Robinson-Langley Capital Management, LLC : Managed Account Program

archived programs
Year-to-Date
N / A
Jan Performance
3.36%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.87%
Sharpe (RFR=1%)
0.27
CAROR
4.30%
Assets
$ 650k
Worst DD
-45.63
S&P Correlation
-0.02

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 Since
1/2007
Managed Account Program 3.36 3.26 - 7.74 -2.72 53.25 -6.23 59.54
S&P 500 5.62 9.65 - 22.66 40.12 86.59 102.74 86.76
+/- S&P 500 -2.26 -6.39 - -14.92 -42.84 -33.34 -108.97 -27.22

Strategy Description

Summary

RL Capital is a global alternative asset manager which specializes in the development of systematic investment strategies. Our philosophy is that above-average absolute and risk-adjusted returns can be best achieved by employing rigorously tested quantitative models across a broad... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 10k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
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
1200 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
40.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
20.00%
4-12 Months
24.00%
1-3 Months
35.00%
1-30 Days
20.00%
Intraday
1.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
25.00%
Trend-following
75.00%
Strategy Pie Chart

Composition

Currency Futures
15.00%
Energy
15.00%
Interest Rates
15.00%
Stock Indices
15.00%
Grains
10.00%
Livestock
10.00%
Softs
10.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

RL Capital is a global alternative asset manager which specializes in the development of systematic investment strategies. Our philosophy is that above-average absolute and risk-adjusted returns can be best achieved by employing rigorously tested quantitative models across a broad range of markets. Utilizing models which invest in global futures and commodity markets as well as stocks allows for exposure to several non-correlated instruments aimed at providing a superior risk/reward tradeoff. Robinson-Langley Capital Management, LLC is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor (CTA) and commodity pool operator (CPO) and a member of the National Futures Association (NFA) in such capacities. Current product offerings include the RL Capital Diversified Program and a privately offered commodity pool. In addition, RL Capital has designed trading systems utilized by various traditional and alternative asset managers. RL Capital manages assets for retail, institutional and high net-worth investors across North America, South America, Europe and Asia.

Investment Strategy

RL Capital uses a quantitative trading method which it applies to a diversified portfolio of commodity, domestic and foreign currency, and financial futures markets. The Program employs a multi-system, trend following approach that participates in both intermediate and long-term time frames, with an average holding period of 5 weeks. The program trades a diversified portfolio of 32 markets across 8 sectors selected on the basis of liquidity, transparency and correlation. The Program incorporates a dynamic money management strategy which includes pyramiding profitable positions and systematically normalizing risk by adjusting exits throughout the duration of a trade.

   

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
-45.63 26 - 4/1/2011 6/1/2013
-23.69 11 7 8/1/2009 7/1/2010
-13.22 4 5 3/1/2008 7/1/2008
-8.65 4 4 12/1/2008 4/1/2009
-5.52 1 4 4/1/2007 5/1/2007
-2.94 1 1 2/1/2011 3/1/2011
-0.49 1 1 2/1/2007 3/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
54.89 7 9/1/2007 3/1/2008
27.96 2 8/1/2014 9/1/2014
24.96 3 8/1/2010 10/1/2010
20.08 3 11/1/2014 1/1/2015
16.30 5 8/1/2008 12/1/2008
13.70 1 4/1/2007 4/1/2007
11.06 1 5/1/2012 5/1/2012
8.68 1 5/1/2009 5/1/2009
8.55 2 6/1/2016 7/1/2016
8.11 3 12/1/2010 2/1/2011
7.92 1 2/1/2014 2/1/2014
7.34 2 7/1/2009 8/1/2009
6.02 2 9/1/2013 10/1/2013
5.91 2 3/1/2013 4/1/2013
5.84 2 7/1/2011 8/1/2011
5.73 2 1/1/2007 2/1/2007
5.36 1 7/1/2015 7/1/2015
5.20 1 4/1/2011 4/1/2011
4.75 1 7/1/2012 7/1/2012
4.73 2 6/1/2007 7/1/2007
4.48 6 2/1/2017 7/1/2017
4.32 1 1/1/2013 1/1/2013
4.20 1 5/1/2014 5/1/2014
3.77 1 5/1/2015 5/1/2015
3.72 1 12/1/2013 12/1/2013
3.36 1 1/1/2018 1/1/2018
3.28 1 2/1/2016 2/1/2016
3.02 1 11/1/2009 11/1/2009
3.01 1 11/1/2015 11/1/2015
2.97 1 11/1/2016 11/1/2016
2.77 1 9/1/2015 9/1/2015
2.39 1 3/1/2015 3/1/2015
2.14 1 3/1/2010 3/1/2010
1.89 1 7/1/2013 7/1/2013
1.31 2 5/1/2008 6/1/2008
1.25 2 10/1/2017 11/1/2017
1.08 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.06 8 9/1/2011 4/1/2012
-22.94 5 8/1/2012 12/1/2012
-12.98 3 12/1/2009 2/1/2010
-12.45 1 6/1/2012 6/1/2012
-11.15 1 8/1/2015 8/1/2015
-10.69 4 4/1/2010 7/1/2010
-10.27 2 5/1/2011 6/1/2011
-9.84 1 7/1/2008 7/1/2008
-8.65 4 1/1/2009 4/1/2009
-7.18 2 5/1/2013 6/1/2013
-6.69 2 9/1/2009 10/1/2009
-6.02 3 3/1/2016 5/1/2016
-5.80 1 6/1/2015 6/1/2015
-5.52 1 5/1/2007 5/1/2007
-5.45 1 1/1/2014 1/1/2014
-5.35 1 10/1/2015 10/1/2015
-4.99 1 4/1/2008 4/1/2008
-4.46 1 8/1/2007 8/1/2007
-3.94 2 6/1/2014 7/1/2014
-3.80 1 2/1/2013 2/1/2013
-3.54 1 2/1/2015 2/1/2015
-3.45 1 4/1/2015 4/1/2015
-3.43 1 10/1/2016 10/1/2016
-3.28 1 10/1/2014 10/1/2014
-2.94 1 3/1/2011 3/1/2011
-2.85 2 12/1/2015 1/1/2016
-2.84 1 6/1/2009 6/1/2009
-2.58 2 12/1/2016 1/1/2017
-2.32 1 11/1/2010 11/1/2010
-1.82 1 8/1/2016 8/1/2016
-1.75 2 3/1/2014 4/1/2014
-0.57 1 8/1/2013 8/1/2013
-0.49 1 3/1/2007 3/1/2007
-0.15 2 8/1/2017 9/1/2017
-0.10 1 12/1/2017 12/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods133.00131.00128.00122.00116.00110.0098.0086.0074.00
Percent Profitable51.1357.2555.4758.2055.1750.0061.2245.3544.59
Average Period Return0.481.342.615.075.776.245.383.98-5.71
Average Gain4.236.9411.7719.2323.4529.7425.9235.0717.39
Average Loss-3.49-6.17-8.80-14.65-15.99-17.27-27.05-21.81-24.30
Best Period16.6329.4550.4466.5068.6276.8169.8879.0848.80
Worst Period-12.77-18.80-25.80-30.27-41.76-43.53-40.97-43.37-39.31
Standard Deviation5.169.0114.0622.1626.1729.7329.0033.4624.38
Gain Standard Deviation3.857.1911.5517.4120.3721.8614.7322.0915.06
Loss Standard Deviation2.984.696.539.1012.5113.459.6912.9210.44
Sharpe Ratio (1%)0.080.120.150.180.160.140.080.00-0.44
Average Gain / Average Loss1.211.131.341.311.471.720.961.610.72
Profit / Loss Ratio1.291.511.671.831.811.721.511.330.58
Downside Deviation (10%)3.395.728.6914.0417.9421.7927.6133.8740.93
Downside Deviation (5%)3.225.187.5611.6714.3516.5719.6621.3423.20
Downside Deviation (0%)3.175.057.2911.1213.5415.4217.8618.6919.65
Sortino Ratio (10%)0.020.020.020.01-0.10-0.18-0.38-0.52-0.81
Sortino Ratio (5%)0.120.210.280.350.300.260.120.00-0.47
Sortino Ratio (0%)0.150.260.360.460.430.400.300.21-0.29

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 6 12.49 8/2014
Diversified Trader Index Month 6 12.49 8/2014
Systematic Trader Index Month 7 12.49 8/2014
IASG CTA Index Month 8 12.49 8/2014
Trend Following Strategy Index Month 8 3.82 9/2013
Trend Following Strategy Index Month 3 13.70 4/2007
Systematic Trader Index Month 5 13.70 4/2007
Diversified Trader Index Month 5 13.70 4/2007
IASG CTA Index Month 6 13.70 4/2007
Trend Following Strategy Index Month 7 1.45 2/2007

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