Romanesco Capital Management B.V : Persistence Program

archived programs
Year-to-Date
N / A
Nov Performance
1.75%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
12.63%
Sharpe (RFR=1%)
0.68
CAROR
9.14%
Assets
$ 6.8M
Worst DD
-21.81
S&P Correlation
-0.27

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
9/2005
Persistence Program 1.75 4.54 - -0.98 -7.08 18.26 135.51 145.20
S&P 500 0.05 5.49 - 0.62 46.90 76.19 66.47 69.27
+/- S&P 500 1.70 -0.95 - -1.60 -53.98 -57.94 69.04 75.93

Strategy Description

Summary

ROMANESCO CAPITAL MANAGEMENT (PERSISTENCE PROGRAM) seeks to deliver strong risk-adjusted returns with a low correlation to traditional investments, hedge funds and CTAs. The Persistence Program employs multiple short-term trading systems in a diversified portfolio of liquid futures... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
4.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
4000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
15.73%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
70.00%
Intraday
30.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
33.00%
Pattern Recognition
33.00%
Technical
34.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Grains
8.00%
Energy
6.00%
Softs
6.00%
Precious Metals
3.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

ROMANESCO CAPITAL MANAGEMENT (PERSISTENCE PROGRAM) seeks to deliver strong risk-adjusted returns with a low correlation to traditional investments, hedge funds and CTAs. The Persistence Program employs multiple short-term trading systems in a diversified portfolio of liquid futures markets. The strategies have been developed to exploit repetitive patterns of short term price movements. Trades are held on average two days. Risk management is achieved through diversification and trading rules. Trading and execution is fully systematic and automated.

Investment Strategy

The Persistence Program attempts to identify low reversal probability events with attractive potential reward to risk.

Risk Management

The Persistence Program combines trade filtering methods and low risk betting per trade to create a broadly diversified approach across low correlation return streams. Each trade employs stop loss.

   

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
-21.81 27 - 6/1/2013 9/1/2015
-15.72 6 11 2/1/2008 8/1/2008
-11.61 3 2 2/1/2007 5/1/2007
-10.97 4 7 9/1/2010 1/1/2011
-8.88 8 3 7/1/2009 3/1/2010
-6.81 7 1 9/1/2011 4/1/2012
-3.26 1 1 7/1/2006 8/1/2006
-3.24 1 1 4/1/2006 5/1/2006
-2.32 1 1 7/1/2012 8/1/2012
-2.13 1 1 1/1/2006 2/1/2006
-0.46 1 1 2/1/2013 3/1/2013
-0.39 1 1 4/1/2013 5/1/2013
-0.05 1 1 5/1/2012 6/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
50.92 9 6/1/2007 2/1/2008
27.38 6 9/1/2006 2/1/2007
24.22 6 4/1/2010 9/1/2010
16.84 3 5/1/2009 7/1/2009
16.69 6 9/1/2012 2/1/2013
12.90 5 9/1/2005 1/1/2006
11.65 1 5/1/2012 5/1/2012
8.14 3 7/1/2011 9/1/2011
7.72 2 6/1/2006 7/1/2006
7.67 4 2/1/2011 5/1/2011
7.33 3 9/1/2008 11/1/2008
7.08 2 12/1/2013 1/1/2014
6.45 2 3/1/2006 4/1/2006
5.66 2 10/1/2015 11/1/2015
5.01 1 1/1/2009 1/1/2009
4.98 1 12/1/2010 12/1/2010
4.57 1 4/1/2013 4/1/2013
3.92 1 7/1/2014 7/1/2014
3.63 2 8/1/2013 9/1/2013
2.76 5 9/1/2014 1/1/2015
2.52 1 3/1/2015 3/1/2015
2.29 1 3/1/2012 3/1/2012
1.43 1 6/1/2013 6/1/2013
1.12 2 5/1/2008 6/1/2008
0.97 1 1/1/2012 1/1/2012
0.96 1 7/1/2012 7/1/2012
0.59 2 1/1/2010 2/1/2010
0.59 1 11/1/2011 11/1/2011
0.58 1 5/1/2015 5/1/2015
0.41 1 8/1/2015 8/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.49 5 2/1/2014 6/1/2014
-11.74 2 7/1/2008 8/1/2008
-11.61 3 3/1/2007 5/1/2007
-9.75 2 10/1/2010 11/1/2010
-9.21 3 2/1/2009 4/1/2009
-8.64 5 8/1/2009 12/1/2009
-8.08 1 7/1/2013 7/1/2013
-6.18 2 6/1/2015 7/1/2015
-6.03 1 1/1/2011 1/1/2011
-5.57 2 3/1/2008 4/1/2008
-4.84 2 10/1/2013 11/1/2013
-4.63 1 4/1/2012 4/1/2012
-4.56 1 8/1/2014 8/1/2014
-3.26 1 8/1/2006 8/1/2006
-3.24 1 5/1/2006 5/1/2006
-3.22 1 10/1/2011 10/1/2011
-3.10 1 2/1/2015 2/1/2015
-2.32 1 8/1/2012 8/1/2012
-2.13 1 2/1/2006 2/1/2006
-1.89 1 2/1/2012 2/1/2012
-1.06 1 9/1/2015 9/1/2015
-0.98 1 6/1/2011 6/1/2011
-0.94 1 12/1/2011 12/1/2011
-0.84 1 3/1/2010 3/1/2010
-0.75 1 4/1/2015 4/1/2015
-0.46 1 3/1/2013 3/1/2013
-0.39 1 5/1/2013 5/1/2013
-0.05 1 6/1/2012 6/1/2012
-0.04 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods123.00121.00118.00112.00106.00100.0088.0076.0064.00
Percent Profitable62.6064.4664.4175.8978.3081.0093.1898.68100.00
Average Period Return0.802.364.719.6914.8120.7330.3941.7854.90
Average Gain3.006.2110.2515.1721.7427.9432.9942.3654.90
Average Loss-2.88-4.62-5.31-7.56-10.20-10.04-5.15-1.59
Best Period11.6519.2535.7643.1769.9282.3975.0996.53126.07
Worst Period-8.08-11.81-15.72-17.00-18.92-19.52-7.08-1.591.01
Standard Deviation3.646.659.9613.9719.1522.8421.2624.3328.33
Gain Standard Deviation2.434.687.7111.1915.3918.9919.6223.9628.33
Loss Standard Deviation1.982.963.834.675.685.721.89
Sharpe Ratio (1%)0.200.320.420.620.700.821.291.551.76
Average Gain / Average Loss1.041.351.932.012.132.786.4126.62
Profit / Loss Ratio1.742.443.496.327.7011.8787.621996.72
Downside Deviation (10%)2.343.905.196.688.879.396.445.955.93
Downside Deviation (5%)2.173.384.144.776.045.792.190.720.52
Downside Deviation (0%)2.133.263.894.345.415.001.420.18
Sortino Ratio (10%)0.170.290.430.700.811.122.273.404.60
Sortino Ratio (5%)0.330.621.021.822.203.2312.5052.1195.70
Sortino Ratio (0%)0.370.731.212.232.744.1421.44228.92

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 7.12 6/2010
Systematic Trader Index Month 10 7.12 6/2010
Systematic Trader Index Month 10 5.89 7/2009
Systematic Trader Index Month 7 10.11 7/2007
IASG CTA Index Month 8 10.11 7/2007
Diversified Trader Index Month 4 10.11 7/2007
Diversified Trader Index Month 6 5.47 2/2007
Systematic Trader Index Month 4 5.47 2/2007
IASG CTA Index Month 8 5.47 2/2007
IASG CTA Index Sharpe 10 2.43 2005 - 2006
IASG CTA Index Month 9 6.21 9/2006
Systematic Trader Index Month 9 6.21 9/2006
Diversified Trader Index Month 7 6.21 9/2006
Diversified Trader Index Month 6 3.03 7/2006
Systematic Trader Index Month 5 3.03 7/2006
IASG CTA Index Month 6 4.55 6/2006
Diversified Trader Index Month 3 4.55 6/2006
Systematic Trader Index Month 4 4.55 6/2006
IASG CTA Index Sharpe 1 6.93 2004 - 2005

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