2020 CTA Challenge Top 5

Discretionary Global Macro Program

Methodology: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=methodology]
Strategy: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=strategy]
Sub-Strategy: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=sub_strategy]
Market Focus: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=market_focus]

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: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=prformattedint field=management_fee]
Incentive Fee: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=performance_fee]
Strategy AUM: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=manager_assets]
Firm AUM: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=strategy_assets]
Typical Trade Duration:  [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=typical_trade_duration]
Round Turns per Million:  [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=rt_per_million]
Typical Margin-to-Equity: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=margin_equity_ratio]
Managed Account Minimum: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=managed_account_minimum]

Performance Statistics

Date Range: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=first_date] – [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=last_date]
Annualized ROR: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=annualized_ror]
Standard Deviation: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=std_dev]
Maximum Drawdown: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=max_drawdown]
Sharpe Ratio (0% RFR): [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=sharpe_ratio]
Correlation to S&P 500: [ctrprograminfo firm_id=25846 program_id=33714 source=ctr output=formatted field=snp_correlation]

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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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.