Three Rock Capital Management : Global Macro Program

Closed to new investments
Year-to-Date
3.78%
Sep Performance
1.47%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.75%
Sharpe (RFR=1%)
0.56
CAROR
5.70%
Assets
$ 77.2M
Worst DD
-15.56
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
Global Macro Program 1.47 4.11 3.78 1.79 2.97 31.55 98.40 81.42
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 178.69 256.71
+/- S&P 500 -0.25 2.92 -14.96 -0.36 -32.92 -17.84 -80.29 -175.28

Strategy Description

Investment Strategy

The strategy develops an overall macro framework based on a combination of fundamental and technical analysis. It is a momentum based strategy - buying on strength and selling on weakness, and characterised by aggressive downside management of individual trades. The strategy... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
4.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$8.00
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
1000 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
10.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
80.00%
Intraday
10.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
25.00%
Momentum
25.00%
Technical
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Currency Futures
50.00%
Precious Metals
20.00%
Stock Indices
20.00%
Interest Rates
10.00%
Composition Pie Chart

Investment Strategy

The strategy develops an overall macro framework based on a combination of fundamental and technical analysis. It is a momentum based strategy - buying on strength and selling on weakness, and characterised by aggressive downside management of individual trades. The strategy is active,rarely out of the market, with a clear directional bias and a short term time horizon (0-15 days). Trade selection is from a diverse universe of opportunities with risk concentrated on a small number of trades.

From January 2009 until July 2013 Three Rock Capital’s track record is exclusively derived from returns made from managing proprietary assets. From July 2013 onwards, the track record is derived from the returns made from managing assets that were both proprietary and non-proprietary.

Risk Management

Risk management is a key strength of the strategy. The overarching theme is capital preservation with aggressive downside management of individual trades. Stop losses are in place for all live trades.

   

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
-15.56 4 12 5/1/2009 9/1/2009
-10.82 13 - 11/1/2016 12/1/2017
-7.54 7 3 12/1/2013 7/1/2014
-6.85 2 7 4/1/2011 6/1/2011
-6.01 4 4 5/1/2015 9/1/2015
-5.34 2 2 12/1/2010 2/1/2011
-4.32 1 2 1/1/0001 1/1/2009
-3.14 2 1 7/1/2016 9/1/2016
-3.14 1 1 3/1/2009 4/1/2009
-2.04 2 1 8/1/2013 10/1/2013
-1.92 1 3 9/1/2012 10/1/2012
-1.22 2 3 2/1/2016 4/1/2016
-1.16 1 3 2/1/2013 3/1/2013
-1.12 1 1 3/1/2012 4/1/2012
-0.80 1 1 6/1/2013 7/1/2013
-0.61 1 1 5/1/2012 6/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
36.11 10 8/1/2014 5/1/2015
18.27 6 7/1/2010 12/1/2010
13.71 4 2/1/2010 5/1/2010
11.68 6 10/1/2011 3/1/2012
9.14 5 10/1/2015 2/1/2016
8.20 2 2/1/2009 3/1/2009
8.04 2 10/1/2016 11/1/2016
8.00 1 5/1/2009 5/1/2009
6.54 2 3/1/2011 4/1/2011
4.89 4 11/1/2012 2/1/2013
4.52 2 10/1/2009 11/1/2009
4.49 5 4/1/2018 8/1/2018
4.22 1 1/1/2018 1/1/2018
4.17 2 8/1/2019 9/1/2019
3.29 3 7/1/2012 9/1/2012
2.88 2 11/1/2013 12/1/2013
2.86 3 4/1/2013 6/1/2013
2.82 1 9/1/2017 9/1/2017
2.03 1 12/1/2018 12/1/2018
1.95 3 5/1/2016 7/1/2016
1.91 1 5/1/2012 5/1/2012
1.62 2 7/1/2011 8/1/2011
1.51 2 5/1/2019 6/1/2019
1.41 1 8/1/2013 8/1/2013
1.10 1 7/1/2017 7/1/2017
1.01 1 3/1/2019 3/1/2019
0.46 1 5/1/2017 5/1/2017
0.14 1 8/1/2015 8/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.56 4 6/1/2009 9/1/2009
-8.24 5 12/1/2016 4/1/2017
-7.54 7 1/1/2014 7/1/2014
-6.85 2 5/1/2011 6/1/2011
-5.34 2 1/1/2011 2/1/2011
-4.32 1 1/1/2009 1/1/2009
-4.14 2 6/1/2015 7/1/2015
-3.95 3 10/1/2017 12/1/2017
-3.91 3 9/1/2018 11/1/2018
-3.55 2 2/1/2018 3/1/2018
-3.28 2 12/1/2009 1/1/2010
-3.14 2 8/1/2016 9/1/2016
-3.14 1 4/1/2009 4/1/2009
-3.01 1 6/1/2010 6/1/2010
-2.41 1 6/1/2017 6/1/2017
-2.08 1 9/1/2015 9/1/2015
-2.04 2 9/1/2013 10/1/2013
-1.92 1 10/1/2012 10/1/2012
-1.46 2 1/1/2019 2/1/2019
-1.34 1 4/1/2019 4/1/2019
-1.22 2 3/1/2016 4/1/2016
-1.16 1 3/1/2013 3/1/2013
-1.12 1 4/1/2012 4/1/2012
-0.80 1 7/1/2013 7/1/2013
-0.78 1 9/1/2011 9/1/2011
-0.72 1 8/1/2017 8/1/2017
-0.61 1 6/1/2012 6/1/2012
-0.06 1 7/1/2019 7/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods129.00127.00124.00118.00112.00106.0094.0082.0070.00
Percent Profitable58.1462.9967.7472.8879.4681.1390.4398.78100.00
Average Period Return0.491.512.926.4210.2413.9622.3631.9042.40
Average Gain2.124.006.2010.0713.7017.8825.0332.3242.40
Average Loss-1.76-2.71-3.99-3.37-3.13-2.90-2.88-2.15
Best Period8.0015.5524.6235.0338.4140.6246.6351.5171.88
Worst Period-7.42-15.39-11.75-10.17-7.70-9.99-4.64-2.1520.41
Standard Deviation2.534.636.829.4910.6812.5013.7013.0614.11
Gain Standard Deviation1.683.635.558.499.1710.4511.4912.5714.11
Loss Standard Deviation1.592.672.982.522.002.471.43
Sharpe Ratio (1%)0.160.270.350.570.820.961.412.132.64
Average Gain / Average Loss1.201.471.552.994.386.168.6915.00
Profit / Loss Ratio1.672.513.268.0316.9626.4782.051214.89
Downside Deviation (10%)1.742.914.084.815.426.617.275.991.08
Downside Deviation (5%)1.572.423.052.622.292.391.940.84
Downside Deviation (0%)1.532.312.822.181.671.640.980.24
Sortino Ratio (10%)0.050.100.110.300.490.560.911.7313.62
Sortino Ratio (5%)0.260.520.792.073.825.019.9633.32
Sortino Ratio (0%)0.320.661.032.956.138.5222.70134.05

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 2.66 8/2019
Discretionary Trader Index Month 8 1.15 6/2019
Discretionary Trader Index Month 9 2.48 5/2018
Discretionary Trader Index Month 8 4.22 1/2018
IASG CTA Index Month 10 2.82 9/2017
Discretionary Trader Index Month 8 2.82 9/2017
Diversified Trader Index Month 5 2.82 9/2017
Discretionary Trader Index Month 10 4.57 11/2016
Diversified Trader Index Month 5 3.32 10/2016
Discretionary Trader Index Month 9 3.32 10/2016
Discretionary Trader Index Month 7 2.63 1/2016
Discretionary Trader Index Month 7 2.93 10/2015

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