Rotella Capital Management : Rotella Orion (Short-Term) Program

archived programs
Year-to-Date
N / A
Jul Performance
1.08%
Min Investment
$ 10,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
11.23%
Sharpe (RFR=1%)
0.13
CAROR
1.83%
Assets
$ 7.7M
Worst DD
-31.25
S&P Correlation
-0.11

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
3/2006
Rotella Orion (Short-Term) Program 1.08 8.13 - -6.29 -15.14 -16.38 -12.32 25.22
S&P 500 3.60 6.35 - 13.03 32.51 65.38 119.93 115.26
+/- S&P 500 -2.52 1.78 - -19.32 -47.65 -81.76 -132.25 -90.05

Strategy Description

Summary

The Orion short-term, systematic trading program ("Orion Program") is designed to identify and capitalize on short-term price movements in global commodity, interest rate, equity index, and foreign exchange markets. The benefit of a short-term strategy is the ability to produce attractive... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
7500 RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
Worst Peak-to-Trough
16.50%
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

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Summary

The Orion short-term, systematic trading program ("Orion Program") is designed to identify and capitalize on short-term price movements in global commodity, interest rate, equity index, and foreign exchange markets. The benefit of a short-term strategy is the ability to produce attractive risk adjusted returns with very low correlation to traditional and alternative investment strategies alike. The core investment models in Orion are based upon Robert Rotella's inventive high frequency research coupled with the firm’s robust research and trading infrastructure. A top-down portfolio management approach incorporates quantitative portfolio optimization, tactical risk allocation, systematic execution and sophisticated money management techniques to target onsistent returns across various market conditions. The average trade duration within the Orion portfolio is less than ten (10) days.

   

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
-31.25 20 - 6/1/2016 2/1/2018
-16.48 18 28 7/1/2008 1/1/2010
-11.01 17 11 2/1/2014 7/1/2015
-8.25 3 3 6/1/2013 9/1/2013
-8.14 2 3 1/1/2013 3/1/2013
-5.31 2 2 9/1/2012 11/1/2012
-3.03 4 2 1/1/2007 5/1/2007
-1.40 2 2 5/1/2006 7/1/2006
-0.90 1 1 7/1/2012 8/1/2012
-0.41 1 1 10/1/2007 11/1/2007
-0.25 1 1 7/1/2007 8/1/2007
-0.22 2 1 10/1/2006 12/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
18.30 8 12/1/2007 7/1/2008
13.22 3 3/1/2012 5/1/2012
9.92 3 12/1/2013 2/1/2014
9.34 2 9/1/2007 10/1/2007
9.09 3 4/1/2013 6/1/2013
9.08 3 11/1/2014 1/1/2015
8.46 3 3/1/2006 5/1/2006
8.25 4 8/1/2015 11/1/2015
8.13 3 5/1/2018 7/1/2018
7.52 4 6/1/2010 9/1/2010
7.35 3 4/1/2016 6/1/2016
7.13 4 7/1/2009 10/1/2009
7.02 2 10/1/2008 11/1/2008
6.50 2 11/1/2010 12/1/2010
6.18 2 12/1/2012 1/1/2013
5.86 1 9/1/2011 9/1/2011
5.65 1 7/1/2012 7/1/2012
5.54 1 10/1/2013 10/1/2013
4.29 3 2/1/2010 4/1/2010
4.16 2 9/1/2017 10/1/2017
4.05 1 7/1/2011 7/1/2011
3.75 1 3/1/2018 3/1/2018
3.60 2 6/1/2007 7/1/2007
3.43 2 8/1/2014 9/1/2014
3.40 1 12/1/2016 12/1/2016
2.79 3 8/1/2006 10/1/2006
2.67 2 1/1/2016 2/1/2016
2.57 1 8/1/2013 8/1/2013
2.35 1 1/1/2009 1/1/2009
1.89 1 7/1/2017 7/1/2017
1.74 1 9/1/2012 9/1/2012
1.66 1 1/1/2018 1/1/2018
1.62 2 11/1/2011 12/1/2011
1.52 1 3/1/2015 3/1/2015
1.16 1 5/1/2017 5/1/2017
1.05 1 6/1/2014 6/1/2014
0.97 1 5/1/2009 5/1/2009
0.85 1 1/1/2007 1/1/2007
0.61 2 9/1/2016 10/1/2016
0.20 1 4/1/2007 4/1/2007
0.02 1 2/1/2011 2/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.86 4 1/1/2017 4/1/2017
-15.43 2 8/1/2008 9/1/2008
-12.44 1 2/1/2018 2/1/2018
-10.67 4 4/1/2015 7/1/2015
-9.02 3 11/1/2009 1/1/2010
-8.14 2 2/1/2013 3/1/2013
-7.00 3 2/1/2009 4/1/2009
-6.19 2 1/1/2012 2/1/2012
-5.93 1 9/1/2013 9/1/2013
-5.72 2 7/1/2016 8/1/2016
-5.54 1 10/1/2014 10/1/2014
-5.31 2 10/1/2012 11/1/2012
-5.16 4 3/1/2011 6/1/2011
-4.94 2 11/1/2017 12/1/2017
-4.91 1 7/1/2013 7/1/2013
-4.45 3 3/1/2014 5/1/2014
-4.06 1 10/1/2011 10/1/2011
-3.45 1 12/1/2015 12/1/2015
-3.01 1 4/1/2018 4/1/2018
-2.99 1 7/1/2014 7/1/2014
-2.82 1 1/1/2011 1/1/2011
-2.74 1 11/1/2016 11/1/2016
-2.63 1 5/1/2007 5/1/2007
-2.34 1 6/1/2017 6/1/2017
-2.28 1 8/1/2017 8/1/2017
-1.70 1 2/1/2015 2/1/2015
-1.53 1 3/1/2016 3/1/2016
-1.49 1 12/1/2008 12/1/2008
-1.40 2 6/1/2006 7/1/2006
-1.13 1 5/1/2010 5/1/2010
-1.09 1 11/1/2013 11/1/2013
-0.90 1 8/1/2012 8/1/2012
-0.86 1 10/1/2010 10/1/2010
-0.61 2 2/1/2007 3/1/2007
-0.41 1 11/1/2007 11/1/2007
-0.25 1 8/1/2007 8/1/2007
-0.22 2 11/1/2006 12/1/2006
-0.04 1 8/1/2011 8/1/2011
-0.01 1 6/1/2009 6/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods149.00147.00144.00138.00132.00126.00114.00102.0090.00
Percent Profitable57.0555.1057.6459.4263.6469.8474.5678.4382.22
Average Period Return0.200.510.821.913.194.807.1210.9915.49
Average Gain2.344.445.968.3110.5011.8914.1017.9622.16
Average Loss-2.68-4.32-6.18-7.47-9.60-11.64-13.34-14.35-15.34
Best Period7.6713.7523.1733.0130.1536.5431.7737.0439.50
Worst Period-12.44-15.40-17.86-21.65-27.07-28.25-29.27-30.59-25.03
Standard Deviation3.245.667.8610.4312.3113.6814.2015.5816.54
Gain Standard Deviation1.843.575.567.317.278.537.407.808.47
Loss Standard Deviation2.413.654.306.458.168.028.279.006.36
Sharpe Ratio (1%)0.040.050.040.090.140.200.290.440.63
Average Gain / Average Loss0.871.030.971.111.091.021.061.251.44
Profit / Loss Ratio1.181.261.311.631.922.373.104.556.68
Downside Deviation (10%)2.544.456.319.0311.6613.2016.1618.4820.21
Downside Deviation (5%)2.373.915.166.768.288.669.229.489.00
Downside Deviation (0%)2.333.784.896.267.567.737.887.826.97
Sortino Ratio (10%)-0.08-0.16-0.26-0.34-0.38-0.41-0.53-0.57-0.60
Sortino Ratio (5%)0.050.070.060.130.200.320.440.731.15
Sortino Ratio (0%)0.090.130.170.300.420.620.901.412.22

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 9 2.86 1/2014
Trend Following Strategy Index Month 9 5.36 12/2013
Trend Following Strategy Index Month 7 3.99 4/2012
Trend Following Strategy Index Month 4 3.07 11/2010
Diversified Trader Index Month 6 3.07 11/2010
Systematic Trader Index Month 9 3.07 11/2010
Trend Following Strategy Index Month 10 2.35 1/2009
Trend Following Strategy Index Month 9 0.03 7/2008

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