Revolution Capital Management : Alpha Fund

Year-to-Date
30.80%
Mar Performance
6.37%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.90%
Sharpe (RFR=1%)
0.62
CAROR
8.96%
Assets
$ 0k
Worst DD
-21.56
S&P Correlation
0.05

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 Since
1/2005
Alpha Fund 6.37 0.00 30.80 25.63 41.17 37.79 69.25 269.95
S&P 500 -12.51 -20.00 -20.00 -8.82 8.28 23.72 118.73 159.74
+/- S&P 500 18.88 20.00 50.80 34.44 32.89 14.07 -49.47 110.21

Strategy Description

Summary

Alpha is a fully-diversified, short- to medium-term program that utilizes a multi-strategy pattern-recognition methodology. It targets a long-term correlation of 0.5 to trend-following indices. Annual volatility is targeted to approximately 12%-15%.... Read More

Account & Fees

Type Fund
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Interest Rates
20.00%
Stock Indices
20.00%
Currency Futures
17.00%
Energy
9.00%
Grains
9.00%
Livestock
9.00%
Softs
8.00%
Industrial Metals
4.00%
Precious Metals
4.00%
Composition Pie Chart

Summary

Alpha is a fully-diversified, short- to medium-term program that utilizes a multi-strategy pattern-recognition methodology. It targets a long-term correlation of 0.5 to trend-following indices. Annual volatility is targeted to approximately 12%-15%.

   

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
-21.56 10 9 1/1/2018 11/1/2018
-15.27 5 19 1/1/0001 5/1/2005
-14.85 13 5 12/1/2008 1/1/2010
-13.71 4 7 2/1/2017 6/1/2017
-10.26 8 29 10/1/2010 6/1/2011
-8.62 1 2 11/1/2019 12/1/2019
-7.82 3 9 2/1/2015 5/1/2015
-6.92 2 1 6/1/2007 8/1/2007
-6.19 3 5 1/1/2014 4/1/2014
-3.20 1 4 9/1/2014 10/1/2014
-2.52 4 2 6/1/2016 10/1/2016
-2.45 2 1 8/1/2019 10/1/2019
-1.76 2 1 6/1/2008 8/1/2008
-1.48 1 1 2/1/2008 3/1/2008
-1.08 1 1 1/1/2007 2/1/2007
-0.91 2 1 3/1/2016 5/1/2016
-0.48 1 1 12/1/2016 1/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
36.97 9 2/1/2010 10/1/2010
36.84 4 3/1/2007 6/1/2007
30.80 3 1/1/2020 3/1/2020
30.05 6 8/1/2006 1/1/2007
27.06 6 9/1/2007 2/1/2008
15.87 4 9/1/2008 12/1/2008
15.82 1 6/1/2019 6/1/2019
12.62 3 9/1/2005 11/1/2005
10.89 1 1/1/2018 1/1/2018
10.29 1 8/1/2019 8/1/2019
7.85 2 8/1/2014 9/1/2014
7.56 6 8/1/2013 1/1/2014
7.18 5 1/1/2013 5/1/2013
7.15 1 10/1/2017 10/1/2017
6.73 1 6/1/2015 6/1/2015
6.48 2 3/1/2019 4/1/2019
6.43 3 4/1/2008 6/1/2008
5.82 3 9/1/2015 11/1/2015
5.35 3 1/1/2016 3/1/2016
5.16 2 11/1/2016 12/1/2016
5.01 1 3/1/2006 3/1/2006
4.89 2 8/1/2009 9/1/2009
3.98 2 12/1/2018 1/1/2019
3.55 1 11/1/2019 11/1/2019
3.46 2 12/1/2010 1/1/2011
3.39 2 6/1/2005 7/1/2005
3.17 1 2/1/2017 2/1/2017
3.03 1 11/1/2014 11/1/2014
2.92 2 5/1/2014 6/1/2014
2.88 1 11/1/2009 11/1/2009
2.66 2 1/1/2015 2/1/2015
2.54 1 6/1/2016 6/1/2016
2.38 2 7/1/2017 8/1/2017
2.17 1 10/1/2011 10/1/2011
2.06 1 6/1/2018 6/1/2018
1.38 1 7/1/2011 7/1/2011
1.12 2 9/1/2012 10/1/2012
0.26 1 10/1/2018 10/1/2018
0.03 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.57 1 2/1/2018 2/1/2018
-15.27 5 1/1/2005 5/1/2005
-13.71 4 3/1/2017 6/1/2017
-10.55 2 12/1/2009 1/1/2010
-10.03 7 1/1/2009 7/1/2009
-9.00 5 2/1/2011 6/1/2011
-8.62 1 12/1/2019 12/1/2019
-8.34 4 4/1/2006 7/1/2006
-7.82 3 3/1/2015 5/1/2015
-6.92 2 7/1/2007 8/1/2007
-6.19 3 2/1/2014 4/1/2014
-5.66 1 7/1/2019 7/1/2019
-5.53 3 12/1/2005 2/1/2006
-5.19 1 11/1/2018 11/1/2018
-4.72 2 7/1/2015 8/1/2015
-4.69 1 11/1/2010 11/1/2010
-3.59 2 11/1/2017 12/1/2017
-3.20 1 10/1/2014 10/1/2014
-2.53 3 7/1/2018 9/1/2018
-2.52 4 7/1/2016 10/1/2016
-2.51 1 2/1/2019 2/1/2019
-2.50 1 8/1/2005 8/1/2005
-2.45 2 9/1/2019 10/1/2019
-2.04 2 11/1/2012 12/1/2012
-1.95 1 10/1/2009 10/1/2009
-1.78 2 4/1/2018 5/1/2018
-1.76 2 7/1/2008 8/1/2008
-1.61 1 5/1/2019 5/1/2019
-1.53 2 6/1/2013 7/1/2013
-1.48 1 3/1/2008 3/1/2008
-1.43 1 7/1/2014 7/1/2014
-1.08 1 2/1/2007 2/1/2007
-1.07 2 8/1/2011 9/1/2011
-0.92 1 12/1/2014 12/1/2014
-0.91 2 4/1/2016 5/1/2016
-0.69 1 9/1/2017 9/1/2017
-0.48 1 1/1/2017 1/1/2017
-0.42 1 12/1/2015 12/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods183.00181.00178.00172.00166.00160.00148.00136.00124.00
Percent Profitable50.8261.3362.3675.5877.1185.0087.1694.1295.97
Average Period Return0.802.334.7810.0115.1721.3431.6940.8149.12
Average Gain3.506.0210.3615.1621.6426.6837.1743.7751.40
Average Loss-2.25-3.98-4.83-5.93-6.62-8.94-5.55-6.49-5.10
Best Period15.8235.1448.7076.40102.82118.82136.59175.84187.10
Worst Period-15.57-15.78-15.41-18.44-15.83-20.09-13.89-11.07-6.09
Standard Deviation4.017.2210.8218.2525.1332.2341.5648.6353.78
Gain Standard Deviation3.396.489.8718.0525.1332.0441.7748.6153.71
Loss Standard Deviation2.393.443.434.444.205.184.413.701.40
Sharpe Ratio (1%)0.180.290.400.490.540.600.690.760.82
Average Gain / Average Loss1.561.512.142.563.272.986.706.7410.08
Profit / Loss Ratio1.812.713.847.9211.0216.9145.46107.86239.92
Downside Deviation (10%)2.353.664.796.007.328.169.0410.3411.76
Downside Deviation (5%)2.203.183.734.054.364.683.452.772.16
Downside Deviation (0%)2.163.073.493.643.743.982.521.781.05
Sortino Ratio (10%)0.160.300.480.841.041.361.761.861.83
Sortino Ratio (5%)0.320.651.152.223.134.138.3213.2820.43
Sortino Ratio (0%)0.370.761.372.754.065.3612.6022.8746.60

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 4 6.73 6/2015
Diversified Trader Index Month 4 6.73 6/2015
IASG CTA Index Month 7 6.73 6/2015
IASG CTA Index Annual 8 57.39 2007
Systematic Trader Index Month 3 12.82 5/2007
Diversified Trader Index Month 3 12.82 5/2007
IASG CTA Index Month 4 12.82 5/2007
Systematic Trader Index Month 10 12.99 4/2007
Diversified Trader Index Month 10 12.99 4/2007
Diversified Trader Index Month 6 8.33 1/2007
IASG CTA Index Month 9 8.33 1/2007
Systematic Trader Index Month 7 8.33 1/2007
Diversified Trader Index Month 10 0.00 1/2005

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