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

performance chart 33714

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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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.