Rialto Capital : Rialto Global Macro

archived programs
Year-to-Date
N / A
Mar Performance
1.77%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.65%
Sharpe (RFR=1%)
2.91
CAROR
-
Assets
$ 1.0M
Worst DD
-1.64
S&P Correlation
-0.08

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
8/2011
Rialto Global Macro 1.77 - - - - - - 14.25
S&P 500 3.13 - - - - - - 184.21
+/- S&P 500 -1.36 - - - - - - -169.96

Strategy Description

Account & Fees

Type Fund
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Any Investor
Lock-up Period 1

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 10.00%
Intraday 90.00%

Decision-Making

Discretionary 100.00%
Systematic

Strategy

Arbitrage
50.00%
Spreading/hedging
50.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
Currency Futures
20.00%
Interest Rates
15.00%
Industrial Metals
3.00%
Precious Metals
3.00%
Energy
3.00%
Grains
3.00%
Softs
3.00%
Composition Pie Chart
   

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
-1.64 1 1 1/1/2012 2/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
14.13 6 8/1/2011 1/1/2012
1.77 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.64 1 2/1/2012 2/1/2012
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable87.50100.00
Average Period Return1.705.20
Average Gain2.175.20
Average Loss-1.64
Best Period4.977.04
Worst Period-1.643.51
Standard Deviation1.921.37
Gain Standard Deviation1.481.37
Loss Standard Deviation
Sharpe Ratio (1%)0.843.60
Average Gain / Average Loss1.32
Profit / Loss Ratio9.27
Downside Deviation (10%)0.73
Downside Deviation (5%)0.61
Downside Deviation (0%)0.58
Sortino Ratio (10%)1.77
Sortino Ratio (5%)2.65
Sortino Ratio (0%)2.92

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.