Rotella Molinero LLC : Rotella Molinero MultiQuant Futures Fund - 2X

archived programs
Year-to-Date
N / A
Jan Performance
0.88%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.10%
Sharpe (RFR=1%)
0.34
CAROR
-
Assets
$ 2.3M
Worst DD
-12.54
S&P Correlation
0.09

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
6/2012
Rotella Molinero MultiQuant Futures Fund - 2X 0.88 - - - - - - 8.10
S&P 500 -3.56 - - - - - - 154.35
+/- S&P 500 4.44 - - - - - - -146.26

Strategy Description

Investment Strategy

Using Rotella Molinero LLC's MultiQuant Futures Program (the "Program"), the Rotella Molinero MultiQuant Futures Fund LLC (the "Fund") aims to achieve capital appreciation with diversification of risk, through investment in underlying managers who primarily pursue systematic... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 10k
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 Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 4000 RT/YR/$M
Avg. Margin-to-Equity 35%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 30.00%
1-3 Months 20.00%
1-30 Days 45.00%
Intraday 5.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
5.00%
Momentum
20.00%
Pattern Recognition
5.00%
Trend-following
50.00%
Other
20.00%
Strategy Pie Chart

Composition

Interest Rates
25.00%
Stock Indices
25.00%
Currency Futures
20.00%
Currency FX
5.00%
Industrial Metals
4.00%
Precious Metals
4.00%
Energy
4.00%
Grains
4.00%
Livestock
4.00%
Softs
4.00%
VIX
1.00%
Composition Pie Chart

Investment Strategy

Using Rotella Molinero LLC's MultiQuant Futures Program (the "Program"), the Rotella Molinero MultiQuant Futures Fund LLC (the "Fund") aims to achieve capital appreciation with diversification of risk, through investment in underlying managers who primarily pursue systematic trend and non-trend investment strategies. The Fund allocates to a concentrated portfolio of 5 to 10 trading programs employing diversified trend following, short-term, relative value and statistical quantitative methodologies along with proprietary strategies. Each underlying trading program allocation will be determined by our proprietary quantitative systematic algorithm and dynamically adjusted. The underlying programs currently included are Rotella Polaris Program; Rotella Orion Program; Rotella TEXO Program; Molinero Global Markets Program; and complementary proprietary strategies.

   

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
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Sharpe Ratio: (RF=1%)
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Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-12.54 5 - 4/1/2013 9/1/2013
-5.30 3 3 7/1/2012 10/1/2012
-3.80 2 1 1/1/2013 3/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
7.96 1 4/1/2013 4/1/2013
7.17 3 11/1/2012 1/1/2013
6.47 2 6/1/2012 7/1/2012
6.10 1 10/1/2013 10/1/2013
5.65 2 12/1/2013 1/1/2014
1.91 1 9/1/2012 9/1/2012
0.89 1 8/1/2013 8/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.83 3 5/1/2013 7/1/2013
-4.01 1 10/1/2012 10/1/2012
-3.80 2 2/1/2013 3/1/2013
-3.19 1 8/1/2012 8/1/2012
-2.79 1 9/1/2013 9/1/2013
-1.75 1 11/1/2013 11/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable55.0061.1153.3366.67
Average Period Return0.460.710.470.27
Average Gain3.273.884.772.84
Average Loss-2.98-4.28-4.44-4.87
Best Period7.969.1711.306.95
Worst Period-4.70-10.83-7.39-6.57
Standard Deviation3.785.095.614.51
Gain Standard Deviation2.642.653.402.51
Loss Standard Deviation1.063.762.702.46
Sharpe Ratio (1%)0.100.09-0.01-0.16
Average Gain / Average Loss1.100.911.070.58
Profit / Loss Ratio1.341.431.231.17
Downside Deviation (10%)2.374.075.036.33
Downside Deviation (5%)2.163.563.783.60
Downside Deviation (0%)2.113.443.483.04
Sortino Ratio (10%)0.02-0.13-0.40-0.75
Sortino Ratio (5%)0.170.13-0.01-0.20
Sortino Ratio (0%)0.220.210.130.09

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.