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Red Rock Capital, LLC

Commodity Long-Short Program

Investment Strategy

The Commodity Long-Short Program utilizes a unique, quantitative pattern recognition strategy that is designed to capture long or short directional “volatility bursts” in physical commodity futures (no financials). The patterns are not visible to the naked eye. Positions are generated in both counter-trend and trending environments. The average holding period of a trade is 8 days.

Performance (VAMI)

Monthly Returns

Fund Manager

A 19-year industry veteran, Mr. Rollinger honed his skills under quantitative hedge fund legend, Edward O. Thorp (Market Wizards author Jack Schwager recently called Dr. Thorp the greatest of all time). The strategy Rollinger co-developed & co-managed with Edward Thorp was successful enough to gain mention in two best-selling books (The Quants and Hedge Fund Market Wizards). Considered a thought leader in the futures industry, Mr. Rollinger published the highly acclaimed 37-page white paper Revisiting Kat’s Managed Futures & Hedge Funds in 2012 and co-authored both Sortino Ratio: A Better Measure of Risk and A Comparison of CTA Indexes in 2013. Previously he was a consultant to two top CTAs and he inspired the creation of an industry-leading trading system design software package. Earlier in his career, Mr. Rollinger founded and operated a systematic futures investment fund and worked for original “Turtle” Tom Shanks of Hawksbill Capital Management. After graduating college in Michigan, Mr. Rollinger served as a Lieutenant in the U.S. Marine Corps. He holds a finance degree with a minor in economics.

General Information

Inception DateSep 2013
Minimum Investment500,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone+1-949-648-9506
E-mail[email protected]
Websitewww.redrockcapital.com

Statistics

Total Return Cumulative 189.01%
Sharpe Ratio 0.69
Sortino Ratio 1.14
Winning Months (%) 52.34%
Correlation vs. S&P 500 TR -0.25

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 6.23 5.96 0.00 2.19 15.03
2023 -3.13 2.62 4.71 8.63 3.80 -0.65 -1.76 -1.84 -0.86 2.14 -2.45 -2.49 8.31
2022 9.08 1.23 7.44 5.57 -2.22 -2.80 1.81 1.28 -7.51 1.24 -6.11 0.75 8.72
2021 2.10 11.67 -1.92 13.18 2.22 -3.25 -0.30 4.43 7.09 -3.76 -2.14 -0.83 30.35
2020 2.23 8.18 13.16 -2.97 -0.99 -1.59 -1.65 -4.58 -0.25 -0.16 -1.76 3.49 12.42
2019 -8.76 4.29 -3.07 1.40 8.12 -2.44 -1.15 4.38 -6.29 -3.17 -0.88 5.24 -3.65
2018 1.13 -2.08 3.18 -2.05 -8.39 4.25 1.45 4.65 4.28 -4.30 -2.71 -2.30 -3.74
2017 -0.61 -5.78 -1.84 -1.23 -1.56 4.65 -7.67 7.32 -6.14 1.31 -7.88 5.62 -14.25
2016 -3.01 -0.46 -6.72 -3.67 -1.83 5.87 3.38 -0.09 0.64 0.99 0.68 -1.45 -6.09
2015 2.97 -2.09 2.76 -5.03 2.63 3.79 8.20 4.29 0.63 -2.50 14.50 -1.17 31.30
2014 0.94 5.27 8.14 -6.08 0.44 1.92 5.37 -3.06 17.07 -1.66 4.79 4.12 41.75
2013 0.18 0.42 3.33 0.77 4.75
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month 2.19%
Year To Date 15.03%
3 Month ROR 8.28%
12 Months ROR 10.18%
36 Month ROR 39.50%
Total Return Cumulative 189.01%
Total Return Annualized 10.46%
Best Month 17.07%
Winning Months (%) 52.34%
Gain Deviation 3.63

Risk Statistics

Standard Deviation Annualized 16.49%
Max Drawdown (Monthly) -30.11%
Max Drawdown Length 65
Worst Month -8.76%
Losing Months (%) 46.88%
Average Losing Month -2.95%
Loss Deviation 2.24
Correlation vs S&P 500 -0.25
Correlation vs DJ/CS MF 0.30

Risk/Reward Statistics

Sharpe Ratio 0.69
Sortino Ratio 1.14
Omega Ratio 1.06
Skewness 0.63
Kurtosis 0.88

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -30.11% 38 27 12/2015 04/2021
2 -15.91% 9 4 05/2022 05/2023
3 -7.72% 7 2 06/2023 02/2024
4 -6.60% 3 1 10/2021 01/2022
5 -6.08% 1 3 04/2014 07/2014

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 17.07%-8.76%0.94%0.53%2.19%52.34%
3 Months 25.15%-13.27%2.87%1.88%8.28%62.70%
6 Months 33.89%-16.10%5.54%4.68%9.41%63.41%
1 Year 48.55%-19.99%10.91%8.72%10.18%65.81%
2 Years 89.78%-24.65%20.89%19.76%8.15%69.52%
3 Years 89.08%-27.08%28.22%33.90%39.50%74.19%
5 Years 104.48%-19.82%35.47%30.13%104.48%85.51%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg10.46%34.76%76.81%203.01%598.32%1161.73%
% Positive52.34%62.70%63.41%65.81%69.52%74.19%
Avg. Pos. Period4.44%7.98%12.70%20.33%35.35%43.11%
Avg. Neg. Period-2.95%-5.73%-6.87%-7.21%-12.10%-14.58%
Sharpe Ratio0.691.161.602.272.552.88
Sortino Ratio1.142.173.456.618.309.64
Standard Deviation4.76%8.52%12.00%16.65%28.39%33.94%
Downside Deviation2.53%4.03%4.89%5.07%7.34%8.45%
No data filled

Company Information

Minimum Investment500,000 USD (notional funding: )
AUM10,896,605 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million2300
Margin to Equity9.50%
Legal StructureManaged Account
Investment RestrictionNone

Company Information

CompanyRed Rock Capital, LLC
PrincipalThomas N. Rollinger
Phone+1-949-648-9506
E-mail[email protected]
License NumberNFA 460046
LocationUnited States
Performance Compiled by -

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 6.23 5.96 0.00 2.19 15.03
2023 -3.13 2.62 4.71 8.63 3.80 -0.65 -1.76 -1.84 -0.86 2.14 -2.45 -2.49 8.31
2022 9.08 1.23 7.44 5.57 -2.22 -2.80 1.81 1.28 -7.51 1.24 -6.11 0.75 8.72
2021 2.10 11.67 -1.92 13.18 2.22 -3.25 -0.30 4.43 7.09 -3.76 -2.14 -0.83 30.35
2020 2.23 8.18 13.16 -2.97 -0.99 -1.59 -1.65 -4.58 -0.25 -0.16 -1.76 3.49 12.42
2019 -8.76 4.29 -3.07 1.40 8.12 -2.44 -1.15 4.38 -6.29 -3.17 -0.88 5.24 -3.65
2018 1.13 -2.08 3.18 -2.05 -8.39 4.25 1.45 4.65 4.28 -4.30 -2.71 -2.30 -3.74
2017 -0.61 -5.78 -1.84 -1.23 -1.56 4.65 -7.67 7.32 -6.14 1.31 -7.88 5.62 -14.25
2016 -3.01 -0.46 -6.72 -3.67 -1.83 5.87 3.38 -0.09 0.64 0.99 0.68 -1.45 -6.09
2015 2.97 -2.09 2.76 -5.03 2.63 3.79 8.20 4.29 0.63 -2.50 14.50 -1.17 31.30
2014 0.94 5.27 8.14 -6.08 0.44 1.92 5.37 -3.06 17.07 -1.66 4.79 4.12 41.75
2013 0.18 0.42 3.33 0.77 4.75
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

The Commodity Long-Short Program utilizes a unique, quantitative pattern recognition strategy that is designed to capture long or short directional “volatility bursts” in physical commodity futures (no financials). The patterns are not visible to the naked eye. Positions are generated in both counter-trend and trending environments. The average holding period of a trade is 8 days.

Return Statistics

Last Month 2.19%
Year To Date 15.03%
3 Month ROR 8.28%
12 Months ROR 10.18%
36 Month ROR 39.50%
Total Return Cumulative 189.01%
Total Return Annualized 10.46%
Best Month 17.07%
Winning Months (%) 52.34%
Gain Deviation 3.63

Risk Statistics

Standard Deviation Annualized 16.49%
Max Drawdown (Monthly) -30.11%
Max Drawdown Length 65
Worst Month -8.76%
Losing Months (%) 46.88%
Average Losing Month -2.95%
Loss Deviation 2.24
Correlation vs S&P 500 -0.25
Correlation vs DJ/CS MF 0.30

Risk/Reward Statistics

Sharpe Ratio 0.69
Sortino Ratio 1.14
Omega Ratio 1.06
Skewness 0.63
Kurtosis 0.88

Performance (VAMI)

Fund Manager

A 19-year industry veteran, Mr. Rollinger honed his skills under quantitative hedge fund legend, Edward O. Thorp (Market Wizards author Jack Schwager recently called Dr. Thorp the greatest of all time). The strategy Rollinger co-developed & co-managed with Edward Thorp was successful enough to gain mention in two best-selling books (The Quants and Hedge Fund Market Wizards). Considered a thought leader in the futures industry, Mr. Rollinger published the highly acclaimed 37-page white paper Revisiting Kat’s Managed Futures & Hedge Funds in 2012 and co-authored both Sortino Ratio: A Better Measure of Risk and A Comparison of CTA Indexes in 2013. Previously he was a consultant to two top CTAs and he inspired the creation of an industry-leading trading system design software package. Earlier in his career, Mr. Rollinger founded and operated a systematic futures investment fund and worked for original “Turtle” Tom Shanks of Hawksbill Capital Management. After graduating college in Michigan, Mr. Rollinger served as a Lieutenant in the U.S. Marine Corps. He holds a finance degree with a minor in economics.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -30.11% 38 27 12/2015 04/2021
2 -15.91% 9 4 05/2022 05/2023
3 -7.72% 7 2 06/2023 02/2024
4 -6.60% 3 1 10/2021 01/2022
5 -6.08% 1 3 04/2014 07/2014

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 17.07%-8.76%0.94%0.53%2.19%52.34%
3 Months 25.15%-13.27%2.87%1.88%8.28%62.70%
6 Months 33.89%-16.10%5.54%4.68%9.41%63.41%
1 Year 48.55%-19.99%10.91%8.72%10.18%65.81%
2 Years 89.78%-24.65%20.89%19.76%8.15%69.52%
3 Years 89.08%-27.08%28.22%33.90%39.50%74.19%
5 Years 104.48%-19.82%35.47%30.13%104.48%85.51%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg10.46%34.76%76.81%203.01%598.32%1161.73%
% Positive52.34%62.70%63.41%65.81%69.52%74.19%
Avg. Pos. Period4.44%7.98%12.70%20.33%35.35%43.11%
Avg. Neg. Period-2.95%-5.73%-6.87%-7.21%-12.10%-14.58%
Sharpe Ratio0.691.161.602.272.552.88
Sortino Ratio1.142.173.456.618.309.64
Standard Deviation4.76%8.52%12.00%16.65%28.39%33.94%
Downside Deviation2.53%4.03%4.89%5.07%7.34%8.45%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.