Rosetta Capital Management : Macro Program

Year-to-Date
0.82%
Jan Performance
0.82%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
26.97%
Sharpe (RFR=1%)
0.22
CAROR
3.66%
Assets
$ 941k
Worst DD
-47.81
S&P Correlation
-0.31

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
Macro Program 0.82 -7.53 0.82 -29.48 -28.74 -43.17 - 33.76
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 - 175.89
+/- S&P 500 -0.97 -14.71 -0.97 -46.93 -56.58 -116.81 - -142.13

Strategy Description

Summary

The ROSETTA MACRO PROGRAM is a fundamental discretionary program trading in grains, meats, financial instruments, stock indices, currencies, precious metals, and energy products.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
40.00%
Livestock
40.00%
Stock Indices
10.00%
Currency Futures
5.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

The ROSETTA MACRO PROGRAM is a fundamental discretionary program trading in grains, meats, financial instruments, stock indices, currencies, precious metals, and energy products.

Investment Strategy

Trades are both relative value and directional depending on what the markets are rewarding, trading in the grains, meats and the macro markets. Rosetta uses fundamental supply and demand indicators such as inventory levels, government reports and information from producers/suppliers as well as consumers. This last input is sourced from the director's vast network of industry contacts developed over his 30+ years in the industry. In addition, he uses technical analysis to help manage trades.

   

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
-47.81 52 - 8/1/2012 12/1/2016
-17.05 3 1 2/1/2009 5/1/2009
-13.98 8 2 9/1/2011 5/1/2012
-10.06 4 4 7/1/2009 11/1/2009
-7.47 1 2 5/1/2010 6/1/2010
-6.37 3 2 12/1/2010 3/1/2011
-5.51 1 3 5/1/2011 6/1/2011
-4.72 1 1 10/1/2010 11/1/2010
-2.77 1 1 3/1/2010 4/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
51.17 2 1/1/2009 2/1/2009
37.20 2 6/1/2009 7/1/2009
21.86 4 7/1/2010 10/1/2010
20.54 3 6/1/2012 8/1/2012
20.08 5 5/1/2014 9/1/2014
16.76 2 5/1/2015 6/1/2015
14.24 1 5/1/2010 5/1/2010
13.62 1 3/1/2015 3/1/2015
12.73 1 9/1/2011 9/1/2011
11.05 2 6/1/2013 7/1/2013
10.89 2 12/1/2014 1/1/2015
8.83 3 11/1/2011 1/1/2012
8.57 2 12/1/2009 1/1/2010
8.04 1 3/1/2010 3/1/2010
7.27 2 4/1/2011 5/1/2011
6.62 1 10/1/2015 10/1/2015
5.12 1 10/1/2012 10/1/2012
4.99 1 12/1/2010 12/1/2010
4.49 1 1/1/2013 1/1/2013
4.27 1 7/1/2011 7/1/2011
3.15 1 1/1/2014 1/1/2014
2.84 1 5/1/2016 5/1/2016
2.43 1 2/1/2016 2/1/2016
1.87 1 2/1/2011 2/1/2011
1.44 1 9/1/2013 9/1/2013
0.91 1 11/1/2016 11/1/2016
0.82 1 1/1/2017 1/1/2017
0.81 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.14 5 6/1/2016 10/1/2016
-18.62 3 7/1/2015 9/1/2015
-17.54 1 8/1/2013 8/1/2013
-17.05 3 3/1/2009 5/1/2009
-13.82 2 10/1/2014 11/1/2014
-12.54 1 5/1/2013 5/1/2013
-11.79 1 10/1/2011 10/1/2011
-10.40 4 2/1/2012 5/1/2012
-10.06 4 8/1/2009 11/1/2009
-9.11 1 12/1/2016 12/1/2016
-8.09 1 2/1/2015 2/1/2015
-7.47 1 6/1/2010 6/1/2010
-7.07 3 11/1/2015 1/1/2016
-7.02 2 3/1/2016 4/1/2016
-6.76 3 10/1/2013 12/1/2013
-6.20 2 11/1/2012 12/1/2012
-6.04 3 2/1/2014 4/1/2014
-5.51 1 6/1/2011 6/1/2011
-4.94 1 9/1/2012 9/1/2012
-4.77 1 1/1/2011 1/1/2011
-4.72 1 11/1/2010 11/1/2010
-4.67 1 4/1/2015 4/1/2015
-4.28 2 2/1/2013 3/1/2013
-3.48 1 3/1/2011 3/1/2011
-3.28 1 2/1/2010 2/1/2010
-2.77 1 4/1/2010 4/1/2010
-0.08 1 8/1/2011 8/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods97.0095.0092.0086.0080.0074.0062.0050.0038.00
Percent Profitable47.4244.2152.1761.6355.0055.4132.2648.0052.63
Average Period Return0.590.971.773.525.636.926.194.044.35
Average Gain6.3510.4312.4916.2023.9626.5852.4830.4425.57
Average Loss-4.70-6.52-9.92-16.85-16.77-17.50-15.84-20.33-19.24
Best Period32.3450.4165.9657.5080.42119.93134.60138.2681.98
Worst Period-17.54-19.36-24.52-31.17-43.60-33.91-28.74-46.27-43.45
Standard Deviation7.7911.2215.0720.1125.1328.9836.0337.0627.55
Gain Standard Deviation6.819.6412.0913.1016.9424.2526.7536.4317.64
Loss Standard Deviation4.064.977.2510.0511.598.377.6013.5713.59
Sharpe Ratio (1%)0.060.060.080.130.160.170.090.00-0.03
Average Gain / Average Loss1.351.601.260.961.431.523.311.501.33
Profit / Loss Ratio1.241.271.371.541.751.891.581.381.48
Downside Deviation (10%)4.676.869.9014.8918.0819.4626.7632.6434.23
Downside Deviation (5%)4.496.258.7412.6514.4614.1516.7220.0519.06
Downside Deviation (0%)4.446.108.4612.1113.6212.9214.4317.5216.06
Sortino Ratio (10%)0.04-0.04-0.07-0.10-0.11-0.17-0.36-0.54-0.68
Sortino Ratio (5%)0.110.120.150.200.290.350.190.00-0.04
Sortino Ratio (0%)0.130.160.210.290.410.540.430.230.27

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 5 2.84 5/2016
Diversified Trader Index Month 4 6.62 10/2015
Discretionary Trader Index Month 2 6.62 10/2015
IASG CTA Index Month 3 6.62 10/2015
Discretionary Trader Index Month 2 12.10 6/2015
IASG CTA Index Month 1 12.10 6/2015
Diversified Trader Index Month 1 12.10 6/2015
Discretionary Trader Index Month 5 4.16 5/2015
Diversified Trader Index Month 10 4.16 5/2015
Diversified Trader Index Month 1 13.18 3/2015
Discretionary Trader Index Month 2 13.18 3/2015
IASG CTA Index Month 2 13.18 3/2015
Discretionary Trader Index Month 5 9.76 1/2015
Discretionary Trader Index Month 9 8.77 7/2014
Discretionary Trader Index Month 8 3.15 1/2014
Discretionary Trader Index Month 6 5.97 7/2013
Discretionary Trader Index Month 7 4.49 1/2013
Discretionary Trader Index Month 7 5.12 10/2012
Diversified Trader Index Month 8 5.12 10/2012
IASG CTA Index Month 9 5.12 10/2012
IASG CTA Index Month 9 13.78 6/2012
Discretionary Trader Index Month 6 13.78 6/2012
Diversified Trader Index Month 4 13.78 6/2012
Discretionary Trader Index Month 4 8.14 12/2011
Diversified Trader Index Month 6 8.14 12/2011
IASG CTA Index 3 Year Rolling 9 134.60 2008 - 2011
IASG CTA Index Month 9 8.14 12/2011
IASG CTA Index Month 9 12.73 9/2011
Diversified Trader Index Month 8 12.73 9/2011
Discretionary Trader Index Month 3 12.73 9/2011
Discretionary Trader Index Month 7 4.92 5/2011
Diversified Trader Index Month 8 4.92 5/2011
Discretionary Trader Index Month 4 9.28 8/2010
Diversified Trader Index Month 6 14.24 5/2010
IASG CTA Index Month 7 14.24 5/2010
Discretionary Trader Index Month 1 14.24 5/2010
Discretionary Trader Index Month 2 8.04 3/2010
Discretionary Trader Index Month 5 6.66 1/2010
Diversified Trader Index Month 5 6.66 1/2010
IASG CTA Index Month 9 6.66 1/2010
Discretionary Trader Index Month 10 3.67 7/2009
Diversified Trader Index Month 1 32.34 6/2009
IASG CTA Index Month 1 32.34 6/2009
Discretionary Trader Index Month 1 32.34 6/2009
Diversified Trader Index Month 1 28.11 2/2009
Discretionary Trader Index Month 1 28.11 2/2009
IASG CTA Index Month 1 28.11 2/2009

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