/2006 8/1/2007
-9.72 3 3 4/1/2010 7/1/2010
-7.98 2 2 6/1/2008 8/1/2008
-7.00 3 6 5/1/2015 8/1/2015
-6.31 5 4 2/1/2009 7/1/2009
-4.53 3 1 2/1/2016 5/1/2016
-3.68 2 2 11/1/2009 1/1/2010
-3.17 1 3 2/1/2008 3/1/2008
-2.11 1 1 2/1/2011 3/1/2011
-2.05 1 1 10/1/2010 11/1/2010
-0.47 1 1 9/1/2014 10/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
43.69 3 12/1/2007 2/1/2008
42.43 7 9/1/2003 3/1/2004
32.53 9 9/1/2005 5/1/2006
19.95 7 11/1/2014 5/1/2015
19.93 6 9/1/2008 2/1/2009
15.15 4 3/1/2019 6/1/2019
14.46 3 9/1/2004 11/1/2004
12.22 6 4/1/2014 9/1/2014
11.32 3 8/1/2010 10/1/2010
10.62 2 9/1/2007 10/1/2007
9.87 1 6/1/2016 6/1/2016
8.94 5 10/1/2013 2/1/2014
8.46 3 12/1/2010 2/1/2011
8.28 4 11/1/2015 2/1/2016
5.91 2 8/1/2009 9/1/2009
5.30 3 2/1/2010 4/1/2010
5.29 1 7/1/2012 7/1/2012
4.87 3 10/1/2018 12/1/2018
4.66 2 3/1/2007 4/1/2007
4.54 1 11/1/2009 11/1/2009
4.20 4 10/1/2017 1/1/2018
3.71 3 4/1/2008 6/1/2008
3.51 2 7/1/2011 8/1/2011
3.34 1 4/1/2011 4/1/2011
2.90 3 9/1/2006 11/1/2006
2.86 2 11/1/2011 12/1/2011
2.73 1 6/1/2017 6/1/2017
2.43 2 6/1/2004 7/1/2004
2.34 2 4/1/2012 5/1/2012
2.34 2 3/1/2013 4/1/2013
1.59 1 9/1/2016 9/1/2016
1.56 1 11/1/2012 11/1/2012
1.56 1 7/1/2013 7/1/2013
1.54 1 9/1/2015 9/1/2015
1.43 1 1/1/2013 1/1/2013
0.99 1 4/1/2017 4/1/2017
0.87 1 7/1/2005 7/1/2005
0.45 1 7/1/2015 7/1/2015
0.31 1 6/1/2007 6/1/2007
0.08 1 8/1/2018 8/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.40 7 12/1/2004 6/1/2005
-12.58 6 2/1/2018 7/1/2018
-10.70 2 4/1/2004 5/1/2004
-9.72 3 5/1/2010 7/1/2010
-9.22 6 10/1/2016 3/1/2017
-7.98 2 7/1/2008 8/1/2008
-7.87 3 6/1/2006 8/1/2006
-7.63 2 7/1/2007 8/1/2007
-6.62 3 7/1/2017 9/1/2017
-6.31 5 3/1/2009 7/1/2009
-5.82 2 5/1/2011 6/1/2011
-5.82 2 1/1/2019 2/1/2019
-5.47 1 6/1/2012 6/1/2012
-5.45 3 1/1/2012 3/1/2012
-5.10 1 8/1/2004 8/1/2004
-4.92 2 5/1/2013 6/1/2013
-4.58 3 8/1/2012 10/1/2012
-4.53 3 3/1/2016 5/1/2016
-4.31 1 8/1/2015 8/1/2015
-3.68 2 12/1/2009 1/1/2010
-3.58 2 9/1/2011 10/1/2011
-3.25 1 6/1/2015 6/1/2015
-3.17 1 3/1/2008 3/1/2008
-2.99 1 8/1/2005 8/1/2005
-2.91 1 9/1/2018 9/1/2018
-2.75 3 12/1/2006 2/1/2007
-2.75 2 7/1/2016 8/1/2016
-2.21 2 8/1/2013 9/1/2013
-2.11 1 3/1/2011 3/1/2011
-2.05 1 11/1/2010 11/1/2010
-1.47 1 10/1/2015 10/1/2015
-1.24 1 5/1/2007 5/1/2007
-1.15 1 3/1/2014 3/1/2014
-1.14 1 12/1/2012 12/1/2012
-0.89 1 2/1/2013 2/1/2013
-0.77 1 5/1/2017 5/1/2017
-0.76 1 10/1/2009 10/1/2009
-0.47 1 10/1/2014 10/1/2014
-0.37 1 11/1/2007 11/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods190.00188.00185.00179.00173.00167.00155.00143.00131.00
Percent Profitable56.3253.7254.5958.6665.3272.4681.2990.91100.00
Average Period Return0.661.923.646.7810.6014.9624.9936.2646.45
Average Gain2.896.6310.4115.3820.0623.8332.7640.6246.45
Average Loss-2.21-3.55-4.51-5.43-7.20-8.36-8.75-7.32
Best Period18.6643.6958.3654.3375.5271.7082.10100.91108.74
Worst Period-7.60-10.66-14.08-14.78-15.09-22.76-20.94-16.222.26
Standard Deviation3.617.2211.1214.7818.8921.1126.9329.9031.00
Gain Standard Deviation3.116.6610.8113.5716.6617.7723.6927.7531.00
Loss Standard Deviation1.642.403.193.514.505.905.596.11
Sharpe Ratio (1%)0.160.230.280.390.480.610.821.081.33
Average Gain / Average Loss1.311.872.312.832.792.853.755.55
Profit / Loss Ratio1.692.172.784.025.257.5016.2855.46
Downside Deviation (10%)2.043.645.197.169.2410.4611.9311.147.90
Downside Deviation (5%)1.863.054.004.715.766.255.643.900.39
Downside Deviation (0%)1.812.913.724.154.995.354.472.83
Sortino Ratio (10%)0.120.190.220.250.330.450.771.322.38
Sortino Ratio (5%)0.310.550.791.231.582.073.898.26106.77
Sortino Ratio (0%)0.360.660.981.632.132.805.5912.81

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 16.44 1/2008
IASG CTA Index Month 10 16.44 1/2008
Systematic Trader Index Month 10 16.44 1/2008
Diversified Trader Index Month 10 16.44 1/2008
Trend Following Strategy Index Month 9 0.99 2/2006
Systematic Trader Index Month 5 4.69 10/2005
IASG CTA Index Month 6 4.69 10/2005
Trend Following Strategy Index Month 3 4.69 10/2005
Diversified Trader Index Month 3 4.69 10/2005
Trend Following Strategy Index Month 7 -0.34 1/2005
Diversified Trader Index Month 8 1.06 6/2004
Trend Following Strategy Index Month 4 1.06 6/2004
Systematic Trader Index Month 4 7.79 3/2004
Trend Following Strategy Index Month 3 7.79 3/2004
IASG CTA Index Month 9 7.79 3/2004
Diversified Trader Index Month 5 7.79 3/2004
IASG CTA Index Sharpe 1 7.46 2002 - 2003
Systematic Trader Index Month 1 2.99 11/2003
Trend Following Strategy Index Month 2 2.99 11/2003
Diversified Trader Index Month 4 2.99 11/2003
IASG CTA Index Month 6 2.99 11/2003

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