Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Rotella Qdeck Tactical Commodity Program (“Program”) is an adaptation of trend following and machine learning programs managed by Rotella Capital Management (“RCM”), which seeks to benefit from an increasingly volatile commodity sector, with the aim of producing low correlations to traditional CTA investments. Trend following exposure is provided by a risk-constrained approach that invests in precious metals, agricultural and energy commodity futures. The Program is based on Rotella Qdeck Micro Commodity Program, which uses an identical approach to trade mini and micro futures contracts on the same commodity futures with a smaller minimum investment.
AUM & Cumulative Returns
Distribution
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Reward
Rotella Capital Management Qdeck Tactical Commodity Program
Average RoR
-2.45%
Max Gain
7.01%
Gain Frequency
28.57%
Average Gain
3.68%
Gain Deviation
3.21%
Risk
Standard Deviation
4.75%
Worst Loss
-9.67%
Loss Frequency
71.43%
Average Loss
-4.90%
Loss Deviation
2.40%
Reward/Risk
Sharpe (RFR=1%)
-0.53
Skewness
0.69
Kurtosis
0.23
Reward
Rotella Capital Management Qdeck Tactical Commodity Program
Compound RoR
-26.66%
Average RoR
-28.35%
Max Gain
-15.36%
Gain Frequency
0.00%
Average Gain
Gain Deviation
Risk
Standard Deviation
16.44%
Worst Loss
-17.72%
Loss Frequency
100.00%
Average Loss
-28.35%
Loss Deviation
8.30%
Reward/Risk
Sharpe (RFR=1%)
-1.85
Skewness
Kurtosis
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Average
-2.45
-7.35
-14.73
-26.29
Min
-9.67
-12.05
-19.61
-31.81
Max
7.01
-2.85
-8.98
-20.06
% Positive
28.57
0.00
0.00
0.00
Avg. Pos. Period
3.68
0.00
0.00
0.00
Avg. Neg. Period
-4.90
-7.35
-14.73
-26.29
# of Periods
14.00
12.00
9.00
3.00
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-34.07
13
—
4/2022
5/2023
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
7.01
1
3/2023
3/2023
5.63
1
4/2022
4/2022
2.07
1
7/2022
7/2022
0.02
1
11/2022
11/2022
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-12.88
2
4/2023
5/2023
-12.05
3
12/2022
2/2023
-11.37
2
5/2022
6/2022
-11.13
3
8/2022
10/2022
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
