Revolution Capital Management : Alpha Program

Year-to-Date: 12.78%
Dec Performance: -3.26%

Min Investment: $ 5,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 11.41%
Sharpe (RFR=1%): 0.50
CAROR: 6.27%

Assets: $ 214.0M
Worst DD: -20.92
S&P Correlation: 0.00

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 6/2007
Alpha Program	-3.26	-0.96	12.78	12.78	-5.30	6.04	63.78	114.97
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	112.68
+/- S&P 500	-6.12	-9.49	-16.09	-16.09	-48.14	-49.28	-122.96	2.28

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%

Summary

Compare to:

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Index: Chart Type:

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:

Monthly Annual

Reward
Average RoR:
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Gain Frequency:
Average Gain:
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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

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
3.32	1	11/1/2019	11/1/2019
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

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
-3.26	1	12/1/2019	12/1/2019
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	151.00	149.00	146.00	140.00	134.00	128.00	116.00	104.00	92.00
Percent Profitable	56.29	65.10	65.07	72.14	79.10	84.38	85.34	89.42	93.48
Average Period Return	0.56	1.71	3.43	6.06	8.59	11.07	18.50	25.55	34.25
Average Gain	2.58	4.54	7.66	10.58	12.76	14.86	22.84	29.11	36.88
Average Loss	-2.04	-3.58	-4.46	-5.65	-7.18	-9.44	-6.77	-4.54	-3.53
Best Period	13.00	17.31	23.65	37.10	43.76	34.84	56.51	65.36	86.49
Worst Period	-15.46	-15.81	-14.99	-19.27	-15.22	-18.33	-13.70	-8.88	-5.15
Standard Deviation	3.30	5.28	7.61	10.07	11.35	11.71	16.44	17.84	23.10
Gain Standard Deviation	2.42	3.83	5.61	7.70	8.59	8.06	13.57	15.31	21.53
Loss Standard Deviation	2.31	3.06	3.37	4.47	4.64	5.11	4.52	3.25	1.71
Sharpe Ratio (1%)	0.15	0.28	0.39	0.50	0.62	0.77	0.94	1.20	1.26
Average Gain / Average Loss	1.27	1.27	1.72	1.87	1.78	1.57	3.37	6.41	10.44
Profit / Loss Ratio	1.63	2.37	3.20	4.85	6.73	8.50	19.64	54.16	149.68
Downside Deviation (10%)	2.22	3.37	4.56	6.19	7.25	8.44	9.87	10.83	12.70
Downside Deviation (5%)	2.06	2.89	3.53	4.21	4.48	4.94	4.14	3.00	2.29
Downside Deviation (0%)	2.03	2.77	3.29	3.78	3.89	4.22	3.09	1.79	0.99
Sortino Ratio (10%)	0.07	0.14	0.21	0.17	0.14	0.10	0.28	0.37	0.52
Sortino Ratio (5%)	0.23	0.51	0.83	1.20	1.58	1.83	3.74	7.16	12.71
Sortino Ratio (0%)	0.28	0.62	1.04	1.60	2.21	2.62	5.99	14.28	34.72

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.

^#5

Top Performer

SYSTEMATIC TRADER INDEX

JUNE
2015

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More Programs by Revolution Capital Management

Program Name	CAROR
Alpha Program	6.27%
Mosaic Institutional Program	-1.16%

IASG Activity

Blends 162
Portfolios 26
Watchlists 53

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Revolution Capital Management : Alpha Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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