2020 CTA Challenge Top 5
Discretionary Global Macro Program
| Methodology: | Systematic |
| Strategy: | Other Technical |
| Sub-Strategy: | Short Term (days-wks) |
| Market Focus: | Diversified |
Strategy Description
Revolution Capital Management’s Alpha Program is a fully-diversified, short- to medium-term program that utilizes a multi-strategy pattern-recognition methodology. It targets a low long-term correlation to trend-following indices. Annual volatility is targeted to 12% based on daily returns. The Alpha Program balances its exposure fairly evenly across all market sectors, including grains, softs, and meats. Approximately 70% of Alpha’s total risk allocation goes to stock indices, currencies, and fixed income, while the remainder is distributed across the various commodities (energies, metals, and agricultural products).
General Information
| Management Fee: | 2.00% |
| Incentive Fee: | 20.00% |
| Strategy AUM: | $671,000,000 |
| Firm AUM: | $380,000,000 |
| Typical Trade Duration: | 4 Days |
| Round Turns per Million: | 3,500 |
| Typical Margin-to-Equity: | 5-20% |
| Managed Account Minimum: | $5,000,000 |
Performance Statistics
| Date Range: | 07/07 – 01/21 |
| Annualized ROR: | 7.05% |
| Standard Deviation: | 11.53% |
| Maximum Drawdown: | -20.92% |
| Sharpe Ratio (0% RFR): | 0.61 |
| Correlation to S&P 500: | -0.06 |
Performance Comparison
Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.
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Disclosures
This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.