RGT Advisors LLC : RGT Futures

archived programs
Year-to-Date
N / A
Feb Performance
0.01%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
2.42%
Sharpe (RFR=1%)
-0.74
CAROR
-
Assets
$ 6.0M
Worst DD
-2.38
S&P Correlation
-0.14

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
5/2009
RGT Futures 0.01 - - - - - - -0.67
S&P 500 2.85 - - - - - - 276.89
+/- S&P 500 -2.84 - - - - - - -277.56

Strategy Description

Summary

Please see below.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $1.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Monthly
Redemption Frequency Monthly
Investor Requirements Accredited Investors
Lock-up Period 1

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 1%
Targeted Worst DD -1.00%
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 50.00%
1-30 Days
Intraday 50.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
25.00%
Option-spreads
50.00%
Spreading/hedging
25.00%
Strategy Pie Chart

Summary

Please see below.

Investment Strategy

Trading strategy is discretionary, generally with a long volatility option overlay. RGT's investment objective is to generate percentage returns in the mid teens and higher, without specific correlation to any particular benchmarks, emphasizing capital preservation, strict risk control, and low volatility.

Risk Management

Risk control drives the investment process. The first rule at RGT is to preserve capital and avoid meaningful losses. RGT hedges its portfolio, both on the macro level and by individual position, whenever appropriate, using options, futures, and ETF’s. RGT respects market activity and is unwilling to sustain a large loss regardless of the level of conviction about an idea. Therefore positions are entered carefully and in stages. RGT does not generally average down and will not enter stage 2 of an idea if stage 1 is not working. Positions which are acting poorly are hedged and re-hedged continuously to control P&L damage. RGT structures positions so that losses on a given idea are limited to a maximum of 1% of equity. In practice, no losses of that magnitude have been sustained. RGT does not leverage its portfolio. Notional positions on either side of the market cannot exceed 100% of account equity.

   

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
-2.38 5 - 6/1/2009 11/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
1.33 2 5/1/2009 6/1/2009
0.41 3 12/1/2009 2/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.38 5 7/1/2009 11/1/2009
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable50.0037.50
Average Period Return-0.07-0.59
Average Gain0.350.57
Average Loss-0.48-1.28
Best Period1.081.25
Worst Period-1.70-2.10
Standard Deviation0.701.27
Gain Standard Deviation0.430.62
Loss Standard Deviation0.691.00
Sharpe Ratio (1%)-0.21-0.66
Average Gain / Average Loss0.730.44
Profit / Loss Ratio0.730.27
Downside Deviation (10%)0.782.17
Downside Deviation (5%)0.591.41
Downside Deviation (0%)0.551.24
Sortino Ratio (10%)-0.60-0.84
Sortino Ratio (5%)-0.25-0.60
Sortino Ratio (0%)-0.12-0.48

Top Performer Badges

Index Award Type Rank Performance Period

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