Rcube Asset Management

Commodity Spread Program *QEP*


Monthly Performance (%)

Date Range: 12/10 - 10/19
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2019 2.26 6.46 2.13 0.04 4.95 -2.70 2.27 2.42 -0.16 3.35   22.76 
2018 3.11 -1.34 0.78 -3.64 1.96 1.99 4.36 4.17 2.77 2.78 3.36 -0.64  21.15 
2017 -0.32 1.08 -0.23 0.14 -2.29 2.95 1.32 1.05 0.78 -1.15 3.18 0.54  7.14 
2016 0.19 -1.16 0.34 1.97 -4.91 -1.80 5.75 -0.03 0.70 -1.71 3.12 -1.00  1.07 
2015 3.31 0.93 2.81 -1.51 2.80 0.60 4.39 2.35 1.68 -1.32 3.09 0.08  20.77 
2014 1.49 0.10 -0.23 -1.64 -2.83 1.54 -2.46 0.06 3.94 0.93 2.16 1.35  4.28 
2013 0.13 3.47 0.34 2.80 0.66 1.13 -1.86 0.39 -0.05 -0.49 0.18 -0.11  6.68 
2012 0.32 0.74 1.48 -1.21 0.60 -3.55 -0.28 5.85 0.82 4.45 2.56 3.86  16.40 
2011 -0.04 0.33 0.72 3.25 2.18 -1.91 1.20 -2.65 4.28 -0.80 2.07 2.37  11.31 

Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

Futures on grains, oilseeds, softs and meats Calendar, location and cross products spreads Discretionary trading based on cash knowledge and quantitative research Global reach on the world markets Risk management by volatility targeting, maximum loss by trade and high diversification.

Performance Statistics

Date Range: 12/10 - 10/19
  Program S&P 500 Coquest 40 
Total Return 180.33% 209.95% 9.28% 
Annualized Return 12.38% 13.53% 1.00% 
Annualized Std. Deviation 7.49% 11.69% 8.54% 
Correlation -0.09 0.10 
Sharpe Ratio (rf=2.5%) 1.32 0.94 -0.18 
Worst Month -4.91% -9.03% -6.10% 
Date of Worst Month 05/2016 12/2018 02/2018 
Worst Drawdown -6.62% -16.26% -15.74% 
Date of Worst Drawdown 4/16 - 6/16 4/11 - 9/11 4/11 - 9/13 

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 12/10 - 10/19
Year or YTD Program S&P 500 Coquest 40 
2019 22.76 23.18 7.15 
2018 21.15 -4.38 -4.29 
2017 7.14 21.84 1.24 
2016 1.07 11.98 -3.13 
2015 20.77 1.41 0.09 
2014 4.28 13.69 15.75 
2013 6.68 32.41 -2.45 
2012 16.40 15.98 -4.75 
2011 11.31 2.12 -3.23 

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 12/10 - 10/19
Date: 10/31/2019
Perf: $1,047.80 Date: 9/30/2019
Perf: $1,071.48 Date: 8/31/2019
Perf: $1,102.01 Date: 7/31/2019
Perf: $1,063.51 Date: 6/30/2019
Perf: $1,028.44 Date: 5/31/2019
Perf: $1,008.28 Date: 4/30/2019
Perf: $1,028.43 Date: 3/31/2019
Perf: $1,000.91 Date: 2/28/2019
Perf: $966.22 Date: 1/31/2019
Perf: $960.08 Date: 12/31/2018
Perf: $977.87 Date: 11/30/2018
Perf: $973.78 Date: 10/31/2018
Perf: $985.61 Date: 9/30/2018
Perf: $1,010.57 Date: 8/31/2018
Perf: $1,015.14 Date: 7/31/2018
Perf: $989.90 Date: 6/30/2018
Perf: $997.38 Date: 5/31/2018
Perf: $989.07 Date: 4/30/2018
Perf: $1,002.00 Date: 3/31/2018
Perf: $991.29 Date: 2/28/2018
Perf: $992.18 Date: 1/31/2018
Perf: $1,056.64 Date: 12/31/2017
Perf: $1,021.70 Date: 11/30/2017
Perf: $1,010.68 Date: 10/31/2017
Perf: $1,009.37 Date: 9/30/2017
Perf: $968.78 Date: 8/31/2017
Perf: $989.66 Date: 7/31/2017
Perf: $973.50 Date: 6/30/2017
Perf: $969.72 Date: 5/31/2017
Perf: $998.88 Date: 4/30/2017
Perf: $996.99 Date: 3/31/2017
Perf: $1,003.01 Date: 2/28/2017
Perf: $1,017.87 Date: 1/31/2017
Perf: $996.15 Date: 12/31/2016
Perf: $1,009.17 Date: 11/30/2016
Perf: $1,001.56 Date: 10/31/2016
Perf: $1,012.70 Date: 9/30/2016
Perf: $1,039.52 Date: 8/31/2016
Perf: $1,053.10 Date: 7/31/2016
Perf: $1,082.21 Date: 6/30/2016
Perf: $1,071.29 Date: 5/31/2016
Perf: $1,027.61 Date: 4/30/2016
Perf: $1,045.92 Date: 3/31/2016
Perf: $1,072.84 Date: 2/29/2016
Perf: $1,104.54 Date: 1/31/2016
Perf: $1,078.03 Date: 12/31/2015
Perf: $1,041.77 Date: 11/30/2015
Perf: $1,066.30 Date: 10/31/2015
Perf: $1,031.13 Date: 9/30/2015
Perf: $1,049.39 Date: 8/31/2015
Perf: $1,027.11 Date: 7/31/2015
Perf: $1,045.19 Date: 6/30/2015
Perf: $1,005.86 Date: 5/31/2015
Perf: $1,061.03 Date: 4/30/2015
Perf: $1,068.73 Date: 3/31/2015
Perf: $1,111.64 Date: 2/28/2015
Perf: $1,087.60 Date: 1/31/2015
Perf: $1,089.34 Date: 12/31/2014
Perf: $1,040.84 Date: 11/30/2014
Perf: $1,022.84 Date: 10/31/2014
Perf: $965.40 Date: 9/30/2014
Perf: $951.41 Date: 8/31/2014
Perf: $937.44 Date: 7/31/2014
Perf: $899.40 Date: 6/30/2014
Perf: $906.65 Date: 5/31/2014
Perf: $898.92 Date: 4/30/2014
Perf: $876.48 Date: 3/31/2014
Perf: $869.87 Date: 2/28/2014
Perf: $882.94 Date: 1/31/2014
Perf: $875.76 Date: 12/31/2013
Perf: $899.23 Date: 11/30/2013
Perf: $900.49 Date: 10/31/2013
Perf: $884.48 Date: 9/30/2013
Perf: $864.68 Date: 8/31/2013
Perf: $869.90 Date: 7/31/2013
Perf: $886.93 Date: 6/30/2013
Perf: $894.71 Date: 5/31/2013
Perf: $929.96 Date: 4/30/2013
Perf: $971.74 Date: 3/31/2013
Perf: $947.30 Date: 2/28/2013
Perf: $933.85 Date: 1/31/2013
Perf: $939.30 Date: 12/31/2012
Perf: $921.79 Date: 11/30/2012
Perf: $917.29 Date: 10/31/2012
Perf: $914.73 Date: 9/30/2012
Perf: $949.09 Date: 8/31/2012
Perf: $965.01 Date: 7/31/2012
Perf: $978.32 Date: 6/30/2012
Perf: $939.88 Date: 5/31/2012
Perf: $976.60 Date: 4/30/2012
Perf: $958.39 Date: 3/31/2012
Perf: $952.67 Date: 2/29/2012
Perf: $974.80 Date: 1/31/2012
Perf: $970.82 Date: 12/31/2011
Perf: $967.72 Date: 11/30/2011
Perf: $958.52 Date: 10/31/2011
Perf: $955.65 Date: 9/30/2011
Perf: $995.06 Date: 8/31/2011
Perf: $995.65 Date: 7/31/2011
Perf: $997.65 Date: 6/30/2011
Perf: $963.08 Date: 5/31/2011
Perf: $988.78 Date: 4/30/2011
Perf: $1,026.24 Date: 3/31/2011
Perf: $987.72 Date: 2/28/2011
Perf: $1,003.07 Date: 1/31/2011
Perf: $986.30 Date: 12/31/2010
Perf: $1,000.00 Date: 10/31/2019
Perf: $2,905.39 Date: 9/30/2019
Perf: $2,843.68 Date: 8/31/2019
Perf: $2,791.48 Date: 7/31/2019
Perf: $2,836.29 Date: 6/30/2019
Perf: $2,796.03 Date: 5/31/2019
Perf: $2,611.89 Date: 4/30/2019
Perf: $2,788.99 Date: 3/31/2019
Perf: $2,680.43 Date: 2/28/2019
Perf: $2,629.42 Date: 1/31/2019
Perf: $2,547.64 Date: 12/31/2018
Perf: $2,358.71 Date: 11/30/2018
Perf: $2,592.84 Date: 10/31/2018
Perf: $2,541.01 Date: 9/30/2018
Perf: $2,727.57 Date: 8/31/2018
Perf: $2,712.11 Date: 7/31/2018
Perf: $2,626.49 Date: 6/30/2018
Perf: $2,532.29 Date: 5/31/2018
Perf: $2,516.69 Date: 4/30/2018
Perf: $2,457.46 Date: 3/31/2018
Perf: $2,448.16 Date: 2/28/2018
Perf: $2,511.96 Date: 1/31/2018
Perf: $2,608.20 Date: 12/31/2017
Perf: $2,466.85 Date: 11/30/2017
Perf: $2,439.77 Date: 10/31/2017
Perf: $2,367.10 Date: 9/30/2017
Perf: $2,313.20 Date: 8/31/2017
Perf: $2,266.51 Date: 7/31/2017
Perf: $2,259.51 Date: 6/30/2017
Perf: $2,213.90 Date: 5/31/2017
Perf: $2,200.26 Date: 4/30/2017
Perf: $2,169.67 Date: 3/31/2017
Perf: $2,147.55 Date: 2/28/2017
Perf: $2,144.98 Date: 1/31/2017
Perf: $2,063.07 Date: 12/31/2016
Perf: $2,024.60 Date: 11/30/2016
Perf: $1,985.30 Date: 10/31/2016
Perf: $1,914.46 Date: 9/30/2016
Perf: $1,949.95 Date: 8/31/2016
Perf: $1,949.56 Date: 7/31/2016
Perf: $1,946.83 Date: 6/30/2016
Perf: $1,877.55 Date: 5/31/2016
Perf: $1,872.68 Date: 4/30/2016
Perf: $1,839.57 Date: 3/31/2016
Perf: $1,832.42 Date: 2/29/2016
Perf: $1,716.07 Date: 1/31/2016
Perf: $1,718.31 Date: 12/31/2015
Perf: $1,807.98 Date: 11/30/2015
Perf: $1,837.01 Date: 10/31/2015
Perf: $1,831.51 Date: 9/30/2015
Perf: $1,688.97 Date: 8/31/2015
Perf: $1,731.74 Date: 7/31/2015
Perf: $1,842.86 Date: 6/30/2015
Perf: $1,804.96 Date: 5/31/2015
Perf: $1,840.67 Date: 4/30/2015
Perf: $1,817.23 Date: 3/31/2015
Perf: $1,799.95 Date: 2/28/2015
Perf: $1,828.84 Date: 1/31/2015
Perf: $1,729.40 Date: 12/31/2014
Perf: $1,782.89 Date: 11/30/2014
Perf: $1,787.36 Date: 10/31/2014
Perf: $1,740.54 Date: 9/30/2014
Perf: $1,699.08 Date: 8/31/2014
Perf: $1,723.20 Date: 7/31/2014
Perf: $1,656.93 Date: 6/30/2014
Perf: $1,680.11 Date: 5/31/2014
Perf: $1,646.04 Date: 4/30/2014
Perf: $1,608.25 Date: 3/31/2014
Perf: $1,596.43 Date: 2/28/2014
Perf: $1,583.13 Date: 1/31/2014
Perf: $1,513.95 Date: 12/31/2013
Perf: $1,568.21 Date: 11/30/2013
Perf: $1,529.51 Date: 10/31/2013
Perf: $1,484.24 Date: 9/30/2013
Perf: $1,418.97 Date: 8/31/2013
Perf: $1,375.77 Date: 7/31/2013
Perf: $1,416.86 Date: 6/30/2013
Perf: $1,348.23 Date: 5/31/2013
Perf: $1,366.54 Date: 4/30/2013
Perf: $1,335.30 Date: 3/31/2013
Perf: $1,310.02 Date: 2/28/2013
Perf: $1,262.67 Date: 1/31/2013
Perf: $1,245.72 Date: 12/31/2012
Perf: $1,184.37 Date: 11/30/2012
Perf: $1,173.69 Date: 10/31/2012
Perf: $1,166.92 Date: 9/30/2012
Perf: $1,188.92 Date: 8/31/2012
Perf: $1,159.02 Date: 7/31/2012
Perf: $1,133.51 Date: 6/30/2012
Perf: $1,117.97 Date: 5/31/2012
Perf: $1,073.74 Date: 4/30/2012
Perf: $1,142.39 Date: 3/31/2012
Perf: $1,149.64 Date: 2/29/2012
Perf: $1,113.02 Date: 1/31/2012
Perf: $1,066.93 Date: 12/31/2011
Perf: $1,021.18 Date: 11/30/2011
Perf: $1,010.87 Date: 10/31/2011
Perf: $1,013.10 Date: 9/30/2011
Perf: $913.27 Date: 8/31/2011
Perf: $982.33 Date: 7/31/2011
Perf: $1,038.74 Date: 6/30/2011
Perf: $1,060.26 Date: 5/31/2011
Perf: $1,078.27 Date: 4/30/2011
Perf: $1,090.59 Date: 3/31/2011
Perf: $1,059.24 Date: 2/28/2011
Perf: $1,058.81 Date: 1/31/2011
Perf: $1,023.70 Date: 12/31/2010
Perf: $1,000.00 Date: 10/31/2019
Perf: $2,803.33 Date: 9/30/2019
Perf: $2,712.46 Date: 8/31/2019
Perf: $2,716.81 Date: 7/31/2019
Perf: $2,652.62 Date: 6/30/2019
Perf: $2,593.74 Date: 5/31/2019
Perf: $2,665.71 Date: 4/30/2019
Perf: $2,539.99 Date: 3/31/2019
Perf: $2,538.97 Date: 2/28/2019
Perf: $2,486.02 Date: 1/31/2019
Perf: $2,335.17 Date: 12/31/2018
Perf: $2,283.56 Date: 11/30/2018
Perf: $2,298.27 Date: 10/31/2018
Perf: $2,223.55 Date: 9/30/2018
Perf: $2,163.41 Date: 8/31/2018
Perf: $2,105.10 Date: 7/31/2018
Perf: $2,020.83 Date: 6/30/2018
Perf: $1,936.40 Date: 5/31/2018
Perf: $1,898.62 Date: 4/30/2018
Perf: $1,862.12 Date: 3/31/2018
Perf: $1,932.47 Date: 2/28/2018
Perf: $1,917.51 Date: 1/31/2018
Perf: $1,943.55 Date: 12/31/2017
Perf: $1,884.93 Date: 11/30/2017
Perf: $1,874.81 Date: 10/31/2017
Perf: $1,817.03 Date: 9/30/2017
Perf: $1,838.17 Date: 8/31/2017
Perf: $1,823.94 Date: 7/31/2017
Perf: $1,804.99 Date: 6/30/2017
Perf: $1,781.47 Date: 5/31/2017
Perf: $1,730.42 Date: 4/30/2017
Perf: $1,770.98 Date: 3/31/2017
Perf: $1,768.50 Date: 2/28/2017
Perf: $1,772.58 Date: 1/31/2017
Perf: $1,753.64 Date: 12/31/2016
Perf: $1,759.27 Date: 11/30/2016
Perf: $1,777.04 Date: 10/31/2016
Perf: $1,723.27 Date: 9/30/2016
Perf: $1,753.26 Date: 8/31/2016
Perf: $1,741.07 Date: 7/31/2016
Perf: $1,741.59 Date: 6/30/2016
Perf: $1,646.89 Date: 5/31/2016
Perf: $1,677.08 Date: 4/30/2016
Perf: $1,763.68 Date: 3/31/2016
Perf: $1,729.60 Date: 2/29/2016
Perf: $1,723.74 Date: 1/31/2016
Perf: $1,743.97 Date: 12/31/2015
Perf: $1,740.67 Date: 11/30/2015
Perf: $1,739.28 Date: 10/31/2015
Perf: $1,687.14 Date: 9/30/2015
Perf: $1,709.71 Date: 8/31/2015
Perf: $1,681.46 Date: 7/31/2015
Perf: $1,642.86 Date: 6/30/2015
Perf: $1,573.77 Date: 5/31/2015
Perf: $1,564.38 Date: 4/30/2015
Perf: $1,521.77 Date: 3/31/2015
Perf: $1,545.10 Date: 2/28/2015
Perf: $1,502.87 Date: 1/31/2015
Perf: $1,489.02 Date: 12/31/2014
Perf: $1,441.32 Date: 11/30/2014
Perf: $1,422.12 Date: 10/31/2014
Perf: $1,392.05 Date: 9/30/2014
Perf: $1,379.22 Date: 8/31/2014
Perf: $1,326.94 Date: 7/31/2014
Perf: $1,326.15 Date: 6/30/2014
Perf: $1,359.59 Date: 5/31/2014
Perf: $1,338.97 Date: 4/30/2014
Perf: $1,377.97 Date: 3/31/2014
Perf: $1,400.94 Date: 2/28/2014
Perf: $1,404.17 Date: 1/31/2014
Perf: $1,402.77 Date: 12/31/2013
Perf: $1,382.18 Date: 11/30/2013
Perf: $1,383.70 Date: 10/31/2013
Perf: $1,381.21 Date: 9/30/2013
Perf: $1,388.01 Date: 8/31/2013
Perf: $1,388.71 Date: 7/31/2013
Perf: $1,383.31 Date: 6/30/2013
Perf: $1,409.53 Date: 5/31/2013
Perf: $1,393.78 Date: 4/30/2013
Perf: $1,384.64 Date: 3/31/2013
Perf: $1,346.93 Date: 2/28/2013
Perf: $1,342.36 Date: 1/31/2013
Perf: $1,297.34 Date: 12/31/2012
Perf: $1,295.66 Date: 11/30/2012
Perf: $1,247.51 Date: 10/31/2012
Perf: $1,216.37 Date: 9/30/2012
Perf: $1,164.55 Date: 8/31/2012
Perf: $1,155.07 Date: 7/31/2012
Perf: $1,091.24 Date: 6/30/2012
Perf: $1,094.30 Date: 5/31/2012
Perf: $1,134.58 Date: 4/30/2012
Perf: $1,127.81 Date: 3/31/2012
Perf: $1,141.62 Date: 2/29/2012
Perf: $1,124.98 Date: 1/31/2012
Perf: $1,116.71 Date: 12/31/2011
Perf: $1,113.15 Date: 11/30/2011
Perf: $1,087.38 Date: 10/31/2011
Perf: $1,065.33 Date: 9/30/2011
Perf: $1,073.92 Date: 8/31/2011
Perf: $1,029.84 Date: 7/31/2011
Perf: $1,057.87 Date: 6/30/2011
Perf: $1,045.33 Date: 5/31/2011
Perf: $1,065.68 Date: 4/30/2011
Perf: $1,042.95 Date: 3/31/2011
Perf: $1,010.12 Date: 2/28/2011
Perf: $1,002.90 Date: 1/31/2011
Perf: $999.60 Date: 12/31/2010
Perf: $1,000.00

Note: All performance data is since program inception.

Monthly Returns

Date Range: 12/10 - 10/19
Date: 10/31/2019
Return: 3.35 % Date: 9/30/2019
Return: -0.16 % Date: 8/31/2019
Return: 2.42 % Date: 7/31/2019
Return: 2.27 % Date: 6/30/2019
Return: -2.70 % Date: 5/31/2019
Return: 4.95 % Date: 4/30/2019
Return: 0.04 % Date: 3/31/2019
Return: 2.13 % Date: 2/28/2019
Return: 6.46 % Date: 1/31/2019
Return: 2.26 % Date: 12/31/2018
Return: -0.64 % Date: 11/30/2018
Return: 3.36 % Date: 10/31/2018
Return: 2.78 % Date: 9/30/2018
Return: 2.77 % Date: 8/31/2018
Return: 4.17 % Date: 7/31/2018
Return: 4.36 % Date: 6/30/2018
Return: 1.99 % Date: 5/31/2018
Return: 1.96 % Date: 4/30/2018
Return: -3.64 % Date: 3/31/2018
Return: 0.78 % Date: 2/28/2018
Return: -1.34 % Date: 1/31/2018
Return: 3.11 % Date: 12/31/2017
Return: 0.54 % Date: 11/30/2017
Return: 3.18 % Date: 10/31/2017
Return: -1.15 % Date: 9/30/2017
Return: 0.78 % Date: 8/31/2017
Return: 1.05 % Date: 7/31/2017
Return: 1.32 % Date: 6/30/2017
Return: 2.95 % Date: 5/31/2017
Return: -2.29 % Date: 4/30/2017
Return: 0.14 % Date: 3/31/2017
Return: -0.23 % Date: 2/28/2017
Return: 1.08 % Date: 1/31/2017
Return: -0.32 % Date: 12/31/2016
Return: -1.00 % Date: 11/30/2016
Return: 3.12 % Date: 10/31/2016
Return: -1.71 % Date: 9/30/2016
Return: 0.70 % Date: 8/31/2016
Return: -0.03 % Date: 7/31/2016
Return: 5.75 % Date: 6/30/2016
Return: -1.80 % Date: 5/31/2016
Return: -4.91 % Date: 4/30/2016
Return: 1.97 % Date: 3/31/2016
Return: 0.34 % Date: 2/29/2016
Return: -1.16 % Date: 1/31/2016
Return: 0.19 % Date: 12/31/2015
Return: 0.08 % Date: 11/30/2015
Return: 3.09 % Date: 10/31/2015
Return: -1.32 % Date: 9/30/2015
Return: 1.68 % Date: 8/31/2015
Return: 2.35 % Date: 7/31/2015
Return: 4.39 % Date: 6/30/2015
Return: 0.60 % Date: 5/31/2015
Return: 2.80 % Date: 4/30/2015
Return: -1.51 % Date: 3/31/2015
Return: 2.81 % Date: 2/28/2015
Return: 0.93 % Date: 1/31/2015
Return: 3.31 % Date: 12/31/2014
Return: 1.35 % Date: 11/30/2014
Return: 2.16 % Date: 10/31/2014
Return: 0.93 % Date: 9/30/2014
Return: 3.94 % Date: 8/31/2014
Return: 0.06 % Date: 7/31/2014
Return: -2.46 % Date: 6/30/2014
Return: 1.54 % Date: 5/31/2014
Return: -2.83 % Date: 4/30/2014
Return: -1.64 % Date: 3/31/2014
Return: -0.23 % Date: 2/28/2014
Return: 0.10 % Date: 1/31/2014
Return: 1.49 % Date: 12/31/2013
Return: -0.11 % Date: 11/30/2013
Return: 0.18 % Date: 10/31/2013
Return: -0.49 % Date: 9/30/2013
Return: -0.05 % Date: 8/31/2013
Return: 0.39 % Date: 7/31/2013
Return: -1.86 % Date: 6/30/2013
Return: 1.13 % Date: 5/31/2013
Return: 0.66 % Date: 4/30/2013
Return: 2.80 % Date: 3/31/2013
Return: 0.34 % Date: 2/28/2013
Return: 3.47 % Date: 1/31/2013
Return: 0.13 % Date: 12/31/2012
Return: 3.86 % Date: 11/30/2012
Return: 2.56 % Date: 10/31/2012
Return: 4.45 % Date: 9/30/2012
Return: 0.82 % Date: 8/31/2012
Return: 5.85 % Date: 7/31/2012
Return: -0.28 % Date: 6/30/2012
Return: -3.55 % Date: 5/31/2012
Return: 0.60 % Date: 4/30/2012
Return: -1.21 % Date: 3/31/2012
Return: 1.48 % Date: 2/29/2012
Return: 0.74 % Date: 1/31/2012
Return: 0.32 % Date: 12/31/2011
Return: 2.37 % Date: 11/30/2011
Return: 2.07 % Date: 10/31/2011
Return: -0.80 % Date: 9/30/2011
Return: 4.28 % Date: 8/31/2011
Return: -2.65 % Date: 7/31/2011
Return: 1.20 % Date: 6/30/2011
Return: -1.91 % Date: 5/31/2011
Return: 2.18 % Date: 4/30/2011
Return: 3.25 % Date: 3/31/2011
Return: 0.72 % Date: 2/28/2011
Return: 0.33 % Date: 1/31/2011
Return: -0.04 % Date: 12/31/2010
Return: 0.00 %

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 12/10 - 10/19
Return: 5.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: 6.00 %
Count: 3 Return: -4.00 %
Count: 2 Return: -1.00 %
Count: 8 Return: 4.00 %
Count: 7 Return: -3.00 %
Count: 3 Return: -2.00 %
Count: 8 Return: 2.00 %
Count: 14 Return: 3.00 %
Count: 16 Return: 1.00 %
Count: 20 Return: 0.00 %
Count: 24

Note: All performance data is since program inception.

Underwater Curve

Date Range: 12/10 - 10/19
Date: 10/31/2019
Drawdown: 0.00 % Date: 9/30/2019
Drawdown: -0.16 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: -0.49 % Date: 6/30/2019
Drawdown: -2.70 % Date: 5/31/2019
Drawdown: 0.00 % Date: 4/30/2019
Drawdown: 0.00 % Date: 3/31/2019
Drawdown: 0.00 % Date: 2/28/2019
Drawdown: 0.00 % Date: 1/31/2019
Drawdown: 0.00 % Date: 12/31/2018
Drawdown: -0.64 % Date: 11/30/2018
Drawdown: 0.00 % Date: 10/31/2018
Drawdown: 0.00 % Date: 9/30/2018
Drawdown: 0.00 % Date: 8/31/2018
Drawdown: 0.00 % Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: -0.37 % Date: 5/31/2018
Drawdown: -2.31 % Date: 4/30/2018
Drawdown: -4.19 % Date: 3/31/2018
Drawdown: -0.57 % Date: 2/28/2018
Drawdown: -1.34 % 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: -1.15 % Date: 9/30/2017
Drawdown: 0.00 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: -2.62 % Date: 4/30/2017
Drawdown: -0.34 % Date: 3/31/2017
Drawdown: -0.48 % Date: 2/28/2017
Drawdown: -0.25 % Date: 1/31/2017
Drawdown: -1.32 % Date: 12/31/2016
Drawdown: -1.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -2.29 % Date: 9/30/2016
Drawdown: -0.59 % Date: 8/31/2016
Drawdown: -1.28 % Date: 7/31/2016
Drawdown: -1.25 % Date: 6/30/2016
Drawdown: -6.62 % Date: 5/31/2016
Drawdown: -4.91 % Date: 4/30/2016
Drawdown: 0.00 % Date: 3/31/2016
Drawdown: -0.82 % Date: 2/29/2016
Drawdown: -1.16 % Date: 1/31/2016
Drawdown: 0.00 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: -1.32 % Date: 9/30/2015
Drawdown: 0.00 % Date: 8/31/2015
Drawdown: 0.00 % Date: 7/31/2015
Drawdown: 0.00 % Date: 6/30/2015
Drawdown: 0.00 % Date: 5/31/2015
Drawdown: 0.00 % Date: 4/30/2015
Drawdown: -1.51 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: 0.00 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: -1.24 % Date: 9/30/2014
Drawdown: -2.15 % Date: 8/31/2014
Drawdown: -5.86 % Date: 7/31/2014
Drawdown: -5.92 % Date: 6/30/2014
Drawdown: -3.54 % Date: 5/31/2014
Drawdown: -5.01 % Date: 4/30/2014
Drawdown: -2.24 % Date: 3/31/2014
Drawdown: -0.61 % Date: 2/28/2014
Drawdown: -0.38 % Date: 1/31/2014
Drawdown: -0.48 % Date: 12/31/2013
Drawdown: -1.94 % Date: 11/30/2013
Drawdown: -1.83 % Date: 10/31/2013
Drawdown: -2.01 % Date: 9/30/2013
Drawdown: -1.53 % Date: 8/31/2013
Drawdown: -1.48 % Date: 7/31/2013
Drawdown: -1.86 % Date: 6/30/2013
Drawdown: 0.00 % Date: 5/31/2013
Drawdown: 0.00 % Date: 4/30/2013
Drawdown: 0.00 % Date: 3/31/2013
Drawdown: 0.00 % Date: 2/28/2013
Drawdown: 0.00 % Date: 1/31/2013
Drawdown: 0.00 % Date: 12/31/2012
Drawdown: 0.00 % Date: 11/30/2012
Drawdown: 0.00 % Date: 10/31/2012
Drawdown: 0.00 % Date: 9/30/2012
Drawdown: 0.00 % Date: 8/31/2012
Drawdown: 0.00 % Date: 7/31/2012
Drawdown: -4.41 % Date: 6/30/2012
Drawdown: -4.15 % Date: 5/31/2012
Drawdown: -0.62 % Date: 4/30/2012
Drawdown: -1.21 % Date: 3/31/2012
Drawdown: 0.00 % Date: 2/29/2012
Drawdown: 0.00 % Date: 1/31/2012
Drawdown: 0.00 % Date: 12/31/2011
Drawdown: 0.00 % Date: 11/30/2011
Drawdown: 0.00 % Date: 10/31/2011
Drawdown: -0.80 % Date: 9/30/2011
Drawdown: 0.00 % Date: 8/31/2011
Drawdown: -3.36 % Date: 7/31/2011
Drawdown: -0.73 % Date: 6/30/2011
Drawdown: -1.91 % Date: 5/31/2011
Drawdown: 0.00 % Date: 4/30/2011
Drawdown: 0.00 % Date: 3/31/2011
Drawdown: 0.00 % Date: 2/28/2011
Drawdown: 0.00 % Date: 1/31/2011
Drawdown: -0.04 %

Note: All performance data is since program inception.

Manager Information

Manager Name:  Rcube Asset Management
Address: 9 Av Franklin Roosevelt
City: Paris
State:
Zip: 75008
Country: France

Key People

Name:  Olivier Merle
Position:  Chief Investment Officer
Biography: 

MSc econometrics and mathematical economics at London School of Economics. MSc statistics at ENSAI. Head and founder of Agritel’s quantitative department (leader in consulting for European agricultural cash traders). Author of « Highlight of the week » a weekly letter on Agricuturals spreads. Managing the Commodity Spread Program for his own account since March 2011.


Additional Information

 Futures Sectors Traded
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Discretionary Yes 
 Mean-reversion Yes 
 Quantitative Analysis Yes 
 Other Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Investment Terms & Information
 Managed Account Minimum: $1,000,000 
 Margin / Equity Ratio: 20% 
 Managed Account Availability: Open 
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