Rosetta Analytics, Inc

DL One Strategy *QEP*


Monthly Performance (%)

Date Range: 08/17 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 4.42 -12.70 22.11 10.75 -6.68 -2.40 -0.38 -2.30 3.60 -1.50   11.52 
2019 6.02 -2.39 7.64 2.01 -1.22 -2.72 -3.64 -1.53 1.33 8.28 0.63 2.49  17.24 
2018 2.19 -5.90 -7.06 0.00 0.00 0.00 0.00 0.00 -2.20 -0.27 0.05 -6.41  -18.38 
2017 1.61 -1.09 2.33 0.81  3.68 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

We built a proprietary deep learning platform and a reinforcement learning platform to identify complex non-linear patterns in highly stochastic time-series data. These platforms solve types of investment problems, not specific investment problems. Rigorous model construction and testing procedures avoid overfitting. Our fully functional AWS-based R&D lab supports large-scale, parallel, compute-intensive explorations and our modular code enables rapid prototyping and experimentation. Deep Learning (DL) Sub-category of machine learning that uses deep neural networks to identify patterns in data inputs. Recurrent Neural Network (RNN) to predict the next day direction of the S&P 500 Index. Ensembling of 576 Models. Inputs: Daily returns of S&P 500 Index and 10 GIC sectors. Output: Daily signal of next day direction with two implementations: 100% Long /Cash and 100% Long/Short. DL One (S&P 500 Long/Short) predicts the daily direction of the price change of the S&P 500 Index™ on a close-to-close basis. Implements predictions by taking long or short positions in S&P 500 E-Mini futures contracts. Inception date September 1, 2017. Notes to performance: The program did not trade capital between April 10, 2018 - August 8, 2018, these months are reflected as zeros in the performance table.

Performance Statistics

Date Range: 08/17 - 10/20
  Program S&P 500 Coquest 40 
Total Return 10.65% 41.08% 4.19% 
Annualized Return 3.25% 11.17% 1.27% 
Annualized Std. Deviation 19.47% 16.95% 7.38% 
Correlation 0.08 0.10 
Sharpe Ratio (rf=2.5%) 0.04 0.51 -0.17 
Worst Month -12.70% -12.35% -6.10% 
Date of Worst Month 02/2020 03/2020 02/2018 
Worst Drawdown -20.13% -19.60% -9.14% 
Date of Worst Drawdown 1/18 - 12/18 12/19 - 3/20 1/18 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 08/17 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 11.52 2.77 -3.54 
2019 17.24 31.50 7.53 
2018 -18.38 -4.38 -4.29 
2017 3.68 8.84 3.24 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 08/17 - 10/20
Date: 10/31/2020
Perf: $1,024.85 Date: 9/30/2020
Perf: $1,028.14 Date: 8/31/2020
Perf: $1,043.38 Date: 7/31/2020
Perf: $1,055.30 Date: 6/30/2020
Perf: $1,035.52 Date: 5/31/2020
Perf: $1,048.95 Date: 4/30/2020
Perf: $1,061.37 Date: 3/31/2020
Perf: $1,057.88 Date: 2/29/2020
Perf: $1,057.24 Date: 1/31/2020
Perf: $1,073.23 Date: 12/31/2019
Perf: $1,062.50 Date: 11/30/2019
Perf: $1,069.13 Date: 10/31/2019
Perf: $1,058.76 Date: 9/30/2019
Perf: $1,082.68 Date: 8/31/2019
Perf: $1,113.53 Date: 7/31/2019
Perf: $1,074.63 Date: 6/30/2019
Perf: $1,039.19 Date: 5/31/2019
Perf: $1,018.81 Date: 4/30/2019
Perf: $1,039.18 Date: 3/31/2019
Perf: $1,011.37 Date: 2/28/2019
Perf: $976.32 Date: 1/31/2019
Perf: $970.11 Date: 12/31/2018
Perf: $988.09 Date: 11/30/2018
Perf: $983.96 Date: 10/31/2018
Perf: $995.91 Date: 9/30/2018
Perf: $1,021.13 Date: 8/31/2018
Perf: $1,025.75 Date: 7/31/2018
Perf: $1,000.24 Date: 6/30/2018
Perf: $1,007.80 Date: 5/31/2018
Perf: $999.41 Date: 4/30/2018
Perf: $1,012.47 Date: 3/31/2018
Perf: $1,001.65 Date: 2/28/2018
Perf: $1,002.55 Date: 1/31/2018
Perf: $1,067.68 Date: 12/31/2017
Perf: $1,032.37 Date: 11/30/2017
Perf: $1,021.24 Date: 10/31/2017
Perf: $1,019.92 Date: 9/30/2017
Perf: $978.90 Date: 8/31/2017
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,406.43 Date: 9/30/2020
Perf: $1,444.87 Date: 8/31/2020
Perf: $1,501.94 Date: 7/31/2020
Perf: $1,401.20 Date: 6/30/2020
Perf: $1,326.39 Date: 5/31/2020
Perf: $1,300.51 Date: 4/30/2020
Perf: $1,241.42 Date: 3/31/2020
Perf: $1,100.35 Date: 2/29/2020
Perf: $1,255.39 Date: 1/31/2020
Perf: $1,367.98 Date: 12/31/2019
Perf: $1,368.52 Date: 11/30/2019
Perf: $1,328.41 Date: 10/31/2019
Perf: $1,281.87 Date: 9/30/2019
Perf: $1,254.65 Date: 8/31/2019
Perf: $1,231.62 Date: 7/31/2019
Perf: $1,251.39 Date: 6/30/2019
Perf: $1,233.62 Date: 5/31/2019
Perf: $1,152.38 Date: 4/30/2019
Perf: $1,230.52 Date: 3/31/2019
Perf: $1,182.62 Date: 2/28/2019
Perf: $1,160.12 Date: 1/31/2019
Perf: $1,124.04 Date: 12/31/2018
Perf: $1,040.68 Date: 11/30/2018
Perf: $1,143.98 Date: 10/31/2018
Perf: $1,121.11 Date: 9/30/2018
Perf: $1,203.42 Date: 8/31/2018
Perf: $1,196.60 Date: 7/31/2018
Perf: $1,158.82 Date: 6/30/2018
Perf: $1,117.26 Date: 5/31/2018
Perf: $1,110.38 Date: 4/30/2018
Perf: $1,084.25 Date: 3/31/2018
Perf: $1,080.14 Date: 2/28/2018
Perf: $1,108.29 Date: 1/31/2018
Perf: $1,150.76 Date: 12/31/2017
Perf: $1,088.39 Date: 11/30/2017
Perf: $1,076.44 Date: 10/31/2017
Perf: $1,044.38 Date: 9/30/2017
Perf: $1,020.60 Date: 8/31/2017
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,106.46 Date: 9/30/2020
Perf: $1,123.31 Date: 8/31/2020
Perf: $1,084.28 Date: 7/31/2020
Perf: $1,109.80 Date: 6/30/2020
Perf: $1,114.04 Date: 5/31/2020
Perf: $1,141.43 Date: 4/30/2020
Perf: $1,223.14 Date: 3/31/2020
Perf: $1,104.41 Date: 2/29/2020
Perf: $904.44 Date: 1/31/2020
Perf: $1,036.01 Date: 12/31/2019
Perf: $992.16 Date: 11/30/2019
Perf: $968.06 Date: 10/31/2019
Perf: $962.00 Date: 9/30/2019
Perf: $888.43 Date: 8/31/2019
Perf: $876.77 Date: 7/31/2019
Perf: $890.40 Date: 6/30/2019
Perf: $924.03 Date: 5/31/2019
Perf: $949.87 Date: 4/30/2019
Perf: $961.60 Date: 3/31/2019
Perf: $942.65 Date: 2/28/2019
Perf: $875.74 Date: 1/31/2019
Perf: $897.19 Date: 12/31/2018
Perf: $846.24 Date: 11/30/2018
Perf: $904.20 Date: 10/31/2018
Perf: $903.75 Date: 9/30/2018
Perf: $906.20 Date: 8/31/2018
Perf: $926.58 Date: 7/31/2018
Perf: $926.58 Date: 6/30/2018
Perf: $926.58 Date: 5/31/2018
Perf: $926.58 Date: 4/30/2018
Perf: $926.58 Date: 3/31/2018
Perf: $926.58 Date: 2/28/2018
Perf: $996.97 Date: 1/31/2018
Perf: $1,059.48 Date: 12/31/2017
Perf: $1,036.77 Date: 11/30/2017
Perf: $1,028.44 Date: 10/31/2017
Perf: $1,005.02 Date: 9/30/2017
Perf: $1,016.10 Date: 8/31/2017
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 08/17 - 10/20
Date: 10/31/2020
Return: -1.50 % Date: 9/30/2020
Return: 3.60 % Date: 8/31/2020
Return: -2.30 % Date: 7/31/2020
Return: -0.38 % Date: 6/30/2020
Return: -2.40 % Date: 5/31/2020
Return: -6.68 % Date: 4/30/2020
Return: 10.75 % Date: 3/31/2020
Return: 22.11 % Date: 2/29/2020
Return: -12.70 % Date: 1/31/2020
Return: 4.42 % Date: 12/31/2019
Return: 2.49 % Date: 11/30/2019
Return: 0.63 % Date: 10/31/2019
Return: 8.28 % Date: 9/30/2019
Return: 1.33 % Date: 8/31/2019
Return: -1.53 % Date: 7/31/2019
Return: -3.64 % Date: 6/30/2019
Return: -2.72 % Date: 5/31/2019
Return: -1.22 % Date: 4/30/2019
Return: 2.01 % Date: 3/31/2019
Return: 7.64 % Date: 2/28/2019
Return: -2.39 % Date: 1/31/2019
Return: 6.02 % Date: 12/31/2018
Return: -6.41 % Date: 11/30/2018
Return: 0.05 % Date: 10/31/2018
Return: -0.27 % Date: 9/30/2018
Return: -2.20 % Date: 8/31/2018
Return: 0.00 % Date: 7/31/2018
Return: 0.00 % Date: 6/30/2018
Return: 0.00 % Date: 5/31/2018
Return: 0.00 % Date: 4/30/2018
Return: 0.00 % Date: 3/31/2018
Return: -7.06 % Date: 2/28/2018
Return: -5.90 % Date: 1/31/2018
Return: 2.19 % Date: 12/31/2017
Return: 0.81 % Date: 11/30/2017
Return: 2.33 % Date: 10/31/2017
Return: -1.09 % Date: 9/30/2017
Return: 1.61 % Date: 8/31/2017
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 08/17 - 10/20
Return: 11.00 %
Count: 1 Return: 22.00 %
Count: 1 Return: -13.00 %
Count: 1 Return: 4.00 %
Count: 2 Return: -4.00 %
Count: 1 Return: -3.00 %
Count: 1 Return: 8.00 %
Count: 2 Return: 6.00 %
Count: 1 Return: -2.00 %
Count: 5 Return: -7.00 %
Count: 2 Return: -6.00 %
Count: 2 Return: 1.00 %
Count: 3 Return: -1.00 %
Count: 3 Return: 2.00 %
Count: 5 Return: 0.00 %
Count: 9

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 08/17 - 10/20
Date: 10/31/2020
Drawdown: -9.54 % Date: 9/30/2020
Drawdown: -8.16 % Date: 8/31/2020
Drawdown: -11.35 % Date: 7/31/2020
Drawdown: -9.27 % Date: 6/30/2020
Drawdown: -8.92 % Date: 5/31/2020
Drawdown: -6.68 % Date: 4/30/2020
Drawdown: 0.00 % Date: 3/31/2020
Drawdown: 0.00 % Date: 2/29/2020
Drawdown: -14.63 % Date: 1/31/2020
Drawdown: -2.21 % Date: 12/31/2019
Drawdown: -6.35 % Date: 11/30/2019
Drawdown: -8.63 % Date: 10/31/2019
Drawdown: -9.20 % Date: 9/30/2019
Drawdown: -16.14 % Date: 8/31/2019
Drawdown: -17.24 % Date: 7/31/2019
Drawdown: -15.96 % Date: 6/30/2019
Drawdown: -12.78 % Date: 5/31/2019
Drawdown: -10.35 % Date: 4/30/2019
Drawdown: -9.24 % Date: 3/31/2019
Drawdown: -11.03 % Date: 2/28/2019
Drawdown: -17.34 % Date: 1/31/2019
Drawdown: -15.32 % Date: 12/31/2018
Drawdown: -20.13 % Date: 11/30/2018
Drawdown: -14.66 % Date: 10/31/2018
Drawdown: -14.70 % Date: 9/30/2018
Drawdown: -14.47 % Date: 8/31/2018
Drawdown: -12.54 % Date: 7/31/2018
Drawdown: -12.54 % Date: 6/30/2018
Drawdown: -12.54 % Date: 5/31/2018
Drawdown: -12.54 % Date: 4/30/2018
Drawdown: -12.54 % Date: 3/31/2018
Drawdown: -12.54 % Date: 2/28/2018
Drawdown: -5.90 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: -1.09 % Date: 9/30/2017
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Rosetta Analytics, Inc
Address: 6625 Greene Road
City: Woodridge
State: IL
Zip: 60517
Country: USA

Key People

Name:  Angelo Calvello
Position:  Principal
Biography: 

Founded Blue Diamond Asset Management AG Founded Impact Investment Partners AG Founded Journal of Environmental Investing Columnist, Institutional Investor Man Group SSgA Board Member *Woodridge Police Pension Fund *Outreach with Lacrosse and Schools


Name:  Julia Bonafede
Position:  Principal
Biography: 

Former President of Wilshire Consulting *Responsible for multi-national institutional consulting business with over $1 Trillion in AUA, 90+ investment professionals, 200+ clients *Founded Wilshire Analytics London Consultant, Jobs Peak Advisors, LLC Board Member/Volunteer *Natures’ Bakery *Concordia Plan Services *Standards of Practice Council, CFA Institute *Sierra Lutheran High School


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Mini-Futures Yes 
 Investment Methodology
 Technical Yes 
 Systematic Yes 
 Sector Specialist Yes 
 Pattern Recognition Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $1,000,000 
 Margin / Equity Ratio: 5% 
 Managed Account Availability: Open 
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