Red Rock Capital’s Commodity Long-Short and Systematic Global Macro factsheet for February 2016.

Dear,

On February 25, 2016 in New York City Red Rock Capital’s Commodity Long-Short program won another coveted, peer-chosen CTA Intelligence Performance Award:

Red Rock Capital

We are pleased to share the following updates with you:

  • Firm assets under management recently surpassed $91 million.
  • Total Returns of our two programs, net of all fees, since their inception are:
    • Systematic Global Macro:    +241.90%  (Sep 2003 inception)
    • Commodity Long-Short:         +88.23%  (Sep 2013 inception)(Past performance not indicative of future performance.)
  • aiHedge recently awarded Red Rock Capital:

“Best Tactical Commodities Portfolio Manager – USA”

In the following table please find the updated monthly and 2015 YTD performance (est.) for both of our programs:

Red Rock Capital

(Past performance not indicative of future performance.)

Red Rock Capital – Commodity Long-Short

This program could be a valuable addition to a CTA portfolio because it is so different.  Across the Managed Futures industry, tens of billions of dollars are invested in trend followers that are highly correlated to one another, and this program has shown to be a great complement to those programs. In fact, its correlation to the Newedge Trend CTA Index (the top 10 largest trend following CTAs open for investment) is a very low 0.20.

February factsheet

Red Rock Capital

About The Strategy

Tangible / physical commodity futures markets are predictably inefficient. Supply & demand shocks are common and they regularly exhibit various degrees of disequilibrium as producers, consumers, and speculators attempt to maximize their gains and limit their risks. Our Commodity Long-Short strategy is designed to identify patterns of market behavior that signal an opportune time to initiate positions with the aim of capturing profitable, directional volatility in these markets as they try to find their true price. The patterns are not visible to the naked eye and can be counter-trend or with the trend. The average holding period of a trade is 9 days and the returns of the strategy exhibit very low correlation to stocks, bonds, HFs, or trend-following CTAs. Minimum account size is $500,000 and fees are 2% & 20%.

Portfolio

Outright long, short, or flat positions are initiated on a highly liquid and diversified portfolio of 28 exchange-traded commodity futures markets spanning the agricultural, metals, livestock, softs, and energy sectors.

Red Rock Capital

Red Rock Capital – Systematic Global Macro

The Systematic Global Macro program has a 12+ year track record netting clients 10.33% annualized returns and is uncorrelated to stocks and bonds.  A recent quantitative analysis once again demonstrated that it is among the top-ranked trend following programs in the entire CTA space going back to late 2003.  This is especially impressive when considering our program has 50% exposure to actual commodity futures such as corn, wheat, sugar, energies, precious metals, etc. (i.e. non-financial futures) unlike many large trend following managers who cannot trade these markets with meaningful size positions.

February factsheet

Red Rock Capital

The Systematic Global Macro Program is designed to capture the high-value payoff portion of globally trending markets by blending the benefits of both momentum and probability theory. The Program has three distinct aspects: Market Profiling, Alpha Generation, and Phase Discrimination. The Program is completely quantitative, systematic, and adaptable. Long and short positions are tactically implemented and managed on a globally diverse portfolio of liquid futures markets. It is Red Rock’s aim, through the disciplined application of their Systematic Global Macro Program, to produce as high as possible risk-adjusted returns for themselves and their investors – returns that are uncorrelated to the performance of major asset classes such as stocks, bonds, & real estate.

Red Rock Capital

Red Rock Capital