Rotella Capital Management, Inc. - Qdeck Tactical Long-biased Volatiity

4.7 Exempt - For Qualified Eligible Persons Only*

Overview

Strategy: 100% Systematic

Sectors: VIX & S&P Futures

Minimum Investment: $1,500,000

Trading Description: Rotella's Qdeck Tactical Long-Biased Volatility Program ("Program") uses a rules- based systematic approach to trade volatility futures with an equity hedge. It is a combination of an opportunistic long-short system trading VIX futures contract hedged with E-Mini S&P 500 futures, an opportunistic long-short system trading VSTOXX futures hedged with Euro STOXX 50 futures, and long only positions in each of the assets. The first two systems explicitly exploit the relationship between volatility term structure and its future returns as a form of directional carry. This long-short exposure serves as a time decay hedge, while opportunistically capturing tail events. The final system attempts to measure volatility breakout conditions, and piles on long volatility exposure in such environments while maintaining an equity hedge.

Rotella Capital Management ("RCM") was founded in 1995. RCM is built on the vision of Robert Rotella, one of the early pioneers in bringing a purely systematic approach to investing in the futures space. RCM has built on that deep experience to create multiple futures and securities strategies.

Statistical Report

For more information including commissions respective to each program, please e-mail [email protected]