Rosetta Capital Management : Rosetta Trading Program

Year-to-Date
0.42%
Jan Performance
0.42%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
41.60%
Sharpe (RFR=1%)
0.76
CAROR
28.96%
Assets
$ 20.5M
Worst DD
-39.67
S&P Correlation
0.00

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
4/2000
Rosetta Trading Program 0.42 -1.28 0.42 -8.87 -6.92 3.29 65.55 7,137.57
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 58.42 56.87
+/- S&P 500 -1.37 -8.46 -1.37 -26.32 -34.76 -70.35 7.13 7,080.70

Strategy Description

Summary

Trading methods are based on over 30 years of experience in many levels of commodity and derivative markets. Trading in the Rosetta Trading Program is limited to grain and livestock exchange-traded futures and options (corn, soybeans, live cattle, and hogs). ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
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
5%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Agricultural 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
70.00%
Livestock
30.00%
Composition Pie Chart

Summary

Trading methods are based on over 30 years of experience in many levels of commodity and derivative markets. Trading in the Rosetta Trading Program is limited to grain and livestock exchange-traded futures and options (corn, soybeans, live cattle, and hogs).

Investment Strategy

RCM uses fundamental supply and demand indicators such as: inventory levels, government reports, and information from producers, suppliers, and consumers in weighing trade decisions. RCM also uses technical analysis to identify, among other things, levels of support and resistance, overbought and oversold ranges, and optimal entry and exit points. RCM has established an extensive network of contacts in all phases of the commodity and derivative markets, ranging from producers to pit brokers. This network yields an abundance of market information and includes access to internal and external meat, grain and weather research. The ability to utilize such a unique compilation of market data is a significant competitive advantage. Over time, RCM has continuously demonstrated the ability to adapt. Whether embracing changes in market operations (the evolution of electronic trading from pit trading), identifying external forces that influence the markets (i.e. Chinese buying, South American production) or taking advantage of increases in futures trading volume, we pride ourselves in looking forward and not being complacent.

Risk Management

During extremely volatile market conditions or unique circumstances, RCM may from time to time use discretion. Particularly in managing risk control and determining position size, RCM may assume a more active discretionary role.

   

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
-39.67 6 2 11/1/2002 5/1/2003
-34.33 1 3 7/1/2000 8/1/2000
-22.46 2 4 10/1/2003 12/1/2003
-21.75 27 - 9/1/2014 12/1/2016
-19.24 7 5 12/1/2006 7/1/2007
-16.95 3 1 5/1/2001 8/1/2001
-16.06 4 4 11/1/2001 3/1/2002
-15.90 4 3 5/1/2006 9/1/2006
-15.06 17 6 9/1/2012 2/1/2014
-13.63 20 11 3/1/2008 11/1/2009
-9.34 1 2 7/1/2005 8/1/2005
-8.70 1 2 1/1/0001 4/1/2000
-7.16 4 9 5/1/2011 9/1/2011
-6.10 1 1 12/1/2000 1/1/2001
-5.92 2 1 5/1/2004 7/1/2004
-4.34 1 3 10/1/2010 11/1/2010
-3.60 1 1 2/1/2011 3/1/2011
-1.10 2 1 2/1/2001 4/1/2001
-0.82 1 1 12/1/2004 1/1/2005
-0.13 1 1 3/1/2006 4/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
314.43 5 6/1/2003 10/1/2003
180.91 5 7/1/2002 11/1/2002
133.30 4 9/1/2000 12/1/2000
95.36 3 9/1/2001 11/1/2001
44.63 7 9/1/2005 3/1/2006
44.60 5 8/1/2004 12/1/2004
38.09 3 3/1/2004 5/1/2004
35.28 4 12/1/2007 3/1/2008
26.41 4 7/1/2010 10/1/2010
25.58 7 3/1/2014 9/1/2014
24.72 3 5/1/2000 7/1/2000
23.24 8 2/1/2012 9/1/2012
22.69 3 10/1/2006 12/1/2006
21.64 3 8/1/2007 10/1/2007
16.29 6 2/1/2005 7/1/2005
15.13 2 4/1/2002 5/1/2002
12.37 1 6/1/2007 6/1/2007
11.04 1 2/1/2003 2/1/2003
9.51 1 2/1/2001 2/1/2001
8.22 2 4/1/2011 5/1/2011
7.89 1 5/1/2001 5/1/2001
7.49 1 2/1/2002 2/1/2002
7.14 3 12/1/2010 2/1/2011
7.07 1 9/1/2008 9/1/2008
6.36 2 5/1/2015 6/1/2015
5.89 3 3/1/2010 5/1/2010
5.07 1 1/1/2004 1/1/2004
4.07 1 9/1/2009 9/1/2009
3.98 2 6/1/2008 7/1/2008
3.29 1 4/1/2009 4/1/2009
3.27 1 10/1/2011 10/1/2011
3.16 2 6/1/2013 7/1/2013
3.09 1 2/1/2007 2/1/2007
2.43 1 5/1/2016 5/1/2016
2.38 1 12/1/2011 12/1/2011
2.26 1 1/1/2013 1/1/2013
2.13 2 12/1/2009 1/1/2010
1.88 1 8/1/2011 8/1/2011
1.69 2 6/1/2009 7/1/2009
1.60 1 1/1/2015 1/1/2015
1.46 1 3/1/2015 3/1/2015
1.10 3 9/1/2013 11/1/2013
0.82 1 2/1/2016 2/1/2016
0.58 1 2/1/2009 2/1/2009
0.42 1 1/1/2017 1/1/2017
0.32 1 5/1/2006 5/1/2006
0.14 1 11/1/2016 11/1/2016
0.08 1 11/1/2014 11/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.33 1 8/1/2000 8/1/2000
-30.98 2 12/1/2002 1/1/2003
-22.46 2 11/1/2003 12/1/2003
-21.27 3 3/1/2003 5/1/2003
-17.38 1 7/1/2007 7/1/2007
-16.95 3 6/1/2001 8/1/2001
-15.90 4 6/1/2006 9/1/2006
-15.19 2 12/1/2001 1/1/2002
-10.98 3 3/1/2007 5/1/2007
-9.83 2 4/1/2008 5/1/2008
-9.34 1 8/1/2005 8/1/2005
-9.26 7 7/1/2015 1/1/2016
-9.16 1 10/1/2014 10/1/2014
-8.74 3 12/1/2013 2/1/2014
-8.70 1 4/1/2000 4/1/2000
-7.92 1 3/1/2002 3/1/2002
-7.52 5 6/1/2016 10/1/2016
-7.01 4 10/1/2008 1/1/2009
-6.66 1 6/1/2002 6/1/2002
-6.58 2 6/1/2011 7/1/2011
-6.10 1 1/1/2001 1/1/2001
-6.07 1 5/1/2009 5/1/2009
-5.92 2 6/1/2004 7/1/2004
-5.31 2 10/1/2009 11/1/2009
-5.22 1 1/1/2007 1/1/2007
-4.77 4 2/1/2013 5/1/2013
-4.52 3 10/1/2012 12/1/2012
-4.34 1 11/1/2010 11/1/2010
-4.03 1 8/1/2013 8/1/2013
-3.60 1 3/1/2011 3/1/2011
-3.34 2 3/1/2016 4/1/2016
-2.71 1 11/1/2011 11/1/2011
-2.59 1 3/1/2009 3/1/2009
-2.54 1 2/1/2015 2/1/2015
-2.45 1 9/1/2011 9/1/2011
-2.39 1 6/1/2010 6/1/2010
-2.30 1 8/1/2008 8/1/2008
-2.04 1 2/1/2004 2/1/2004
-1.83 1 12/1/2016 12/1/2016
-1.28 1 1/1/2012 1/1/2012
-1.20 1 11/1/2007 11/1/2007
-1.12 1 12/1/2014 12/1/2014
-1.10 2 3/1/2001 4/1/2001
-1.07 1 4/1/2015 4/1/2015
-0.82 1 1/1/2005 1/1/2005
-0.58 1 8/1/2009 8/1/2009
-0.41 1 2/1/2010 2/1/2010
-0.13 1 4/1/2006 4/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods202.00200.00197.00191.00185.00179.00167.00155.00143.00
Percent Profitable57.4356.5064.9772.7780.5489.3989.2294.84100.00
Average Period Return2.738.9118.7640.1773.44114.21244.30411.99574.57
Average Gain7.9019.8831.8557.5093.06128.63274.49435.09574.57
Average Loss-4.25-5.33-5.53-6.15-7.79-7.27-5.62-12.35
Best Period94.99190.25291.18356.74628.99725.641718.222935.654025.53
Worst Period-34.33-23.36-39.67-12.63-17.66-19.04-9.87-15.061.55
Standard Deviation12.0126.4142.1865.73120.17180.27393.89667.77930.65
Gain Standard Deviation12.9930.7047.2869.52126.32185.48406.82678.20930.65
Loss Standard Deviation5.184.825.693.274.305.722.352.87
Sharpe Ratio (1%)0.220.330.430.600.600.620.610.610.61
Average Gain / Average Loss1.863.735.769.3511.9517.6848.8135.23
Profit / Loss Ratio2.514.8410.6924.9849.45148.92404.00647.37
Downside Deviation (10%)4.535.365.826.117.196.647.398.146.17
Downside Deviation (5%)4.394.854.894.104.513.542.953.780.38
Downside Deviation (0%)4.364.734.683.633.912.981.992.87
Sortino Ratio (10%)0.511.432.805.769.1615.6630.9347.9988.58
Sortino Ratio (5%)0.601.783.739.5615.9631.7081.91107.981492.75
Sortino Ratio (0%)0.631.884.0111.0818.7738.28122.60143.49

Top Performer Badges

Index Award Type Rank Performance Period
Agricultural Trader Index Month 4 4.17 6/2015
Discretionary Trader Index Month 7 4.17 6/2015
Agricultural Trader Index Month 5 2.10 5/2015
Agricultural Trader Index Month 10 1.46 3/2015
Agricultural Trader Index Month 5 6.11 9/2014
Agricultural Trader Index Month 8 1.87 8/2014
Agricultural Trader Index Month 6 9.08 7/2014
Discretionary Trader Index Month 8 9.08 7/2014
Agricultural Trader Index Month 6 3.22 5/2014
Agricultural Trader Index Month 8 0.81 4/2014
Agricultural Trader Index Month 5 2.33 3/2014
Agricultural Trader Index Month 10 1.88 7/2013
Agricultural Trader Index Month 9 1.26 6/2013
Agricultural Trader Index Month 3 2.33 1/2013
Agricultural Trader Index Month 8 0.84 9/2012
Discretionary Trader Index Month 10 10.93 6/2012
Agricultural Trader Index Month 7 10.93 6/2012
Agricultural Trader Index Month 8 1.03 5/2012
Agricultural Trader Index Month 8 2.38 3/2012
Agricultural Trader Index Month 9 0.99 2/2012
Agricultural Trader Index Month 5 2.02 12/2011
Agricultural Trader Index Month 5 3.27 10/2011
Agricultural Trader Index Month 3 3.04 5/2011
Agricultural Trader Index Month 6 5.02 4/2011
Agricultural Trader Index Month 6 5.10 2/2011
Agricultural Trader Index Month 7 16.07 10/2010
Discretionary Trader Index Month 8 16.07 10/2010
Agricultural Trader Index Month 9 3.99 8/2010
Agricultural Trader Index Month 10 0.22 7/2010
Agricultural Trader Index Month 5 2.20 5/2010
Agricultural Trader Index Month 9 0.60 4/2010
Agricultural Trader Index Month 3 3.01 3/2010
Agricultural Trader Index Month 8 -0.41 2/2010
Agricultural Trader Index Month 5 1.66 12/2009
Agricultural Trader Index Month 9 -0.48 11/2009
Agricultural Trader Index Month 4 4.07 9/2009
Agricultural Trader Index Month 4 1.32 7/2009
Agricultural Trader Index Month 5 3.29 4/2009
IASG CTA Index 5 Year Rolling 5 264.04 2003 - 2008
Discretionary Trader Index Month 3 7.07 9/2008
Agricultural Trader Index Month 2 7.07 9/2008
Agricultural Trader Index Month 4 3.51 7/2008
Agricultural Trader Index Month 10 0.45 6/2008
Discretionary Trader Index Month 8 3.14 3/2008
Agricultural Trader Index Month 3 3.14 3/2008
Agricultural Trader Index Month 5 7.22 2/2008
Discretionary Trader Index Month 3 13.85 1/2008
Agricultural Trader Index Month 1 13.85 1/2008
IASG CTA Index 5 Year Rolling 2 673.33 2002 - 2007
Agricultural Trader Index Month 4 7.45 12/2007
Discretionary Trader Index Month 10 7.45 12/2007
Agricultural Trader Index Month 7 -1.20 11/2007
Agricultural Trader Index Month 1 10.48 10/2007
Discretionary Trader Index Month 3 10.48 10/2007
Agricultural Trader Index Month 4 8.57 9/2007
Discretionary Trader Index Month 9 8.57 9/2007
Agricultural Trader Index Month 5 1.41 8/2007
Agricultural Trader Index Month 10 -17.38 7/2007
Discretionary Trader Index Month 1 12.37 6/2007
IASG CTA Index Month 3 12.37 6/2007
Agricultural Trader Index Month 1 12.37 6/2007
Agricultural Trader Index Month 8 -0.09 5/2007
Agricultural Trader Index Month 7 -3.41 4/2007
Agricultural Trader Index Month 5 3.09 2/2007
Discretionary Trader Index Month 10 3.09 2/2007
IASG CTA Index 3 Year Rolling 2 202.30 2003 - 2006
IASG CTA Index 5 Year Rolling 1 1,560.01 2001 - 2006
Agricultural Trader Index Month 4 3.40 12/2006
Discretionary Trader Index Month 4 3.40 12/2006
IASG CTA Index Month 4 14.81 11/2006
Agricultural Trader Index Month 1 14.81 11/2006
Discretionary Trader Index Month 2 14.81 11/2006
Agricultural Trader Index Month 5 3.35 10/2006
Discretionary Trader Index Month 10 3.35 10/2006
Agricultural Trader Index Month 8 -1.39 9/2006
Agricultural Trader Index Month 10 -7.28 8/2006
Agricultural Trader Index Month 10 -2.26 7/2006
Agricultural Trader Index Month 10 -5.89 6/2006
Agricultural Trader Index Month 4 0.32 5/2006
Agricultural Trader Index Month 8 -0.13 4/2006
Discretionary Trader Index Month 3 10.97 3/2006
Agricultural Trader Index Month 1 10.97 3/2006
IASG CTA Index Month 9 10.97 3/2006
Discretionary Trader Index Month 10 1.17 2/2006
Agricultural Trader Index Month 6 1.17 2/2006
Discretionary Trader Index Month 3 10.48 1/2006
Agricultural Trader Index Month 3 10.48 1/2006
Agricultural Trader Index Month 3 0.42 12/2005
IASG CTA Index 3 Year Rolling 1 478.33 2002 - 2005
IASG CTA Index 5 Year Rolling 1 1,962.02 2000 - 2005
Agricultural Trader Index Month 2 2.85 11/2005
Discretionary Trader Index Month 4 2.85 11/2005
IASG CTA Index Month 2 7.25 10/2005
Agricultural Trader Index Month 1 7.25 10/2005
Discretionary Trader Index Month 1 7.25 10/2005
Agricultural Trader Index Month 1 5.27 9/2005
Discretionary Trader Index Month 3 5.27 9/2005
Agricultural Trader Index Month 8 -9.34 8/2005
Discretionary Trader Index Month 8 2.25 7/2005
Agricultural Trader Index Month 1 2.25 7/2005

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