Red Rock Capital – Commodity Long/Short
Trading Strategy: Systematic / Short Term / Diversified
Inspired by the strategy Red Rock portfolio manager Thomas Rollinger developed with Edward O. Thorp, 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 and the daily correlation to the Newedge CTA Index is a low 0.19. Minimum trading level is $500,000 and fees are 2% & 20%.
|Program Start Date||Sep-2003|
|Management Fee||2.0% (Monthly)|
|Incentive Fee||20.00% (Monthly)|
|Round Turns per Million||2230|