Rosenthal Collins Pool Operators (Cayman) Ltd. : RCG Select Fund

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.59%
Sharpe (RFR=1%)
2.23
CAROR
16.66%
Assets
$ 0k
Worst DD
-1.56
S&P Correlation
-0.01

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
6/2005
RCG Select Fund 0.00 - - - - - - 102.62
S&P 500 1.78 - - - - - - 190.78
+/- S&P 500 -1.78 - - - - - - -88.16

Strategy Description

Summary

The fund seeks to offer clients consistent returns with low volatility in various market environments. Significant opportunities exist to generate returns in both rising and falling market environments in the global financial and commodities markets. The fund seeks to capitalize on... Read More

Account & Fees

Type Fund
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 11%
Targeted Worst DD -3.50%
Worst Peak-to-Trough 1.56%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 100.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Summary

The fund seeks to offer clients consistent returns with low volatility in various market environments. Significant opportunities exist to generate returns in both rising and falling market environments in the global financial and commodities markets. The fund seeks to capitalize on these opportunities by applying discretionary, fundamental evaluation of market drivers and their impact on various sectors. Through an analysis of capital flows, short term directional opportunities are identified and trades are structured for optimal return and risk characteristics. Portfolio concentration is avoided and risk is managed on multiple levels.

Investment Strategy

• Discretionary based approach using quantitative tools for identification of trade entry and exit levels • Global macro in scope with a focus on commodities • Short term trade horizon of 2-5 days • Market price validation is a key indicator of trading opportunities • Limited number of positions in what we consider to be the best opportunities within seven market sectors • The strategy seeks to achieve a high percentage of profitable trades as wells as a high win/loss ratio • Targets consistent high risk adjusted returns

Risk Management

• Risk is managed across multiple dimensions – Price • Disciplined, pre-determined entry/exit levels • Stop loss employed for every trade – Concentration • Evaluate sector correlation • Portfolio may include 0-7 positions – Time • Capitalize on short term opportunities • Typical trade lasts 2-5 days – Trade Structure • Optimal risk/reward profile • Predominately futures

   

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
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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
-1.56 1 1 12/1/2007 1/1/2008
-1.53 3 2 12/1/2006 3/1/2007
-1.43 5 4 11/1/2008 4/1/2009
-1.16 2 1 6/1/2007 8/1/2007
-0.85 1 2 1/1/2006 2/1/2006
-0.15 1 - 9/1/2009 10/1/2009
-0.14 1 1 6/1/2006 7/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
30.06 8 6/1/2005 1/1/2006
17.13 10 2/1/2008 11/1/2008
12.94 5 8/1/2006 12/1/2006
10.21 4 9/1/2007 12/1/2007
7.74 4 3/1/2006 6/1/2006
4.22 3 4/1/2007 6/1/2007
1.57 3 7/1/2009 9/1/2009
0.66 2 1/1/2009 2/1/2009
0.62 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.56 1 1/1/2008 1/1/2008
-1.53 3 1/1/2007 3/1/2007
-1.24 2 3/1/2009 4/1/2009
-1.16 2 7/1/2007 8/1/2007
-0.85 1 12/1/2008 12/1/2008
-0.85 1 2/1/2006 2/1/2006
-0.28 1 6/1/2009 6/1/2009
-0.15 3 10/1/2009 12/1/2009
-0.14 1 7/1/2006 7/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods55.0053.0050.0044.0038.0032.0020.00
Percent Profitable72.7383.0290.00100.00100.00100.00100.00
Average Period Return1.314.058.2516.6725.8535.4657.92
Average Gain1.995.009.2416.6725.8535.4657.92
Average Loss-0.60-0.61-0.72
Best Period7.5013.3024.8239.1256.6359.2990.95
Worst Period-1.56-1.53-1.280.315.1015.6529.31
Standard Deviation1.903.926.7710.6212.0311.5121.11
Gain Standard Deviation1.773.616.3910.6212.0311.5121.11
Loss Standard Deviation0.490.570.39
Sharpe Ratio (1%)0.650.971.141.472.022.912.60
Average Gain / Average Loss3.348.1412.83
Profit / Loss Ratio10.2839.79115.48
Downside Deviation (10%)0.550.851.121.360.42
Downside Deviation (5%)0.400.420.400.13
Downside Deviation (0%)0.370.340.25
Sortino Ratio (10%)1.633.325.168.5643.55
Sortino Ratio (5%)3.049.0019.31118.10
Sortino Ratio (0%)3.5312.0132.53

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.