Romanesco Capital Management B.V : Persistence Program

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

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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	2019	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

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%

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.

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

Reward
Average RoR:
Max Gain:
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Average Gain:
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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	123.00	121.00	118.00	112.00	106.00	100.00	88.00	76.00	64.00
Percent Profitable	62.60	64.46	64.41	75.89	78.30	81.00	93.18	98.68	100.00
Average Period Return	0.80	2.36	4.71	9.69	14.81	20.73	30.39	41.78	54.90
Average Gain	3.00	6.21	10.25	15.17	21.74	27.94	32.99	42.36	54.90
Average Loss	-2.88	-4.62	-5.31	-7.56	-10.20	-10.04	-5.15	-1.59
Best Period	11.65	19.25	35.76	43.17	69.92	82.39	75.09	96.53	126.07
Worst Period	-8.08	-11.81	-15.72	-17.00	-18.92	-19.52	-7.08	-1.59	1.01
Standard Deviation	3.64	6.65	9.96	13.97	19.15	22.84	21.26	24.33	28.33
Gain Standard Deviation	2.43	4.68	7.71	11.19	15.39	18.99	19.62	23.96	28.33
Loss Standard Deviation	1.98	2.96	3.83	4.67	5.68	5.72	1.89
Sharpe Ratio (1%)	0.20	0.32	0.42	0.62	0.70	0.82	1.29	1.55	1.76
Average Gain / Average Loss	1.04	1.35	1.93	2.01	2.13	2.78	6.41	26.62
Profit / Loss Ratio	1.74	2.44	3.49	6.32	7.70	11.87	87.62	1996.72
Downside Deviation (10%)	2.34	3.90	5.19	6.68	8.87	9.39	6.44	5.95	5.93
Downside Deviation (5%)	2.17	3.38	4.14	4.77	6.04	5.79	2.19	0.72	0.52
Downside Deviation (0%)	2.13	3.26	3.89	4.34	5.41	5.00	1.42	0.18
Sortino Ratio (10%)	0.17	0.29	0.43	0.70	0.81	1.12	2.27	3.40	4.60
Sortino Ratio (5%)	0.33	0.62	1.02	1.82	2.20	3.23	12.50	52.11	95.70
Sortino Ratio (0%)	0.37	0.73	1.21	2.23	2.74	4.14	21.44	228.92

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.

^#9

Top Performer

DIVERSIFIED TRADER INDEX

JUNE
2010

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Romanesco Capital Management B.V : Persistence Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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