Revolution Capital Management : Alpha Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.94% Jan Performance -1.94% Min Investment $ 5,000k Mgmt. Fee 1.50% Perf. Fee 20.00% Annualized Vol 11.67% Sharpe (RFR=1%) 0.55 CAROR 7.00% Assets $ 380.0M Worst DD -20.58 S&P Correlation -0.07 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since6/2007 Alpha Program -1.94 -0.08 -1.94 13.04 8.84 24.43 53.22 152.22 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 185.82 144.51 +/- S&P 500 -0.83 -13.67 -0.83 -2.11 -22.68 -65.06 -132.60 7.71 Strategy Description SummaryAlpha 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 1.50% 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% SummaryAlpha 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 15 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 -4.75 5 - 8/1/2020 1/1/2021 -3.66 1 2 10/1/2010 11/1/2010 -3.06 1 3 9/1/2014 10/1/2014 -2.85 1 2 5/1/2020 6/1/2020 -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 -0.04 1 1 3/1/2020 4/1/2020 Show More 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 23.54 3 1/1/2020 3/1/2020 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 3.00 2 7/1/2020 8/1/2020 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 1.90 2 11/1/2020 12/1/2020 1.34 3 8/1/2012 10/1/2012 0.71 1 10/1/2018 10/1/2018 0.35 1 5/1/2020 5/1/2020 0.04 1 2/1/2009 2/1/2009 0.01 1 2/1/2019 2/1/2019 Show More 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 -4.67 2 9/1/2020 10/1/2020 -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 -2.85 1 6/1/2020 6/1/2020 -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 -1.94 1 1/1/2021 1/1/2021 -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 -0.04 1 4/1/2020 4/1/2020 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods164.00162.00159.00153.00147.00141.00129.00117.00105.00 Percent Profitable56.7164.2065.4174.5180.9585.1186.0590.6094.29 Average Period Return0.631.913.917.7310.7412.7918.6024.6933.34 Average Gain2.654.888.2812.3114.9616.6422.6627.7235.58 Average Loss-2.03-3.41-4.36-5.65-7.18-9.21-6.42-4.54-3.53 Best Period13.0023.5423.6541.9243.7638.2456.5165.3686.49 Worst Period-15.46-15.81-14.99-19.27-15.22-18.33-13.70-8.88-5.15 Standard Deviation3.345.628.0311.4413.0812.8115.8917.0621.91 Gain Standard Deviation2.524.426.139.3010.619.4013.0914.8920.52 Loss Standard Deviation2.242.973.284.474.645.094.623.251.71 Sharpe Ratio (1%)0.160.300.420.590.710.840.981.211.29 Average Gain / Average Loss1.311.431.902.182.081.813.536.1010.07 Profit / Loss Ratio1.712.563.596.378.8610.3221.7558.79166.23 Downside Deviation (10%)2.173.304.475.926.928.149.5510.3912.09 Downside Deviation (5%)2.022.813.444.034.284.743.942.832.15 Downside Deviation (0%)1.982.703.203.623.714.042.931.690.92 Sortino Ratio (10%)0.100.210.320.460.450.310.300.300.47 Sortino Ratio (5%)0.270.590.991.672.162.273.967.2913.16 Sortino Ratio (0%)0.320.711.222.142.903.176.3514.6436.12 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. x {{title}} x {{title}} Add Cancel