Manager List    »   Three Rock Capital Management   »   

  • Manager: Three Rock Capital Management
    Program: Global Macro Program


    Principal(s): Ciaran Kane, Conor O'Mara, Fergal Cox
    Strategy: Momentum / S-Term / Diversified
    Request Document
    Request More Information or Assistance
    Investment Restrictions: 4.7 Exempt - QEPs Only++
Recent Statistics
  • Jul Return: 1.10%
  • YTD Return: -8.36%
  • Annual CROR:1 6.60 %
  • Worst DD:2 -15.56%
  • Losing Streak:3 -9.06 %
  • Sharpe Ratio:4 0.63
  • Min Investment: $1,000,000
  • AUM:5 $128,000,000
  • Calmar Ratio:6 1.01
INVESTMENT APPROACH: Risk allocated between two investment managers.

DEVELOPMENT OF MACRO FRAMEWORK: (Rolling 3 month).
* Fundamental research conducted in-house and sourced externally
* Technical research involving wide observation of price charts, in-house developed trend monitor (over 100 markets) and sentiment indicator
* Identify a stable of trades in which to concentrate risk taking for the period ahead

PORTFOLIO CONSTRUCTION:
* Trade Selection
* Correlations
* Volatility adjusted position sizing

TRADE ENTRY AND EXIT:
* Directional Bias
* Short term time horizon (0-15 days)
* Aggressive downside management on individual trades


FEATURES OF THE INVESTMENT APPROACH:
* Top Down
* Momentum based
* Concentrated Risk – typically less than 6 trades in place
* Medium term macro framework, short term trade horizon
* Active – often multiple attempts at the same trade * Asymmetric nature of trade returns
* Capital preservation is central

INDEPENDENT OVERSIGHT OF TRADING FUNCTION: RISK IS DEFINED AS THE LOSS OF CAPITAL AS WELL AS THE VOLATILITY OF RETURNS

MAXIMUM PORTFOLIO LOSS
* Maximum portfolio loss

VALUE AT RISK
* Portfolio VaR
* Uncorrelated VaR
* Breakdown of Portfolio Risk
* Risk Allocation between traders
* Drawdown Management – Dynamic Approach

MARGIN USAGE
* Threshold on margin usage to available margin

CIARAN KANE, Managing Director, has responsibility for all aspects of investor relations, as well as responsibility for finance, operations and risk management. Prior to joining the firm Ciaran was a director of Barclays Capital (2004 - 2012) and has held senior sales management positions in ABN Amro (2001 - 04) and Bank of Ireland (1998 - 01). He traded interest rate products as part of a proprietary trading team in Bank of Ireland (1990 - 98). He holds a B.Comm degree from University College Dublin and various professional qualifications. CONOR O'MARA, Investment Director, is responsible for leading the development and implementation of the investment strategy. Conor established Anark Capital Limited (now Three Rock Capital Management Ltd ) in November 2008 with a view to developing it into a Commodity Trading Advisor. As part of this process he built up an audited track record trading his own funds and those of friends/family through a managed account structure from January 2009. From 2000 - 2008 Conor successfully traded his own funds as an employee of Waxbeam Ltd. Prior to this he worked as a proprietary foreign exchange trader in Bank of Ireland (1995 - 2000) and National Irish Bank (1993 - 1995) . He holds a B.Comm and MSc. in Finance from University College Dublin. FERGAL COX, Investment Manager, is jointly responsible for the development and implementation of the investment strategy. Prior to joining the firm Fergal was a senior fixed income trader for Rabobank Ireland (2002-2012) and Bank of Ireland (1995-2002). He has broad experience across fixed income trading, balance sheet management and financial engineering. He holds a first class honours Bachelor of Actuarial and Financial Studies degree from University College Dublin.

Accounting Notes: From January 2009 to November 2012 Three Rock Capital Management traded as Anark Capital Ltd. The firm has been regulated by the Central Bank of Ireland since December 2012 and has been registered with the CFTC and a member of the NFA since January 2013. The performance record has been reviewed by KPMG (January 2009 to December 2014) and Arthur Bell (2015). Data is net of all fees. Performance calculations shown are based on a composite return of all client accounts. Performance calculations are based on month-end returns and are net of the actual management and performance fees charged on each client account. Since inception, the average annualized management fee and performance fee charged on client accounts is 1.62% and 15.7%, respectively. The current fee structure available to new clients is a 1% management fee and a 20% performance fee.


  • Trading Methodology
    100% Discretionary
  • Style Sub-Categories
    Fundamental
    Momentum
    Trend Anticipatory
  • Trading Style
    65% Trend Following
    25% Contrarian
    10% Spread Trading
  • Market Allocation
    Diversified
  • Holding Period
    10% Medium Term
    90% Short Term
  • Sector
    Global
    Contracts
    Futures

From Jan 2009 to Nov 2012 the Program was traded as Anark Capital Ltd. The firm has been regulated by the Central Bank of Ireland since December 2012 and has been registered with the CFTC and a member of the NFA since January 2013.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 -3.57% -1.46% -0.90% -1.82% 0.46% -2.41% 1.10%   -8.36% -9.36%
2016 2.63% 2.08% -1.04% -0.18% 0.20% 0.76% 0.98% -0.25% -2.90% 3.32% 4.57% -0.76% 9.57% -3.14%
2015 5.05% 2.36% 4.15% 1.17% 2.75% -3.98% -0.17% 0.14% -2.08% 2.93% 0.08% 1.12% 13.98% -6.01%
2014 -1.43% -1.69% -1.42% -1.43% -1.02% -0.34% -0.46% 0.88% 5.68% 3.67% 5.47% 0.30% 8.1% -7.54%
2013 2.85% 0.14% -1.16% 0.55% 0.45% 1.84% -0.80% 1.41% -0.69% -1.36% 2.19% 0.68% 6.15% -2.05%
2012 1.36% 2.07% 1.99% -1.12% 1.91% -0.61% 1.98% 0.98% 0.30% -1.92% 1.82% 0.02% 9.03% -1.92%

Years200920102011201220132014
ROR-6.85%29.44%0.24%9.03%6.15%8.10%
Max DD-15.56%-3.01%-6.85%-1.92%-2.05%-7.54%

Years201520162017 YTD
ROR13.98%9.57%-8.36%
Max DD-6.01%-3.14%-9.36%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Program Information
  • Start Date: Jan-2009
  • New Money: Yes
  • Min Investment: $1,000,000
  • Fund Minimum: $0
  • Notional Funds: Yes
  • NFA Member: Yes
  • NFA Number: 0445006
  • Currency: US Dollar
  • AUM:5 $128,000,000
  • Annual CROR:1 : 6.60%
  • Worst Drawdown:2 -15.56 %
  • Losing Streak:3 -9.06 %
  • Sharpe Ratio:4 0.63
  • Calmar Ratio:6 1.01
  • Margin:7: 5%
  • Mgt Fee: 1.00%
  • Incentive Fee: 20.00%
  • Other Fees: None
  • Avg Comm:8 8.00
  • Max Comm:9:
  • Round Turns:10 1,000
Additional Information
  • Other Memberships: None Listed
  • Correlations: AG CTA Index: 0.347 | AG Discretionary CTA Index: 0.155 |
  • Track Record Prepared By: KPMG

    Accounting Notes: From January 2009 to November 2012 Three Rock Capital Management traded as Anark Capital Ltd. The firm has been regulated by the Central Bank of Ireland since December 2012 and has been registered with the CFTC and a member of the NFA since January 2013. The performance record has been reviewed by KPMG (January 2009 to December 2014) and Arthur Bell (2015). Data is net of all fees. Performance calculations shown are based on a composite return of all client accounts. Performance calculations are based on month-end returns and are net of the actual management and performance fees charged on each client account. Since inception, the average annualized management fee and performance fee charged on client accounts is 1.62% and 15.7%, respectively. The current fee structure available to new clients is a 1% management fee and a 20% performance fee.

  • Chart
    Chart
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • ++Qualified Eligible Investors Only. A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

    Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

    RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

    THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

    THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

    AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.