Rosetta Capital Management : Macro Program

Year-to-Date: 7.84%
Oct Performance: -1.53%

Min Investment: $ 50k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 24.38%
Sharpe (RFR=1%): 0.25
CAROR: 4.26%

Assets: $ 797k
Worst DD: -47.81
S&P Correlation: -0.27

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Growth of 1,000 - VAMI

Monthly Performance

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	Oct	Qtr	YTD	1yr	3yr	5yr	10yr	Since 1/2009
Macro Program	-1.53	-1.94	7.84	2.36	8.60	-14.63	-0.97	57.09
S&P 500	2.04	1.92	21.16	12.01	41.41	48.99	190.12	264.00
+/- S&P 500	-3.57	-3.86	-13.33	-9.65	-32.81	-63.62	-191.09	-206.90

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
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%

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.

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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:
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

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
23.39	6	12/1/2017	5/1/2018
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
10.81	3	3/1/2019	5/1/2019
8.87	1	10/1/2018	10/1/2018
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
6.46	1	5/1/2017	5/1/2017
6.09	3	7/1/2017	9/1/2017
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
3.60	1	1/1/2019	1/1/2019
3.26	3	1/1/2017	3/1/2017
3.15	1	1/1/2014	1/1/2014
2.93	1	9/1/2019	9/1/2019
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
0.81	1	4/1/2013	4/1/2013

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
-15.76	4	6/1/2018	9/1/2018
-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
-10.07	2	10/1/2017	11/1/2017
-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
-5.36	3	6/1/2019	8/1/2019
-5.08	2	11/1/2018	12/1/2018
-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
-2.07	1	2/1/2019	2/1/2019
-1.83	1	6/1/2017	6/1/2017
-1.53	1	10/1/2019	10/1/2019
-0.72	1	4/1/2017	4/1/2017
-0.08	1	8/1/2011	8/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	130.00	128.00	125.00	119.00	113.00	107.00	95.00	83.00	71.00
Percent Profitable	49.23	48.44	53.60	57.98	52.21	50.47	23.16	28.92	28.17
Average Period Return	0.58	1.11	1.88	2.34	2.66	1.88	-2.72	-7.13	-10.69
Average Gain	5.54	9.08	11.47	14.94	20.44	22.51	48.28	30.44	25.57
Average Loss	-4.28	-6.37	-9.19	-15.04	-16.77	-19.13	-18.09	-22.41	-24.91
Best Period	32.34	50.41	65.96	57.50	80.42	119.93	134.60	138.26	81.98
Worst Period	-17.54	-19.36	-24.52	-31.17	-43.60	-39.57	-34.42	-46.30	-46.59
Standard Deviation	7.04	10.37	13.83	18.63	23.37	27.10	32.03	32.44	26.84
Gain Standard Deviation	6.06	8.66	10.79	12.13	16.11	22.41	28.85	36.43	17.64
Loss Standard Deviation	3.89	4.74	6.97	10.01	11.56	9.64	7.89	11.84	12.56
Sharpe Ratio (1%)	0.07	0.08	0.10	0.07	0.05	0.00	-0.18	-0.34	-0.59
Average Gain / Average Loss	1.29	1.42	1.25	0.99	1.22	1.18	2.67	1.36	1.03
Profit / Loss Ratio	1.27	1.34	1.44	1.37	1.33	1.20	0.80	0.55	0.40
Downside Deviation (10%)	4.29	6.42	9.23	14.52	18.66	21.86	30.51	38.84	46.05
Downside Deviation (5%)	4.12	5.83	8.10	12.22	14.91	16.33	19.75	24.42	27.54
Downside Deviation (0%)	4.08	5.69	7.83	11.67	14.04	15.05	17.28	21.33	23.60
Sortino Ratio (10%)	0.04	-0.02	-0.06	-0.18	-0.26	-0.38	-0.61	-0.74	-0.83
Sortino Ratio (5%)	0.12	0.15	0.17	0.11	0.08	-0.01	-0.29	-0.46	-0.57
Sortino Ratio (0%)	0.14	0.20	0.24	0.20	0.19	0.13	-0.16	-0.33	-0.45

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	4	2.93	9/2019
Discretionary Trader Index	Month	5	2.93	9/2019
IASG CTA Index	Month	10	2.93	9/2019
Discretionary Trader Index	Month	7	3.86	5/2019
Diversified Trader Index	Month	8	3.86	5/2019
Diversified Trader Index	Month	6	5.61	4/2019
IASG CTA Index	Month	6	5.61	4/2019
Discretionary Trader Index	Month	2	5.61	4/2019
Discretionary Trader Index	Month	2	5.61	4/2019
IASG CTA Index	Month	6	5.61	4/2019
Diversified Trader Index	Month	6	5.61	4/2019
Discretionary Trader Index	Month	2	8.87	10/2018
IASG CTA Index	Month	3	8.87	10/2018
Diversified Trader Index	Month	1	8.87	10/2018
Discretionary Trader Index	Month	3	3.44	3/2018
Diversified Trader Index	Month	3	3.44	3/2018
IASG CTA Index	Month	9	3.44	3/2018
Discretionary Trader Index	Month	8	3.49	2/2018
Diversified Trader Index	Month	8	3.49	2/2018
Discretionary Trader Index	Month	3	8.19	1/2018
Diversified Trader Index	Month	3	6.34	12/2017
IASG CTA Index	Month	4	6.34	12/2017
Discretionary Trader Index	Month	2	6.34	12/2017
Diversified Trader Index	Month	7	1.75	9/2017
Discretionary Trader Index	Month	5	2.70	7/2017
IASG CTA Index	Month	5	6.36	5/2017
Discretionary Trader Index	Month	3	6.36	5/2017
Diversified Trader Index	Month	5	6.36	5/2017
Diversified Trader Index	Month	5	2.84	5/2016
IASG CTA Index	Month	3	6.62	10/2015
Diversified Trader Index	Month	4	6.62	10/2015
Discretionary Trader Index	Month	2	6.62	10/2015
Diversified Trader Index	Month	1	12.10	6/2015
IASG CTA Index	Month	1	12.10	6/2015
Discretionary Trader Index	Month	2	12.10	6/2015
Discretionary Trader Index	Month	5	4.16	5/2015
Diversified Trader Index	Month	10	4.16	5/2015
Discretionary Trader Index	Month	2	13.18	3/2015
Diversified Trader Index	Month	1	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
Diversified Trader Index	Month	8	5.12	10/2012
Discretionary Trader Index	Month	7	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
Diversified Trader Index	Month	8	4.92	5/2011
Discretionary Trader Index	Month	7	4.92	5/2011
Discretionary Trader Index	Month	4	9.28	8/2010
Discretionary Trader Index	Month	1	14.24	5/2010
Diversified Trader Index	Month	6	14.24	5/2010
IASG CTA Index	Month	7	14.24	5/2010
Discretionary Trader Index	Month	2	8.04	3/2010
Diversified Trader Index	Month	5	6.66	1/2010
Discretionary 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
Discretionary Trader Index	Month	1	28.11	2/2009
IASG CTA Index	Month	1	28.11	2/2009
Diversified Trader 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.

^#4

Top Performer

DIVERSIFIED TRADER INDEX

SEPTEMBER
2019

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Program Name	CAROR
Rosetta Trading Program	24.58%
Macro Program	4.26%

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Rosetta Capital Management : Macro 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

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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