RTM Capital Advisors : RTM Core Indices Plus Strategy

Year-to-Date
15.96%
Aug Performance
7.17%
Min Investment
$ 100k
Mgmt. Fee
0.50%
Perf. Fee
10.00%
Annualized Vol
10.38%
Sharpe (RFR=1%)
1.01
CAROR
11.55%
Assets
$ 5.2M
Worst DD
-9.31
S&P Correlation
0.76

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2017
RTM Core Indices Plus Strategy 7.17 11.18 15.96 22.65 38.82 - - 38.82
S&P 500 7.01 14.98 8.34 19.61 40.39 - - 37.73
+/- S&P 500 0.16 -3.80 7.62 3.04 -1.57 - - 1.09

Strategy Description

Investment Strategy

The Core Indices Plus Strategy seeks to reduce portfolio volatility by capitalizing on positive trends in the marketplace and fully exploiting these trends through concentrated positioning. Alternately, the strategy will move to cash when the market shows signs of weakening.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 4.00
Management Fee 0.50%
Performance Fee 10.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 100 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 50.00%
1-30 Days 50.00%
Intraday 0%

Decision-Making

Discretionary 75.00%
Systematic 25.00%

Strategy

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The Core Indices Plus Strategy seeks to reduce portfolio volatility by capitalizing on positive trends in the marketplace and fully exploiting these trends through concentrated positioning. Alternately, the strategy will move to cash when the market shows signs of weakening. Predominantly trading in the most liquid equity index futures, RTM utilizes a full sequence of proprietary quantitative, technical and fundamental (behavioral) strategies to continually assess market risk and market momentum. We also anticipate trend development. When identified, trades are managed proactively to concentrate risk in a smaller number of trades with the intent to fully exploit several substantial trends in a calendar year

Risk Management

Risk assessment & management is the leading principle. We build on success and do not average losses or continue to buy a dropping market. In addition we have a scaled approach. If we are not having success at reduced exposure, we will not take on additional risk. The opposite is also true. We bend with the market, trading our largest when the market is performing well and trading our smallest when conditions are poor. A full cash allocation is an important investment tool.

   

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
-9.31 5 8 4/1/2019 9/1/2019
-3.51 4 2 8/1/2018 12/1/2018
-2.02 2 3 1/1/2018 3/1/2018
-0.10 1 1 11/1/2017 12/1/2017
-0.01 1 1 6/1/2018 7/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
23.65 5 4/1/2020 8/1/2020
8.92 3 9/1/2017 11/1/2017
8.19 4 10/1/2019 1/1/2020
8.15 4 1/1/2019 4/1/2019
3.52 1 1/1/2018 1/1/2018
3.31 3 4/1/2018 6/1/2018
3.04 1 8/1/2018 8/1/2018
0.91 2 6/1/2019 7/1/2019
0.25 1 11/1/2018 11/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.30 1 5/1/2019 5/1/2019
-6.67 2 2/1/2020 3/1/2020
-3.05 2 8/1/2019 9/1/2019
-2.27 2 9/1/2018 10/1/2018
-2.02 2 2/1/2018 3/1/2018
-1.51 1 12/1/2018 12/1/2018
-0.10 1 12/1/2017 12/1/2017
-0.01 1 7/1/2018 7/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable66.6764.7180.6572.0089.47100.00
Average Period Return0.962.343.405.026.679.15
Average Gain2.405.265.248.257.839.15
Average Loss-1.92-3.03-4.27-3.29-3.13
Best Period8.3311.7020.7522.6519.6418.17
Worst Period-7.30-6.46-9.22-6.51-4.121.73
Standard Deviation3.004.955.687.486.994.66
Gain Standard Deviation2.263.264.426.146.444.66
Loss Standard Deviation2.092.203.562.221.40
Sharpe Ratio (1%)0.290.420.510.540.741.53
Average Gain / Average Loss1.251.741.232.512.50
Profit / Loss Ratio2.503.195.116.4521.24
Downside Deviation (10%)1.772.823.344.764.923.85
Downside Deviation (5%)1.642.322.542.521.570.08
Downside Deviation (0%)1.602.192.362.051.07
Sortino Ratio (10%)0.310.390.280.00-0.19-0.29
Sortino Ratio (5%)0.540.901.141.603.2990.61
Sortino Ratio (0%)0.601.071.442.456.26

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 3.29 7/2020
Discretionary Trader Index Month 7 3.29 7/2020
Discretionary Trader Index Month 5 2.66 5/2020
Stock Index Trader Index Month 5 2.66 5/2020
Stock Index Trader Index Month 2 8.33 4/2020
Discretionary Trader Index Month 2 8.33 4/2020
Stock Index Trader Index Month 2 8.33 4/2020
Discretionary Trader Index Month 2 8.33 4/2020
Stock Index Trader Index Month 9 0.48 1/2020
Stock Index Trader Index Month 3 3.17 12/2019
Discretionary Trader Index Month 6 3.17 12/2019
Stock Index Trader Index Month 3 4.26 11/2019
Discretionary Trader Index Month 1 4.26 11/2019

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