Rosetta Analytics : DL Two

Year-to-Date
15.70%
Aug Performance
2.63%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
25.00%
Annualized Vol
17.32%
Sharpe (RFR=1%)
0.77
CAROR
13.79%
Assets
$ 1.2M
Worst DD
-11.70
S&P Correlation
0.70

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2018
DL Two 2.63 5.46 15.70 29.87 - - - 29.47
S&P 500 7.01 14.98 8.34 19.61 - - - 20.11
+/- S&P 500 -4.38 -9.52 7.36 10.26 - - - 9.36

Strategy Description

Summary

Rosetta Analytics DL Two Strategy seeks to provide a positive return in any market environment. The Strategy uses proprietary deep learning models to predict the daily change in direction of the S&P 500 on a close-to-close basis. It implements its predictions by taking a long position... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 2.00
Management Fee 1.50%
Performance Fee 25.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency 15-30 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 300 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough 24.00%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Rosetta Analytics DL Two Strategy seeks to provide a positive return in any market environment. The Strategy uses proprietary deep learning models to predict the daily change in direction of the S&P 500 on a close-to-close basis. It implements its predictions by taking a long position in S&P 500 E-Mini futures contracts or holding cash. The Strategy does not use leverage.

Investment Strategy

The Strategy is based on a proprietary deep learning model that autonomously learns to identify data patterns and correlations that no human can find at such scale, speed, and accuracy. The model generates a buy/sell signal once per day and implements the signal by taking a binary position in the S&P 500 E-mini futures--100% long or 100% cash.

Risk Management

Risk management is embedded in the deep learning model. Additionally, we manage risk by not employing leverage, using SMAs, and implementing operational safeguards that restrict the number and type of futures contracts that we are permitted to 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
-11.70 1 2 1/1/2020 2/1/2020
-10.28 3 3 9/1/2018 12/1/2018
-4.11 4 2 4/1/2019 8/1/2019
-0.12 1 1 5/1/2020 6/1/2020
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
20.70 3 3/1/2020 5/1/2020
15.55 5 9/1/2019 1/1/2020
14.94 4 1/1/2019 4/1/2019
5.59 2 7/1/2020 8/1/2020
1.02 1 6/1/2019 6/1/2019
0.88 1 11/1/2018 11/1/2018
0.82 1 9/1/2018 9/1/2018
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-11.70 1 2/1/2020 2/1/2020
-7.64 1 12/1/2018 12/1/2018
-3.91 1 5/1/2019 5/1/2019
-3.71 1 10/1/2018 10/1/2018
-1.22 2 7/1/2019 8/1/2019
-0.12 1 6/1/2020 6/1/2020
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable70.8359.0994.7492.31100.00
Average Period Return1.203.577.4614.7322.45
Average Gain3.368.398.0515.9822.45
Average Loss-4.04-3.40-3.17-0.31
Best Period15.0220.7027.2929.8735.57
Worst Period-11.70-10.28-3.17-0.311.72
Standard Deviation5.007.557.1510.2213.67
Gain Standard Deviation3.465.476.869.5713.67
Loss Standard Deviation4.313.50
Sharpe Ratio (1%)0.220.440.971.341.53
Average Gain / Average Loss0.832.472.5451.96
Profit / Loss Ratio2.023.5745.70623.54
Downside Deviation (10%)3.233.641.491.952.45
Downside Deviation (5%)3.103.150.850.40
Downside Deviation (0%)3.073.030.730.09
Sortino Ratio (10%)0.250.643.345.006.07
Sortino Ratio (5%)0.361.058.2234.74
Sortino Ratio (0%)0.391.1810.25172.66

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.