Romanesco Capital Management B.V : Persistence Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since9/2005 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 SummaryROMANESCO 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% 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% SummaryROMANESCO 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 StrategyThe Persistence Program attempts to identify low reversal probability events with attractive potential reward to risk. Risk ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel