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Molinero Capital Management 

Molinero Global Markets Program

Manager: Rafael Molinero

Address: 17 Wigmore street, London, W1U 1PQ, United Kingdom

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Jul 1, 2005
AUM:$114,000,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$3,000,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:62.44%102.77%
Annual ROR:5.87%8.67%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:0.04
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:3.03%4647.77%
Average Monthly Loss:-2.29%-3.19%
Winning Months:5486
Losing Months:4816
Current DD:14.190.00
Max DD:23.0552.56
Sharpe Ratio (RF 1%):0.44
Annualized Std Dev:11.09

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Quantitative:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20132.061.62-1.365.28-3.48-0.42-2.16-2.07-1.582.991.751.223.55
2012-1.58-6.30-1.92-1.458.59-6.452.05-2.944.06-3.262.124.11-4.01
2011-0.653.41-0.844.73-3.61-3.092.71-1.11-2.41-4.67-2.530.34-7.89
2010-2.91-1.584.861.36-2.69-3.081.651.973.802.87-1.424.479.18
20091.024.11-1.67-6.18-3.30-0.55-1.111.080.67-0.882.33-2.22-6.88
20080.146.31-0.97-4.530.053.940.24-1.900.514.704.23-0.2312.64
20075.07-2.11-0.455.005.481.94-2.85-2.915.305.01-1.78-0.1018.31
20063.86-0.253.574.86-3.360.30-2.892.640.034.031.146.2821.59
20052.37-0.585.26-3.683.001.347.71

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Our trading methodology is different in that we employ quantitative algorithms derived from physics, digital signal processing, and cyclical analysis. We do not use any technical analysis.

The core algorithms decompose a market price series into a complex sum of linear and non-linear mathematical functions. After removing the noise components, models use the remaining market signal components to project the highest probability directional move for the market. If the probability of the projection is high enough, a trade is entered. If this probability reduces or if the projection reverses, models will exit.
These models also have other interesting characteristics such as their adaptive capabilities, which allow them to adjust trade duration to the market "speed" (trade duration would be reduced to a couple of days in a fast moving market). These adaptive characteristics allow the models to extract performance from almost all markets: more than 90% of our markets have been profitable since 2005.

This short-term model is based upon a purely statistical and probabilistic analysis of the markets. It detects which markets have a strong probability of movement.

The last model added in January 2010 has a totally different approach relative to other CTAs which are generally considering returns average and volatility. Our model is also taking into consideration all the other higher moments in order to describe an environment favourable to a trade.
Also, our philosophy & research focuses on controlling downside risk.

Our risk management focus is to try to reduce drawdowns and downside volatility.

We first re-evaluate on a daily basis our projection and exit the trade if the projection probability is decreasing or changes in direction. On top of that each trade has a built-in independent stop loss which will exit the trade no matter the projection.
Another layer of risk control is done at the portfolio level which takes into account proprietary risk measures. We run as well stress tests on the portfolio by distorting distribution skewness and kurtosis. These various measures are run at several levels (portfolio, sectors and markets).

Company Info

Molinero Capital management employ quantitative algorithms derived from mathematics and physics such as digital signal processing and noise reduction techniques. The algorithms decompose market price series into a complex sum of individual linear and non-linear components representing both market "signal" and "noise". After extracting noise, models statistically project the highest probability directional move. Trade duration is adaptive and reflects the market's estimated frequency. Varieties of risk management techniques are imbedded in the models including active stop losses, which attempt to mitigate downside risk. The strategy's diversified portfolio comprises futures and forwards in currencies, interest rates, equities and commodities.

Manager Info

Rafael Molinero has more than ten years of experience in the hedge fund and financial industry. He was previously a Proprietary Portfolio Manager as well as the Risk Manager for five years at Rotella Capital Management, a US-based CTA with up to $1.5 billion under management. During his time at Rotella, Rafael traded up to $15 million of proprietary capital using quantitative models he developed. He also managed a research team on advanced quantitative trading & allocation algorithms. In addition to his research role, he created the Risk Department and built a proprietary risk analysis platform. Prior to his role at Rotella, he was the Front Office Manager for the Structured Products & Alternative Asset Management Group at Newedge/Calyon Financial, where he participated in creating the Structured Products department and designed hedge funds structured products for clients (such as capital guaranteed products and leverage return swaps). He was also in charge of managing a portfolio of CTAs and hedge funds in the Fund of Funds segment of the department. Rafael Molinero holds an MBA with High Honors (top 1%) from the University of Chicago and has a Masters in Applied Mathematics from ENSIMAG, one of France's top universities.