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Rotella Capital Management : Rotella Texo Program

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Year-to-Date
N / A
Dec Performance
-2.30%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
7.14%
Sharpe (RFR=1%)
0.29
CAROR
2.87%
Assets
$ 25.3M
Worst DD
-11.63
S&P Correlation
0.25
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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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
6/2007
Rotella Texo Program -2.30 - - - - - -6.03 20.44
S&P 500 2.36 - - - - - 66.20 130.43
+/- S&P 500 -4.66 - - - - - -72.24 -109.99

Strategy Description

Summary

The Rotella Texo Program identifies statistically significant pairs within defined market sectors and attempts to profit from the convergence / divergence of those pairs from their historical relationship. The Texo portfolio invests in three asset classes and over 40 futures markets... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
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 5000 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough -8.40%
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

Other
100.00%
Strategy Pie Chart

Composition

Summary

The Rotella Texo Program identifies statistically significant pairs within defined market sectors and attempts to profit from the convergence / divergence of those pairs from their historical relationship. The Texo portfolio invests in three asset classes and over 40 futures markets across North America, Europe, and Asia Pacific. A systematic investment process is coupled with discretionary leverage management to produce consistent returns with disciplined risk management, even in extreme market conditions such as those witnessed in 2008. Texo was developed by an independent research group and is managed by Veeru Perianan.

   

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

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
-11.63 17 - 7/1/2012 12/1/2013
-8.33 3 9 9/1/2008 12/1/2008
-6.65 17 5 3/1/2010 8/1/2011
-4.89 1 6 12/1/2007 1/1/2008
-2.24 1 5 1/1/2012 2/1/2012
-0.60 1 1 6/1/2007 7/1/2007
-0.26 1 1 11/1/2009 12/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
14.63 5 8/1/2007 12/1/2007
8.82 3 9/1/2009 11/1/2009
8.27 8 2/1/2008 9/1/2008
4.93 5 1/1/2009 5/1/2009
4.53 2 12/1/2011 1/1/2012
4.41 4 12/1/2010 3/1/2011
3.96 2 9/1/2011 10/1/2011
3.77 3 1/1/2010 3/1/2010
3.54 1 7/1/2009 7/1/2009
2.90 1 7/1/2012 7/1/2012
2.41 1 6/1/2007 6/1/2007
2.20 3 9/1/2013 11/1/2013
1.49 1 12/1/2012 12/1/2012
1.46 1 7/1/2013 7/1/2013
1.32 2 3/1/2012 4/1/2012
1.23 1 7/1/2011 7/1/2011
0.60 1 5/1/2011 5/1/2011
0.27 1 10/1/2010 10/1/2010
0.10 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.33 3 10/1/2008 12/1/2008
-6.51 4 8/1/2012 11/1/2012
-5.89 1 8/1/2011 8/1/2011
-4.89 1 1/1/2008 1/1/2008
-4.45 6 4/1/2010 9/1/2010
-4.11 2 1/1/2013 2/1/2013
-3.57 1 8/1/2013 8/1/2013
-2.30 1 12/1/2013 12/1/2013
-2.24 1 2/1/2012 2/1/2012
-1.39 1 6/1/2011 6/1/2011
-0.95 1 11/1/2010 11/1/2010
-0.89 2 5/1/2012 6/1/2012
-0.71 1 11/1/2011 11/1/2011
-0.69 3 4/1/2013 6/1/2013
-0.60 1 7/1/2007 7/1/2007
-0.33 1 8/1/2009 8/1/2009
-0.31 1 4/1/2011 4/1/2011
-0.29 1 6/1/2009 6/1/2009
-0.26 1 12/1/2009 12/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods79.0077.0074.0068.0062.0056.0044.0032.00
Percent Profitable58.2354.5552.7057.3561.2973.2170.4587.50
Average Period Return0.260.791.222.163.545.908.8612.10
Average Gain1.513.425.106.568.439.8514.7114.43
Average Loss-1.49-2.37-3.10-3.76-4.19-4.91-5.08-4.23
Best Period7.3313.6316.0119.6717.4718.9530.5133.11
Worst Period-5.89-8.33-8.64-9.95-9.07-8.50-7.36-6.69
Standard Deviation2.063.795.357.327.518.4510.669.15
Gain Standard Deviation1.362.884.296.384.866.016.497.10
Loss Standard Deviation1.541.802.133.143.152.481.702.06
Sharpe Ratio (1%)0.080.140.140.160.270.460.550.88
Average Gain / Average Loss1.011.441.651.742.012.012.893.41
Profit / Loss Ratio1.411.731.832.343.195.496.9023.88
Downside Deviation (10%)1.572.714.146.387.908.8512.1312.74
Downside Deviation (5%)1.412.132.863.714.033.814.523.03
Downside Deviation (0%)1.372.002.573.183.242.832.901.62
Sortino Ratio (10%)-0.10-0.16-0.30-0.45-0.51-0.49-0.57-0.74
Sortino Ratio (5%)0.120.250.250.310.511.021.292.65
Sortino Ratio (0%)0.190.390.470.681.102.093.057.45

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.

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