Rotella Capital Management : Rotella Chora Volatility Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jan Performance -2.01% Min Investment $ 25,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 6.03% Sharpe (RFR=1%) -0.32 CAROR -1.11% Assets $ 24.5M Worst DD -11.50 S&P Correlation 0.13 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2012 Rotella Chora Volatility Program -2.01 2.53 - -9.26 - - - -2.31 S&P 500 -3.56 1.48 - 18.99 - - - 35.83 +/- S&P 500 1.55 1.04 - -28.25 - - - -38.13 Strategy Description SummaryThe Rotella Chora Volatility Program identifies and monetizes statistical patterns in volatility that we believe result from the aggregate herding behaviors of investors. We build systematic trading algorithms that are based on our hypothesis that financial markets are complex adaptive... Read More Account & Fees Type Managed Account Minimum Investment $ 25,000k Trading Level Incremental Increase $ 1,000k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 25 RT/YR/$M Avg. Margin-to-Equity 5% 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 100.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition VIX 100.00% SummaryThe Rotella Chora Volatility Program identifies and monetizes statistical patterns in volatility that we believe result from the aggregate herding behaviors of investors. We build systematic trading algorithms that are based on our hypothesis that financial markets are complex adaptive social systems composed of individually irrational investors subject to ‘nearest neighbor’ influence dynamics. Investors’ aggregate behaviors give rise to risk herding that produces distinct statistical fingerprints, particularly in measures of volatility. The Program represents the best volatility algorithms from Rotella Capital Management, Inc. and Chora Capital, LLC that are combined using a proprietary allocation process. The Program systematically trades volatility long and short through worldwide equity index futures and their associated volatility instruments. Our trading occurs over relatively short time horizons in an attempt to monetize short and medium term equity market volatility with the goal of producing stable and attractive risk adjusted returns. The Program is available currently through a managed account structure. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -11.50 9 - 1/1/2013 10/1/2013 -1.64 5 3 1/1/0001 5/1/2012 -0.37 2 1 10/1/2012 12/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 7.18 5 6/1/2012 10/1/2012 4.63 2 11/1/2013 12/1/2013 2.51 1 1/1/2013 1/1/2013 0.18 1 2/1/2012 2/1/2012 0.12 1 3/1/2013 3/1/2013 0.08 1 4/1/2012 4/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.60 7 4/1/2013 10/1/2013 -2.01 1 1/1/2014 1/1/2014 -1.12 1 2/1/2013 2/1/2013 -0.91 1 5/1/2012 5/1/2012 -0.75 1 1/1/2012 1/1/2012 -0.37 2 11/1/2012 12/1/2012 -0.25 1 3/1/2012 3/1/2012 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods25.0023.0020.0014.008.00 Percent Profitable44.0047.8345.0064.2962.50 Average Period Return-0.08-0.14-0.100.910.42 Average Gain1.322.444.675.582.21 Average Loss-1.18-2.51-4.01-7.49-2.57 Best Period4.126.067.748.484.57 Worst Period-4.06-6.97-9.60-9.61-4.00 Standard Deviation1.743.265.346.872.92 Gain Standard Deviation1.332.052.692.441.84 Loss Standard Deviation1.132.173.312.101.30 Sharpe Ratio (1%)-0.09-0.12-0.11-0.01-0.37 Average Gain / Average Loss1.120.971.160.750.86 Profit / Loss Ratio0.880.890.951.341.43 Downside Deviation (10%)1.443.105.377.657.68 Downside Deviation (5%)1.252.494.085.192.64 Downside Deviation (0%)1.202.353.794.611.70 Sortino Ratio (10%)-0.34-0.44-0.48-0.53-0.93 Sortino Ratio (5%)-0.13-0.16-0.15-0.02-0.41 Sortino Ratio (0%)-0.07-0.06-0.030.200.24 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. x {{title}} x {{title}} Add Cancel