Revolution Capital Management : Alpha Program

Year-to-Date
12.83%
Oct Performance
-0.91%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.41%
Sharpe (RFR=1%)
0.51
CAROR
6.36%
Assets
$ 196.0M
Worst DD
-20.92
S&P Correlation
0.00

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
6/2007
Alpha Program -0.91 7.55 12.83 9.19 -0.37 8.33 64.89 115.07
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 99.96
+/- S&P 500 -2.95 5.63 -8.33 -2.81 -41.79 -40.66 -125.23 15.10

Strategy Description

Summary

Alpha is a fully-diversified, short- to medium-term program that utilizes a multi-strategy pattern-recognition methodology. It targets a low long-term correlation to trend-following indices. Annual volatility is targeted to 12% based on daily returns.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
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
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
7%
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 low long-term correlation to trend-following indices. Annual volatility is targeted to 12% based on daily returns.

   

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
-20.92 10 - 1/1/2018 11/1/2018
-13.77 13 3 12/1/2008 1/1/2010
-13.68 4 7 2/1/2017 6/1/2017
-8.91 4 12 1/1/2011 5/1/2011
-7.53 3 9 2/1/2015 5/1/2015
-6.58 3 5 1/1/2014 4/1/2014
-6.56 2 2 6/1/2007 8/1/2007
-3.66 1 2 10/1/2010 11/1/2010
-3.06 1 3 9/1/2014 10/1/2014
-2.81 1 2 2/1/2008 3/1/2008
-2.48 4 2 6/1/2016 10/1/2016
-1.88 2 1 10/1/2012 12/1/2012
-1.56 1 2 6/1/2013 7/1/2013
-0.73 1 2 6/1/2012 7/1/2012
-0.55 2 1 3/1/2016 5/1/2016
-0.41 2 1 6/1/2008 8/1/2008
-0.38 1 1 12/1/2016 1/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
36.94 9 2/1/2010 10/1/2010
23.65 6 9/1/2007 2/1/2008
18.14 5 2/1/2012 6/1/2012
15.55 4 9/1/2008 12/1/2008
13.00 1 8/1/2019 8/1/2019
10.72 1 1/1/2018 1/1/2018
8.14 2 8/1/2014 9/1/2014
7.71 1 10/1/2017 10/1/2017
7.56 6 8/1/2013 1/1/2014
7.45 2 5/1/2019 6/1/2019
6.41 6 1/1/2013 6/1/2013
6.37 1 6/1/2015 6/1/2015
6.15 3 9/1/2015 11/1/2015
5.25 3 4/1/2008 6/1/2008
5.15 2 11/1/2016 12/1/2016
5.13 2 8/1/2009 9/1/2009
4.93 3 1/1/2016 3/1/2016
3.92 2 12/1/2010 1/1/2011
3.88 5 6/1/2011 10/1/2011
3.54 1 6/1/2007 6/1/2007
3.12 1 2/1/2017 2/1/2017
3.11 1 11/1/2014 11/1/2014
3.07 2 1/1/2015 2/1/2015
3.07 1 11/1/2009 11/1/2009
2.55 1 6/1/2016 6/1/2016
2.52 2 5/1/2014 6/1/2014
2.19 1 12/1/2018 12/1/2018
2.12 2 7/1/2017 8/1/2017
2.12 2 6/1/2018 7/1/2018
1.34 3 8/1/2012 10/1/2012
0.71 1 10/1/2018 10/1/2018
0.04 1 2/1/2009 2/1/2009
0.01 1 2/1/2019 2/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.76 4 2/1/2018 5/1/2018
-13.68 4 3/1/2017 6/1/2017
-9.68 2 12/1/2009 1/1/2010
-9.11 5 3/1/2009 7/1/2009
-8.91 4 2/1/2011 5/1/2011
-7.53 3 3/1/2015 5/1/2015
-6.58 3 2/1/2014 4/1/2014
-6.56 2 7/1/2007 8/1/2007
-5.30 1 11/1/2018 11/1/2018
-4.82 2 9/1/2019 10/1/2019
-4.63 2 7/1/2015 8/1/2015
-3.66 1 11/1/2010 11/1/2010
-3.21 2 11/1/2017 12/1/2017
-3.06 1 10/1/2014 10/1/2014
-2.98 3 11/1/2011 1/1/2012
-2.81 1 3/1/2008 3/1/2008
-2.48 4 7/1/2016 10/1/2016
-2.47 2 8/1/2018 9/1/2018
-1.88 2 11/1/2012 12/1/2012
-1.85 1 10/1/2009 10/1/2009
-1.79 2 3/1/2019 4/1/2019
-1.56 1 7/1/2013 7/1/2013
-1.52 1 7/1/2014 7/1/2014
-1.27 1 1/1/2009 1/1/2009
-0.97 1 12/1/2014 12/1/2014
-0.73 1 7/1/2012 7/1/2012
-0.58 1 9/1/2017 9/1/2017
-0.58 1 12/1/2015 12/1/2015
-0.55 2 4/1/2016 5/1/2016
-0.50 1 7/1/2019 7/1/2019
-0.41 2 7/1/2008 8/1/2008
-0.38 1 1/1/2017 1/1/2017
-0.09 1 1/1/2019 1/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods149.00147.00144.00138.00132.00126.00114.00102.0090.00
Percent Profitable56.3865.9964.5871.7478.7984.1385.9689.2293.33
Average Period Return0.571.753.325.928.5711.2018.8525.9434.84
Average Gain2.574.547.5910.4712.8015.1023.0529.6337.59
Average Loss-2.02-3.67-4.46-5.65-7.18-9.44-6.86-4.54-3.53
Best Period13.0017.3123.6537.1043.7634.8456.5165.3686.49
Worst Period-15.46-15.81-14.99-19.27-15.22-18.33-13.70-8.88-5.15
Standard Deviation3.295.307.5910.0711.4211.7516.3617.7923.00
Gain Standard Deviation2.433.835.617.738.657.9413.4715.0521.28
Loss Standard Deviation2.323.083.374.474.645.114.653.251.71
Sharpe Ratio (1%)0.150.280.370.490.620.780.971.231.29
Average Gain / Average Loss1.271.241.701.851.781.603.366.5210.64
Profit / Loss Ratio1.652.403.104.716.638.4720.5753.94148.99
Downside Deviation (10%)2.213.384.596.247.308.459.6810.7012.48
Downside Deviation (5%)2.062.903.554.244.524.984.103.032.32
Downside Deviation (0%)2.022.793.313.813.914.253.071.811.00
Sortino Ratio (10%)0.070.150.190.150.130.110.320.410.58
Sortino Ratio (5%)0.240.520.791.161.561.853.867.2212.83
Sortino Ratio (0%)0.280.631.001.552.192.636.1314.3734.94

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 5 6.38 6/2015
Diversified Trader Index Month 5 6.38 6/2015
IASG CTA Index Month 9 6.38 6/2015

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