Rincon Capital LLC
Active Beta Management
Methodology: Discretionary
Strategy: Technical
Sub-Strategy: N/A
Market Focus: Equity Indices
Strategy Description
The Rincon Active Beta Management program is a discretionary technical strategy, which focuses on trading U.S. equity index futures. The program is long/flat in nature, with exposure typically ranging from 0% to 250%. The manager employs a medium term trading approach, with exposure levels varying based upon volatility and price momentum. When volatility is “normal” or lower, the manager will typically hold a core long position. Position sizes will generally increase if an upward trend is in place, and the market appears to be bouncing off a key support level. If volatility is “high” the manager will typically reduce exposure to 0%.
Risk Management
Risk is managed discretionarily via the previously mentioned exposure reductions as well as outright put protection. The manager makes heavy use of options, regularly buying put options in an attempt to limit the program’s downside to 10% during equity market declines.
General Information
Management Fee: 0.00% Typical Trade Duration: 1-3 Weeks
Performance Fee: 22.50% Round Turns per Million: 1,200
Manager Assets: $7,000,000 Typical Margin‐to‐Equity: 4-12%
Strategy Assets: $6,500,000 Managed Account Minimum: $250,000
Performance Statistics
Date Range: 11/16 – 07/18 Maximum Drawdown: -12.77%
Annualized ROR: 11.25% Sharpe Ratio (0% RFR): 1.10
Standard Deviation: 10.22% Correlation to S&P 500: 0.71
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.
Coquest Strategy Summary · Rincon Capital LLC
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.
