Rotella Capital Management : Rotella Polaris Program (Diversified)

archived programs
Year-to-Date
N / A
Nov Performance
-2.15%
Min Investment
$ 10,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
12.52%
Sharpe (RFR=1%)
0.75
CAROR
10.07%
Assets
$ 20.1M
Worst DD
-23.67
S&P Correlation
-0.05

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
1/1991
Rotella Polaris Program (Diversified) -2.15 -8.06 - -10.77 -18.40 -0.81 -4.31 1,354.58
S&P 500 1.79 -4.87 - 6.78 31.33 51.31 204.81 694.30
+/- S&P 500 -3.94 -3.19 - -17.55 -49.73 -52.12 -209.13 660.27

Strategy Description

Summary

-Rotella Capital Management, Inc. was established to provide investors with exceptional risk-adjusted returns in global commodity, interest rate, currency, and equity index markets. Mr. Robert Rotella, the Portfolio Manager, has spent over 20 years developing quantitative models to... 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
Redemption Frequency
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
Worst Peak-to-Trough
14.20%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
100.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

-Rotella Capital Management, Inc. was established to provide investors with exceptional risk-adjusted returns in global commodity, interest rate, currency, and equity index markets. Mr. Robert Rotella, the Portfolio Manager, has spent over 20 years developing quantitative models to identify and profit from directional price behavior. The Polaris (diversified) and Orion (short-term) strategies currently managed by Mr. Rotella incorporate the firm's proficiencies in conducting innovative market research, investing in efficient technologies, and managing market and business risk with a disciplined approach. The firm is based in Bellevue, WA with an office in Chicago, IL and employs a team of 50+ persons. Over one-half of the staff is specifically devoted to quantitative research and technology development, and the firm continues to add resources in these areas. The firm has developed a sophisticated technology infrastructure to facilitate research and systematic trading which is the basis for evolving current and future investment strategies.The Rotella Polaris Program  (f/k/a Standard Leverage Program) was launched in 1991 based upon Robert Rotella's quantitative study of price trends in global markets and disciplined risk management methodology.  As the flagship strategy of Rotella Capital, the Polaris Program’s 19-year track record reflects consistent returns with very low correlation to traditional and alternative investment strategies alike.    The Polaris Program utilizes a multi-model, multi-timeframe approach to invest in global commodity, interest rate, equity index, and foreign exchange markets.  The core investment models in Polaris analyze over 30 years of price data to identify market anomalies that may be repeated over various time horizons.  A top-down portfolio management approach incorporates quantitative portfolio optimization, tactical risk allocation, systematic execution and sophisticated money management techniques to target consistent returns across various market conditions.  The average trade duration within the Polaris portfolio is between ten (10) and forty (40) days.  Two funds are currently traded according to this Program: Rotella Polaris Fund, LLC is available to U.S. investors, and Rotella Polaris Fund, Ltd is available to non-U.S. investors and tax-exempt U.S. investors.

   

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
-23.67 33 - 2/1/2016 11/1/2018
-17.17 48 27 6/1/2008 6/1/2012
-11.86 4 13 6/1/1999 10/1/1999
-11.85 14 13 5/1/2003 7/1/2004
-8.74 4 5 10/1/2001 2/1/2002
-8.37 7 3 3/1/2015 10/1/2015
-7.33 2 2 10/1/2007 12/1/2007
-6.16 3 4 8/1/1994 11/1/1994
-5.64 2 5 5/1/2006 7/1/2006
-5.55 2 2 5/1/1995 7/1/1995
-5.02 1 3 4/1/1991 5/1/1991
-5.01 1 4 2/1/1992 3/1/1992
-4.37 1 2 2/1/2003 3/1/2003
-4.20 1 4 3/1/1998 4/1/1998
-4.10 2 1 9/1/2002 11/1/2002
-4.02 1 1 9/1/1998 10/1/1998
-3.54 2 3 3/1/2001 5/1/2001
-3.13 4 1 4/1/2007 8/1/2007
-2.56 1 1 5/1/1993 6/1/1993
-2.53 1 1 8/1/1991 9/1/1991
-2.49 1 2 1/1/2006 2/1/2006
-2.23 1 1 11/1/2005 12/1/2005
-2.09 1 1 9/1/2014 10/1/2014
-1.93 1 1 11/1/1996 12/1/1996
-1.91 1 2 8/1/2005 9/1/2005
-1.77 1 1 3/1/1993 4/1/1993
-1.61 2 1 2/1/2008 4/1/2008
-1.56 3 1 12/1/2006 3/1/2007
-1.41 1 1 1/1/0001 1/1/1991
-1.41 2 1 2/1/1997 4/1/1997
-1.39 2 1 10/1/1992 12/1/1992
-1.28 2 2 4/1/1996 6/1/1996
-1.03 1 1 7/1/1997 8/1/1997
-0.89 1 1 12/1/1998 1/1/1999
-0.84 1 1 5/1/1997 6/1/1997
-0.71 1 1 4/1/1999 5/1/1999
-0.65 1 1 8/1/1993 9/1/1993
-0.41 2 1 9/1/1997 11/1/1997
-0.25 1 1 1/1/1998 2/1/1998
-0.17 1 1 12/1/2000 1/1/2001
-0.07 1 1 9/1/1995 10/1/1995
-0.06 1 1 12/1/1991 1/1/1992
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Consecutive Gains

Run-up Length (Mos.) Start End
67.68 11 10/1/1993 8/1/1994
24.60 6 12/1/1994 5/1/1995
23.49 3 7/1/1998 9/1/1998
18.77 5 5/1/2002 9/1/2002
18.66 3 10/1/2000 12/1/2000
18.33 5 6/1/2001 10/1/2001
18.32 2 7/1/1993 8/1/1993
17.38 5 11/1/2014 3/1/2015
17.15 5 7/1/1996 11/1/1996
15.72 6 11/1/1995 4/1/1996
15.70 3 12/1/2002 2/1/2003
15.18 2 9/1/2007 10/1/2007
14.70 3 10/1/1991 12/1/1991
14.18 5 10/1/2008 2/1/2009
13.35 5 4/1/2005 8/1/2005
13.29 4 10/1/2017 1/1/2018
11.61 2 11/1/2016 12/1/2016
11.36 1 7/1/1997 7/1/1997
11.28 2 1/1/2008 2/1/2008
11.13 2 1/1/2016 2/1/2016
10.22 4 9/1/2013 12/1/2013
9.90 3 1/1/1993 3/1/1993
9.80 3 3/1/2006 5/1/2006
9.29 2 5/1/2008 6/1/2008
9.19 3 11/1/2012 1/1/2013
8.70 3 4/1/2014 6/1/2014
8.50 2 1/1/1997 2/1/1997
8.31 2 6/1/2016 7/1/2016
8.19 3 8/1/2010 10/1/2010
7.40 2 11/1/1999 12/1/1999
7.21 1 8/1/1991 8/1/1991
6.79 3 2/1/2010 4/1/2010
6.64 1 4/1/2011 4/1/2011
6.55 2 4/1/2003 5/1/2003
6.54 2 8/1/2014 9/1/2014
6.50 4 11/1/2003 2/1/2004
6.50 3 2/1/1991 4/1/1991
6.49 4 8/1/2004 11/1/2004
6.22 3 2/1/1999 4/1/1999
6.13 5 8/1/2006 12/1/2006
6.06 2 2/1/2001 3/1/2001
6.05 1 11/1/2015 11/1/2015
5.97 2 8/1/1995 9/1/1995
5.77 4 7/1/1992 10/1/1992
5.52 2 3/1/2013 4/1/2013
5.36 2 11/1/1998 12/1/1998
5.25 1 12/1/2010 12/1/2010
5.25 2 7/1/2018 8/1/2018
4.10 1 5/1/2000 5/1/2000
3.87 2 4/1/1992 5/1/1992
3.72 1 5/1/1997 5/1/1997
3.68 1 2/1/1992 2/1/1992
3.56 1 9/1/2015 9/1/2015
3.55 1 9/1/1997 9/1/1997
3.52 3 7/1/2011 9/1/2011
3.37 1 11/1/2009 11/1/2009
3.05 1 6/1/1991 6/1/1991
2.85 1 7/1/2015 7/1/2015
2.75 1 2/1/2014 2/1/2014
2.70 1 7/1/2012 7/1/2012
2.60 1 5/1/1998 5/1/1998
2.50 1 9/1/2012 9/1/2012
2.49 2 10/1/2005 11/1/2005
2.47 1 1/1/2006 1/1/2006
2.43 1 5/1/1993 5/1/1993
2.38 2 11/1/2011 12/1/2011
2.06 1 6/1/1999 6/1/1999
2.03 1 8/1/2000 8/1/2000
2.00 2 12/1/1997 1/1/1998
1.74 1 5/1/2009 5/1/2009
1.74 1 4/1/2007 4/1/2007
1.66 1 2/1/2011 2/1/2011
1.63 1 5/1/2015 5/1/2015
1.50 1 5/1/2012 5/1/2012
1.49 1 9/1/2009 9/1/2009
1.38 1 2/1/2017 2/1/2017
1.31 1 2/1/2012 2/1/2012
1.09 2 7/1/2017 8/1/2017
1.08 1 3/1/1998 3/1/1998
1.08 1 9/1/2003 9/1/2003
1.05 1 2/1/2005 2/1/2005
0.80 1 3/1/2002 3/1/2002
0.68 1 7/1/2009 7/1/2009
0.57 1 2/1/2000 2/1/2000
0.49 1 6/1/2007 6/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.22 3 7/1/2008 9/1/2008
-13.67 5 2/1/2018 6/1/2018
-13.11 3 3/1/2016 5/1/2016
-12.55 3 8/1/2016 10/1/2016
-11.86 4 7/1/1999 10/1/1999
-11.27 5 3/1/2004 7/1/2004
-9.10 4 5/1/2013 8/1/2013
-8.74 4 11/1/2001 2/1/2002
-8.67 2 5/1/2011 6/1/2011
-8.32 4 3/1/2017 6/1/2017
-8.06 3 9/1/2018 11/1/2018
-7.89 3 5/1/2010 7/1/2010
-7.45 2 12/1/2009 1/1/2010
-7.33 2 11/1/2007 12/1/2007
-6.33 3 6/1/2003 8/1/2003
-6.16 3 9/1/1994 11/1/1994
-5.64 2 6/1/2006 7/1/2006
-5.55 2 6/1/1995 7/1/1995
-5.41 1 6/1/2015 6/1/2015
-5.14 2 3/1/2012 4/1/2012
-5.02 1 5/1/1991 5/1/1991
-5.01 1 3/1/1992 3/1/1992
-5.00 2 3/1/2009 4/1/2009
-4.55 1 3/1/2014 3/1/2014
-4.55 1 10/1/2011 10/1/2011
-4.40 1 8/1/2015 8/1/2015
-4.37 1 3/1/2003 3/1/2003
-4.24 1 10/1/2012 10/1/2012
-4.20 1 4/1/1998 4/1/1998
-4.10 2 10/1/2002 11/1/2002
-4.04 1 10/1/2015 10/1/2015
-4.02 1 10/1/1998 10/1/1998
-3.86 1 7/1/2014 7/1/2014
-3.84 1 1/1/2017 1/1/2017
-3.80 1 12/1/2015 12/1/2015
-3.79 2 12/1/2004 1/1/2005
-3.70 1 6/1/2012 6/1/2012
-3.54 2 4/1/2001 5/1/2001
-2.96 1 11/1/2010 11/1/2010
-2.96 1 10/1/2009 10/1/2009
-2.87 1 7/1/1991 7/1/1991
-2.85 2 7/1/2007 8/1/2007
-2.82 1 9/1/2017 9/1/2017
-2.56 1 6/1/1993 6/1/1993
-2.53 1 9/1/1991 9/1/1991
-2.49 1 2/1/2006 2/1/2006
-2.45 1 4/1/2015 4/1/2015
-2.37 1 1/1/2000 1/1/2000
-2.34 1 1/1/2014 1/1/2014
-2.31 1 6/1/2009 6/1/2009
-2.23 1 12/1/2005 12/1/2005
-2.15 2 3/1/2000 4/1/2000
-2.12 1 1/1/2011 1/1/2011
-2.09 1 10/1/2014 10/1/2014
-2.01 1 1/1/2012 1/1/2012
-1.96 1 8/1/2009 8/1/2009
-1.93 1 12/1/1996 12/1/1996
-1.91 1 9/1/2005 9/1/2005
-1.84 1 3/1/2011 3/1/2011
-1.77 1 4/1/1993 4/1/1993
-1.61 2 3/1/2008 4/1/2008
-1.56 3 1/1/2007 3/1/2007
-1.49 1 10/1/2003 10/1/2003
-1.41 1 1/1/1991 1/1/1991
-1.41 2 3/1/1997 4/1/1997
-1.39 1 2/1/2013 2/1/2013
-1.39 2 11/1/1992 12/1/1992
-1.28 2 5/1/1996 6/1/1996
-1.26 1 9/1/2000 9/1/2000
-1.20 1 6/1/1998 6/1/1998
-1.03 1 8/1/1997 8/1/1997
-0.96 2 6/1/2000 7/1/2000
-0.89 1 1/1/1999 1/1/1999
-0.84 1 6/1/1997 6/1/1997
-0.77 1 8/1/2012 8/1/2012
-0.77 1 5/1/2007 5/1/2007
-0.77 1 3/1/2005 3/1/2005
-0.71 1 5/1/1999 5/1/1999
-0.65 1 9/1/1993 9/1/1993
-0.41 2 10/1/1997 11/1/1997
-0.25 1 2/1/1998 2/1/1998
-0.19 1 4/1/2002 4/1/2002
-0.17 1 1/1/2001 1/1/2001
-0.07 1 10/1/1995 10/1/1995
-0.06 1 1/1/1992 1/1/1992
-0.04 1 6/1/1992 6/1/1992
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods335.00333.00330.00324.00318.00312.00300.00288.00276.00
Percent Profitable58.2165.4770.3074.0775.4777.8886.6791.6794.20
Average Period Return0.872.665.4311.5618.1625.5942.8260.9780.71
Average Gain3.195.979.4717.4525.9834.5550.5467.1885.98
Average Loss-2.37-3.59-4.13-5.29-5.91-5.97-7.34-7.38-4.93
Best Period16.5023.4938.3481.0595.98129.69166.25244.94314.28
Worst Period-10.81-14.22-11.49-12.99-17.01-16.96-18.40-17.17-13.36
Standard Deviation3.616.269.1115.6222.1229.3846.3865.0787.39
Gain Standard Deviation2.624.897.7013.8419.8227.2145.0764.4587.33
Loss Standard Deviation1.922.832.983.114.103.984.774.094.32
Sharpe Ratio (1%)0.220.390.540.680.750.800.860.870.87
Average Gain / Average Loss1.351.662.293.304.405.796.889.1017.44
Profit / Loss Ratio1.883.155.439.4313.5320.3844.74100.10283.43
Downside Deviation (10%)2.183.293.975.567.178.159.5510.1511.19
Downside Deviation (5%)2.012.803.003.574.194.194.183.542.66
Downside Deviation (0%)1.972.682.773.123.553.373.192.431.56
Sortino Ratio (10%)0.210.440.751.181.471.882.833.884.74
Sortino Ratio (5%)0.390.861.652.963.975.629.5216.0628.38
Sortino Ratio (0%)0.440.991.963.715.117.6013.4425.1451.86

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Sharpe 6 1.53 2001 - 2002
Trend Following Strategy Index Month 10 -1.77 10/2002
IASG CTA Index Sharpe 8 1.54 2000 - 2001
Trend Following Strategy Index Month 10 -2.79 4/2001
IASG CTA Index 5 Year Rolling 9 136.93 1995 - 2000
IASG CTA Index 5 Year Rolling 8 154.43 1994 - 1999
IASG CTA Index Sharpe 7 1.58 1998 - 1999
Trend Following Strategy Index Month 10 -0.89 1/1999
IASG CTA Index 3 Year Rolling 9 98.14 1995 - 1998
IASG CTA Index Sharpe 7 1.76 1997 - 1998
IASG CTA Index 5 Year Rolling 4 241.08 1993 - 1998
Trend Following Strategy Index Month 5 4.19 11/1998
Systematic Trader Index Month 8 4.19 11/1998
Diversified Trader Index Month 9 4.19 11/1998
Trend Following Strategy Index Month 8 -4.20 4/1998
IASG CTA Index Sharpe 5 1.91 1996 - 1997
IASG CTA Index 5 Year Rolling 4 314.28 1992 - 1997
Trend Following Strategy Index Month 7 -0.06 10/1997
Diversified Trader Index Month 10 -0.06 10/1997
IASG CTA Index Month 9 -1.03 8/1997
Systematic Trader Index Month 6 -1.03 8/1997
Trend Following Strategy Index Month 4 -1.03 8/1997
Diversified Trader Index Month 4 -1.03 8/1997
Trend Following Strategy Index Month 7 3.72 5/1997
Systematic Trader Index Month 7 3.72 5/1997
Diversified Trader Index Month 8 3.72 5/1997
Systematic Trader Index Month 7 -0.27 4/1997
Diversified Trader Index Month 6 -0.27 4/1997
Trend Following Strategy Index Month 5 -0.27 4/1997
IASG CTA Index 3 Year Rolling 6 118.71 1993 - 1996
Trend Following Strategy Index Month 6 -1.93 12/1996
IASG CTA Index 5 Year Rolling 3 247.50 1991 - 1996
IASG CTA Index Sharpe 3 1.89 1995 - 1996
Systematic Trader Index Month 10 -1.93 12/1996
Trend Following Strategy Index Month 3 3.05 8/1996
Systematic Trader Index Month 4 3.05 8/1996
Diversified Trader Index Month 7 3.05 8/1996
IASG CTA Index Month 8 3.05 8/1996
IASG CTA Index Month 7 0.76 7/1996
Trend Following Strategy Index Month 5 0.76 7/1996
Diversified Trader Index Month 6 0.76 7/1996
Systematic Trader Index Month 6 0.76 7/1996
Diversified Trader Index Month 6 -0.35 5/1996
Systematic Trader Index Month 7 -0.35 5/1996
Trend Following Strategy Index Month 3 -0.35 5/1996
IASG CTA Index Month 9 -0.35 5/1996
Trend Following Strategy Index Month 7 4.32 3/1996
Systematic Trader Index Month 2 2.40 2/1996
Diversified Trader Index Month 2 2.40 2/1996
IASG CTA Index Month 2 2.40 2/1996
Trend Following Strategy Index Month 1 2.40 2/1996
IASG CTA Index Sharpe 3 1.82 1994 - 1995
IASG CTA Index 5 Year Rolling 1 227.21 1990 - 1995
IASG CTA Index 3 Year Rolling 4 156.58 1992 - 1995
Trend Following Strategy Index Month 7 -0.07 10/1995
IASG CTA Index Month 9 -0.07 10/1995
Diversified Trader Index Month 8 -0.07 10/1995
Systematic Trader Index Month 8 -0.07 10/1995
Diversified Trader Index Month 6 2.15 9/1995
IASG CTA Index Month 8 2.15 9/1995
Systematic Trader Index Month 4 2.15 9/1995
Trend Following Strategy Index Month 2 2.15 9/1995
Systematic Trader Index Month 7 3.74 8/1995
Trend Following Strategy Index Month 7 3.74 8/1995
Diversified Trader Index Month 10 3.74 8/1995
Trend Following Strategy Index Month 10 -5.23 7/1995
Trend Following Strategy Index Month 9 -0.34 6/1995
IASG CTA Index Month 8 0.29 1/1995
Systematic Trader Index Month 5 0.29 1/1995
Diversified Trader Index Month 5 0.29 1/1995
Trend Following Strategy Index Month 2 0.29 1/1995
IASG CTA Index 3 Year Rolling 3 115.07 1991 - 1994
IASG CTA Index Sharpe 4 1.82 1993 - 1994
IASG CTA Index Year Rolling 4 35.37 1993 - 1994
Trend Following Strategy Index Month 7 1.24 12/1994
Diversified Trader Index Month 9 1.24 12/1994
Systematic Trader Index Month 10 1.24 12/1994
IASG CTA Index Month 1 8.03 8/1994
Trend Following Strategy Index Month 1 8.03 8/1994
Systematic Trader Index Month 1 8.03 8/1994
Diversified Trader Index Month 1 8.03 8/1994
Trend Following Strategy Index Month 4 0.78 7/1994
Systematic Trader Index Month 6 0.78 7/1994
Diversified Trader Index Month 7 0.78 7/1994
IASG CTA Index Month 9 0.78 7/1994
Diversified Trader Index Month 8 8.14 6/1994
Trend Following Strategy Index Month 6 8.14 6/1994
Systematic Trader Index Month 7 8.14 6/1994
IASG CTA Index Month 8 8.14 6/1994
Trend Following Strategy Index Month 6 0.91 4/1994
Systematic Trader Index Month 8 0.91 4/1994
IASG CTA Index Month 10 0.91 4/1994
Diversified Trader Index Month 10 0.91 4/1994
Systematic Trader Index Month 3 5.07 2/1994
Diversified Trader Index Month 3 5.07 2/1994
Trend Following Strategy Index Month 2 5.07 2/1994
IASG CTA Index Month 3 5.07 2/1994
Systematic Trader Index Month 1 4.23 1/1994
IASG CTA Index Month 1 4.23 1/1994
Trend Following Strategy Index Month 1 4.23 1/1994

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