Rincon Capital LLC : Active Beta Management

archived programs
Year-to-Date
N / A
Sep Performance
-3.87%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
22.50%
Annualized Vol
10.85%
Sharpe (RFR=1%)
0.54
CAROR
-
Assets
$ 5.8M
Worst DD
-14.09
S&P Correlation
0.60

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
11/2016
Active Beta Management -3.87 - - - -1.89 - - 12.75
S&P 500 0.43 - - - 50.24 - - 57.57
+/- S&P 500 -4.30 - - - -52.12 - - -44.82

Strategy Description

Investment Strategy

Rincon's trading strategy relies primarily on a fundamental analysis of market conditions and macro-economic indicators to employ "Active Beta Management" of the equity market. Beta is the measure of an asset's correlation with a market (for example the S&P 500) or to an... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 22.50%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1600 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD 20.00%
Worst Peak-to-Trough -6.00%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Fundamental
35.00%
Option-purchasing
5.00%
Technical
60.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

Rincon's trading strategy relies primarily on a fundamental analysis of market conditions and macro-economic indicators to employ "Active Beta Management" of the equity market. Beta is the measure of an asset's correlation with a market (for example the S&P 500) or to an alternative benchmark or factors. Roughly speaking, a security with a beta of 1.5, will move, on average, up or down 1.5 times the movement of the corresponding market. Active Beta Management is the concept of adjusting an account's beta to achieve a more optimal return while managing risk.

At its simplest level Active Beta Management increases an account's exposure to the equity markets (Beta > one) during conditions believed to be favorable to equity appreciation and decreases exposure (Beta < one) during periods considered to be high risk or sub-optimal. This approach contrasts with passive beta investing commonly referred to as a buy and hold strategy. Active Beta Management typically experiences its best relative success during periods of market congestion.

Nov 2016 thru October 2017 reflects pro forma returns of proprietary assets with a fee structure of 0/22.5. Nov 2017 to current is a composite of client accounts only.

   

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:
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Sharpe Ratio: (RF=1%)
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Reward
Compound RoR:
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Sharpe Ratio: (RF=1%)
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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
-14.09 8 - 1/1/2018 9/1/2018
-0.72 1 1 5/1/2017 6/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
20.74 7 7/1/2017 1/1/2018
6.90 5 11/1/2016 3/1/2017
5.27 1 7/1/2018 7/1/2018
2.78 1 5/1/2018 5/1/2018
2.42 1 5/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.31 3 2/1/2018 4/1/2018
-6.45 2 8/1/2018 9/1/2018
-4.30 1 6/1/2018 6/1/2018
-0.72 1 6/1/2017 6/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods23.0021.0018.0012.00
Percent Profitable65.2276.1966.6791.67
Average Period Return0.572.344.7813.05
Average Gain2.434.8410.2114.56
Average Loss-3.33-5.64-6.09-3.64
Best Period6.299.8515.3828.09
Worst Period-5.88-11.31-8.83-3.64
Standard Deviation3.135.318.379.76
Gain Standard Deviation1.732.312.718.63
Loss Standard Deviation1.604.063.04
Sharpe Ratio (1%)0.160.390.511.23
Average Gain / Average Loss0.730.861.684.00
Profit / Loss Ratio1.562.753.3544.00
Downside Deviation (10%)2.223.805.202.63
Downside Deviation (5%)2.053.384.131.34
Downside Deviation (0%)2.013.273.871.05
Sortino Ratio (10%)0.070.290.443.05
Sortino Ratio (5%)0.240.621.048.99
Sortino Ratio (0%)0.280.721.2412.41

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.