Manager List    »    Rotella Capital Management, Inc    »   

Rotella Capital Management, Inc - Qdeck Commodity Beta Plus Carry Program



Principal(s): Jagdeesh Prakasam, CEO
Strategy: Systematic / Long-Short / Liquid Commodities
Request Disclosure Document
Sign Up to get Monthly Performance Reports by Email
Request Broker Assistance
Interested in New Manager Listings? Sign up to receive notifications.

Statistics & Program Information

Jul Return   -6.26% Worst Drawdown (2)    -6.26% Minimum Investment   $2,000,000
YTD Return   19.78% Losing Streak (3)    -6.26 % AUM (5)   $1,000
Annual CROR (1)   N/A% Sharpe Ratio (4)   1.46 Calmar Ratio (6)    N/A
Trading Methodology
100% Systematic
Style Sub-Categories
Momentum
Relative Value

Term Structure
Trading Style
100% Long Short
Market Sector
100% Diversified
Holding Period
100% Short Term
Sector
Global
Contracts
Futures

Start Date   Jan-2020 Currency   US Dollars Margin (7)   
New Money   Yes AUM (5)   $1,000 Management Fee    1.00%
Min Investment    $2,000,000 Annual CROR (1)   N/A% Incentive Fee    15.00%
Fund Minimum    $0 Losing Streak (3)    -6.26 % Other Fees   None
Notional Funds    No Worst Drawdown (2)    -6.26 % Avg Comm (8)   $0.00
NFA Member    Yes Sharpe Ratio (4)    1.46 Max Comm (9)   
NFA Number    0271756 Calmar Ratio (6)    N/A Round Turns (10)    0
Starting Date:  Jan-2020 Currency:  US Dollars
Open to New Investors:  Yes Current Assets:  $1,000
Open to US Investors:  Yes Annual CROR:  36.27%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -6.26
Minimum Managed Account:  $2,000,000 Current Losing Streak:  -6.26 %
Domocile:   Calmar:  N/A
Subscriptions:  N/A Sharpe Ratio:  1.46
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  1.00% Auditor:  Not Listed
Incentive Fee:  15.00% NFA Member:  Yes
Other Fees:  None FINRA Member:  No
Other Memberships:  None
Type of Fund:
Domicile:
Strategy:
Track Record Prepared By: N/A
Correlations: AG CTA Index: -0.189              AG Systematic CTA Index: -0.294             

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each.

1. Rates of Return: 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 a 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. The Annual Rate of Return ("Annual ROR") is the annualized Mean 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. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.

4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.

5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.

6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.

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

8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.

9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.

10. The 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.

11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.

12. Minimum Investment represents the minimum account size.

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

14. The Number of Winning Months represents the months with positive return.

15. The Number of Losing Months represents the months with negative return.

16. The Percentage of Winning Months represents the % of winning months.

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

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

19. 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.

20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Rotella Commodity Beta Plus Carry Program ("Program") is a systematic long-short commodity futures program that seeks to capture asymmetric exposure to a broad set of liquid commodity futures. The Program tends to have higher exposure when commodities are trending upwards, and when they have high upside volatility. Seeking to retain a net positive carry exposure can help offset the drag from actively re-balancing the portfolio. The Program uses a combination of term structure, momentum and relative value information to determine net positioning. Multiple contract expiries are used to form a multi-underlying calendar spread across a diverse set of instruments in the energy, precious metals, and agriculture sub-sectors. Legs tend to be added (subtracted) during periods of market distress, when they are at a discount (premium). On average, the Program targets a positive correlation to an equally-weighted commodity benchmark, and enforces this with a statistical factor model.

Rotella Capital Management ("RCM") was founded in 1995. RCM is built on the vision of Robert Rotella, one of the early pioneers in bringing a purely systematic approach to investing in the futures space. RCM has built on that deep experience to create multiple futures and securities strategies. Qdeck Rotella Short-term Momentum Program ("Program") is a futures program designed to identify and capitalize on short-term price movements in global commodity, interest rate, equity index and foreign exchange markets and was formerly known as Rotella Aquarius Program. The Program contains a blend of ideas looking to capture breakout and mean reversion behavior in the shorter time horizon using statistical and machine learning models. While the majority of the portfolio is geared towards capturing the breakout behavior, the short-term models within the portfolio generally add the ability to produce attractive risk-adjusted returns with very low correlation to traditional and alternative investment strategies alike. A top-down portfolio management approach incorporates quantitative portfolio optimization, tactical risk allocation, systematic execution and sophisticated money management techniques to target consistent returns across various market conditions. The average trade duration within the Program is less than ten (10) days.

Rotella Capital Management's programs are overseen by its research team. They are supported by a dedicated team of highly skilled researchers, comprised of members with diverse educational backgrounds who have advanced degrees in physics, engineering, mathematics and financial engineering. The research team has extensive experience building sophisticated investment products in both the futures and securities spaces. The ideas used in these programs are an eclectic combination of ideas from across the scientific spectrum which includes machine learning based ideas. The diversity of backgrounds on our team creates a catalyst for new idea generation and supports the drive to provide superior, risk-adjusted returns.

Accounting Notes:

live trading performance starting January 20, 2022 reflects unaudited, actual returns of proprietary and client accounts invested in the Program, net of applicable fees and expenses. Individual client experience may vary, due to timing of investment and actual fees and expenses paid. The performance record for January 2022 is a combination of the above and the unaudited, hypothetical returns of a single hypothetical account with an initial and constant investment amount of $500k (profits were not reinvested for purpose of computing performance), net of applicable fees and expenses.

Please See Accounting Notes

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
20225.60% 3.40% 1.55% -3.79% 6.19% 12.80% -6.26%   19.78% -6.26%

Annual Performance

Years2022 YTD
ROR19.78%
Max DD-6.26%



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

VAMI, Assets under Management & Worst Drawdown

Chart

Monthly Returns

Chart

++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.