Revolution Capital Management : Mosaic Program

archived programs
Year-to-Date
N / A
Jun Performance
1.49%
Min Investment
$ 10,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
31.15%
Sharpe (RFR=1%)
0.20
CAROR
2.18%
Assets
$ 38.0M
Worst DD
-63.11
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
10/2006
Mosaic Program 1.49 1.49 - -23.65 -29.02 -55.79 - 20.75
S&P 500 -2.10 -0.23 - 5.25 51.46 100.13 - 43.10
+/- S&P 500 3.59 1.72 - -28.90 -80.48 -155.92 - -22.35

Strategy Description

Summary

The Mosaic program is an ensemble of 100% systematic, quantitative, short-term futures trading models that evaluate and modify market positions on a daily basis. Mosaic's most recent modification was implemented in December 2007 when, after extensive research and testing, additional... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
25.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
N/A
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
25.00%
Stock Indices
20.00%
Grains
14.00%
Currency Futures
13.00%
Energy
11.00%
Softs
7.00%
Livestock
5.00%
Precious Metals
3.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

The Mosaic program is an ensemble of 100% systematic, quantitative, short-term futures trading models that evaluate and modify market positions on a daily basis. Mosaic's most recent modification was implemented in December 2007 when, after extensive research and testing, additional models were incorporated into the program.* Trades are “event driven”; each model has entry and exit criteria that depend on market-dynamic-driven metrics. * Trades are based on statistically-optimal decisions that are determined based on historical data (position sizes are dynamically re-sized on a daily basis). * Multiple, independent algorithms are employed concurrently to improve risk-adjusted returns and enhance robustness. * Multiple variants used for each of the algorithms to avoid over-fit, datamined choices of model parameters. * Individual signals from all models are combined to form an aggregate signal that determines positions on a per-market basis. * Positions (net long or short) are typically held for 1 to 5 days (average trade length = 3.6 days).

Investment Strategy

MARK ANDREW CHAPIN: Mark's primary focus is the development of short-term trading methodologies for RCM. Mark received his Bachelor of Science degree from Clarkson University in 1997 and his Masters of Science degree from the University of California at Berkeley in 1999. Both degrees are in mechanical engineering. Mark has an extensive background and also a strong interest both in algorithms and also their implementation in numerical code. Mark has been employed by Seagate Technology, a hard-disk-drive company, since 1999, where he works on advanced concepts in the head/media department. He currently holds twelve U.S. patents in the area of disk-drive head/disk mechanics and has co-authored several peer-reviewed journal articles. Mark has not been previously employed by a managed-futures firm, and he has been a principal of RCM since its inception in 2004.THEODORE ROBERT OLSON: Rob oversees the architecture and development of the hardware and software computing infrastructure at RCM. Rob received his Bachelor of Science degree in Aerospace Engineering at the University of Arizona in 1989. He received his Master's and Doctorate degrees in Aerospace Engineering at the University of Colorado in 1992 and 1996, respectively. Rob was employed at Raytheon Technology, an aerospace defense contractor, from 1999 through 2006. His primary job duties included code/software development, data analysis, and the development of statistical algorithms to process high-frequency, real-time data. Rob is familiar with a wide range of computing languages (e.g. Fortran, C, C++), operating systems (e.g. Windows, Linux, Unix), and application software (e.g. Perl, Matlab, Tcl/Tk). Rob has not been previously employed by a managed-futures firm, and he has been a principal of RCM since its inception in 2004.MICHAEL DAVID MUNDT: Michael's tasks primarily consist of model development, business/marketing, and coordinating RCM's overall business and trading strategy. He has been in the managed futures industry for over seven years and was a principal at Analytic Investments LLC, an NFA member and commodity pool operator (CPO) registered with the CFTC, between 1999 and 2003. Michael's background is in engineering and applied science. He received his Bachelor of Science degree in Aerospace Engineering from the University of Colorado in 1989. He was awarded a Ph.D. in Aerospace Engineering in 1993, also from the University of Colorado; his thesis involved the exploration of chaos and turbulence in simple weather/climate models. After spending a few years in academia at both the University of Colorado and the University of California at Santa Cruz, Michael transitioned into the technology industry. He has been employed by Seagate Technology (a hard-disk drive company) as an engineer specializing in computational fluid mechanics since March 1998. He currently holds seventeen U.S. patents in the area of disk-drive head/disk mechanics. He has been a principal of RCM since its inception in 2004.

Risk Management

* RCM provides signal strengths, on a per-market basis. * These strengths are incorporated into the risk-management model in order to determine market positions and hence any orders necessary to generate these positions. * Nominal risk profile targets an exposure of a 1% chance of a 20% or greater drawdown in any rolling one-month period. * The leverage can be tailored on a per-account basis in accordance with a client’s risk/reward objectives. * The risk management model accounts for:- Per-market volatility- Inter-market correlations- Risk profile target- Historical system performance

   

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
-63.11 72 - 5/1/2009 5/1/2015
-17.65 5 3 9/1/2007 2/1/2008
-14.55 3 2 12/1/2008 3/1/2009
-10.59 1 4 1/1/0001 10/1/2006
-0.65 1 1 6/1/2008 7/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
107.97 9 1/1/2007 9/1/2007
63.11 4 2/1/2010 5/1/2010
56.32 5 8/1/2008 12/1/2008
30.92 4 3/1/2008 6/1/2008
24.50 4 3/1/2013 6/1/2013
18.36 1 10/1/2010 10/1/2010
17.65 2 4/1/2009 5/1/2009
16.07 1 9/1/2014 9/1/2014
15.80 3 11/1/2013 1/1/2014
15.33 2 5/1/2011 6/1/2011
15.13 1 8/1/2013 8/1/2013
12.52 2 3/1/2012 4/1/2012
12.41 2 8/1/2009 9/1/2009
11.27 1 1/1/2015 1/1/2015
9.44 2 12/1/2010 1/1/2011
8.57 1 10/1/2011 10/1/2011
8.18 1 1/1/2013 1/1/2013
7.31 1 8/1/2010 8/1/2010
4.75 1 11/1/2009 11/1/2009
3.72 1 6/1/2012 6/1/2012
3.66 1 11/1/2006 11/1/2006
3.50 1 11/1/2014 11/1/2014
1.49 1 6/1/2015 6/1/2015
1.34 1 2/1/2009 2/1/2009
1.29 1 9/1/2012 9/1/2012
1.25 1 1/1/2012 1/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.18 2 12/1/2009 1/1/2010
-26.71 7 2/1/2014 8/1/2014
-24.28 4 2/1/2015 5/1/2015
-22.46 2 6/1/2009 7/1/2009
-20.97 3 7/1/2011 9/1/2011
-19.60 2 7/1/2012 8/1/2012
-18.53 1 5/1/2012 5/1/2012
-18.23 3 2/1/2011 4/1/2011
-17.65 5 10/1/2007 2/1/2008
-17.08 1 10/1/2014 10/1/2014
-14.79 2 6/1/2010 7/1/2010
-12.68 3 10/1/2012 12/1/2012
-10.80 2 9/1/2013 10/1/2013
-10.59 1 10/1/2006 10/1/2006
-10.37 1 12/1/2014 12/1/2014
-9.49 1 11/1/2010 11/1/2010
-8.44 1 3/1/2009 3/1/2009
-7.91 1 1/1/2009 1/1/2009
-6.39 1 2/1/2012 2/1/2012
-6.17 2 11/1/2011 12/1/2011
-5.51 1 10/1/2009 10/1/2009
-5.50 1 2/1/2013 2/1/2013
-5.25 1 7/1/2013 7/1/2013
-3.43 1 9/1/2010 9/1/2010
-0.65 1 7/1/2008 7/1/2008
-0.59 1 12/1/2006 12/1/2006
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods105.00103.00100.0094.0088.0082.0070.0058.0046.00
Percent Profitable51.4348.5447.0047.8745.4539.0234.2939.6626.09
Average Period Return0.591.984.698.5012.3316.8510.2312.985.68
Average Gain7.6715.2325.1839.6051.8674.8589.4490.67100.06
Average Loss-6.90-10.52-13.48-20.07-20.61-20.27-31.10-38.07-27.63
Best Period22.4856.8680.57104.45124.21248.20200.20249.19179.88
Worst Period-29.94-31.05-32.49-38.01-48.41-48.70-51.37-58.60-60.17
Standard Deviation8.9916.3724.9837.0547.4466.2866.5680.3665.98
Gain Standard Deviation4.8412.4521.1929.2243.0873.8655.8377.7261.74
Loss Standard Deviation5.667.178.6511.7313.7214.4110.3312.3116.86
Sharpe Ratio (1%)0.060.110.170.200.230.220.110.110.01
Average Gain / Average Loss1.111.451.871.972.523.692.882.383.62
Profit / Loss Ratio1.181.371.661.812.102.361.501.571.28
Downside Deviation (10%)6.429.8513.1819.9623.1626.3738.9147.4149.86
Downside Deviation (5%)6.249.2611.9317.3719.1720.6628.8834.0631.56
Downside Deviation (0%)6.209.1111.6316.7418.2319.3626.5431.0427.72
Sortino Ratio (10%)0.030.080.170.180.200.25-0.14-0.18-0.44
Sortino Ratio (5%)0.080.190.350.430.560.720.250.260.02
Sortino Ratio (0%)0.100.220.400.510.680.870.390.420.20

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Year Rolling 5 41.44 2012 - 2013
Diversified Trader Index Month 10 6.70 12/2013
IASG CTA Index Month 1 15.13 8/2013
Systematic Trader Index Month 1 15.13 8/2013
Diversified Trader Index Month 1 15.13 8/2013
Systematic Trader Index Month 9 6.19 6/2013
Diversified Trader Index Month 8 6.19 6/2013
IASG CTA Index Month 9 6.19 6/2013
IASG CTA Index Month 6 8.81 5/2013
Diversified Trader Index Month 5 8.81 5/2013
Systematic Trader Index Month 4 8.81 5/2013
Diversified Trader Index Month 8 3.72 6/2012
IASG CTA Index Month 7 9.42 3/2012
Diversified Trader Index Month 4 9.42 3/2012
Systematic Trader Index Month 5 9.42 3/2012
Systematic Trader Index Month 4 8.57 10/2011
Diversified Trader Index Month 5 8.57 10/2011
IASG CTA Index Month 9 8.57 10/2011
Diversified Trader Index Month 1 11.55 6/2011
Systematic Trader Index Month 1 11.55 6/2011
IASG CTA Index Month 1 11.55 6/2011
Systematic Trader Index Month 9 5.44 1/2011
Diversified Trader Index Month 10 5.44 1/2011
IASG CTA Index Month 10 18.36 10/2010
Systematic Trader Index Month 5 18.36 10/2010
Diversified Trader Index Month 5 18.36 10/2010
IASG CTA Index Month 1 15.06 4/2010
Systematic Trader Index Month 1 15.06 4/2010
Diversified Trader Index Month 1 15.06 4/2010
Diversified Trader Index Month 1 22.48 2/2010
Systematic Trader Index Month 1 22.48 2/2010
IASG CTA Index Month 1 22.48 2/2010
IASG CTA Index 3 Year Rolling 5 183.71 2006 - 2009
Systematic Trader Index Month 6 9.49 8/2009
Diversified Trader Index Month 7 9.49 8/2009
Systematic Trader Index Month 9 6.48 4/2009
Diversified Trader Index Month 5 6.48 4/2009
Systematic Trader Index Month 9 12.40 8/2008
Diversified Trader Index Month 7 12.40 8/2008
Systematic Trader Index Month 3 12.66 5/2008
Diversified Trader Index Month 3 12.66 5/2008
IASG CTA Index Month 3 12.66 5/2008
Diversified Trader Index Month 4 10.41 3/2008
IASG CTA Index Month 5 10.41 3/2008
Systematic Trader Index Month 4 10.41 3/2008
IASG CTA Index Year Rolling 4 80.45 2006 - 2007
Diversified Trader Index Month 3 13.13 8/2007
Systematic Trader Index Month 4 13.13 8/2007
IASG CTA Index Month 6 13.13 8/2007
Systematic Trader Index Month 8 6.98 7/2007
IASG CTA Index Month 9 6.98 7/2007
Diversified Trader Index Month 5 6.98 7/2007
IASG CTA Index Month 2 13.16 6/2007
Systematic Trader Index Month 2 13.16 6/2007
Diversified Trader Index Month 2 13.16 6/2007
Systematic Trader Index Month 7 13.52 4/2007
Diversified Trader Index Month 7 13.52 4/2007
IASG CTA Index Month 8 13.52 4/2007
IASG CTA Index Month 2 8.87 3/2007
Systematic Trader Index Month 1 8.87 3/2007
Diversified Trader Index Month 1 8.87 3/2007
Systematic Trader Index Month 3 5.52 2/2007
Diversified Trader Index Month 5 5.52 2/2007
IASG CTA Index Month 7 5.52 2/2007
Diversified Trader Index Month 8 5.96 1/2007
Systematic Trader Index Month 10 5.96 1/2007

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