Strategies Overview

Rotella Polaris Program (Diversified Trend)

As the firm’s flagship investment strategy, the Rotella Polaris Program managed by a three member Investment Committee utilizes a multi-model, multi-timeframe approach to invest in global commodity, interest rate, currency, and equity index markets. The core investment models in Polaris analyze over 30 years of price data to identify market anomalies that may be repeated over various time horizons. A top-down portfolio management approach incorporates quantitative portfolio optimization, tactical risk allocation, systematic execution, and sophisticated money management techniques to target consistent returns across various market conditions. The trade duration within the Polaris portfolio is between five (5) and three hundred sixty five (365) days. The program’s objectives are to produce consistent absolute returns, minimize monthly drawdowns, and maintain relatively low volatility. Polaris has produced consistent returns with very low correlation to traditional investments and other hedge fund strategies. The Polaris Program was launched January 1, 1991.

Rotella Orion Program (Short-Term)

The Rotella Orion Program is a short-term, systematic trading program managed by a three member Investment Committee designed to identify and capitalize on short-term price movements in global commodity, interest rate, equity index, and foreign exchange markets. The benefit of a short-term strategy is the ability to produce attractive risk adjusted returns with very low correlation to traditional and alternative investment strategies alike. The core investment models in Orion are based upon Robert Rotella’s inventive high frequency research coupled with the firm’s robust research and trading infrastructure. A top-down portfolio management approach incorporates quantitative portfolio optimization, tactical risk allocation, systematic execution, and sophisticated money management techniques to target consistent returns across various market conditions. The average trade duration within the Orion portfolio is less than ten (10) days. The program’s objectives are to produce consistent absolute returns, minimize monthly drawdowns, and maintain relatively low volatility. Since inception the program has produced consistent returns with low correlation to traditional investments, hedge funds, and diversified CTAs.

Rotella Eta Carinae Program (Equity Index Futures L/S)

Rotella Eta Carinae is a systematic futures program that is designed to identify and capitalize price movements in both bull and bear markets in equity index futures across the globe. The models are a blend of ideas looking to capture trend, breakout and mean reversion behavior in the short and medium term time horizon. All models trade with an equal weighting to the three geographical regions of Asia/Pacific, Europe and North America.

The core investment models in Rotella Eta Carinae are based upon Robert Rotella’s systematic research coupled with RCM’s robust research and trading infrastructure. A top-down portfolio management approach incorporates quantitative portfolio optimization, tactical risk allocation, systematic execution and sophisticated money management techniques to target consistent returns across various market conditions. The trade duration within the Eta Carinae portfolio is between two (2) to ten (10) days. The program’s objectives is designed to provide attractive risk-adjusted returns with low downside correlation to both traditional global stock market benchmarks and trend following CTA strategies.

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