RPM Risk & Portfolio Management AB

RPM Evolving CTA Fund

Strategy Description

RPM Evolving CTA Fund is a sub-fund of Luxemburg-domiciled investment company European SICAV Alliance (E.S.A.). The RPM Evolving CTA Fund invests in CTA managers in their most promising development stage. The fund allocates to different CTA sub-strategies: trend following, short-tem, and fundamental. Through a systematic investment process, RPM Evolving identifies CTAs in their so-called “evolving phase”, which has proven to be the most promising period for CTA managers from a risk/return perspective. CTAs in the evolving phase typically have 2-7 years of track record, with USD 30 million to USD 2 billion in assets under management. Through active portfolio management, RPM Evolving continuously monitors and manages allocations to underlying managers. 

Fund Information

General Information

NHX CategoryManaged Futures & CTA
NHX CountrySweden
Legal StructureUnknown
Fund DomicileLuxembourg
Minimum Investment5,000,000 SEK
AUM347M SEK
Inception DateJun 2013
Management Fee1.00%
Performance Fee5.00%

Company Information

CompanyRPM Risk & Portfolio Management AB
PrincipalMikael Stenbom
AddressBrahegatan 2
Stockholm, SE-114 37
Phone+4684406900
E-mail[email protected]
Websitewww.rpm.se
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.13 3.12 3.38 6.47
2023 -2.81 1.01 -5.55 4.39 1.97 1.82 -0.52 -3.38 3.26 -4.10 -1.65 3.21 -2.90
2022 2.62 3.57 11.56 5.89 -1.62 -0.21 -0.44 0.38 5.48 0.38 -4.60 -0.07 24.32
2021 -1.84 5.82 1.63 2.10 0.35 -2.25 -0.39 -0.85 -4.63 1.35 -5.40 -3.54 -7.90
2020 4.84 -2.28 0.80 -1.08 -1.34 -2.32 3.77 0.74 -1.30 -2.67 4.07 3.70 6.69
2019 -5.57 -3.32 4.00 0.85 2.99 6.94 1.71 9.63 -5.95 -5.86 2.22 -1.84 4.47
2018 13.12 -9.09 0.58 1.13 -1.06 2.58 -0.50 1.68 -0.41 -3.51 -5.42 3.75 1.28
2017 -6.50 5.00 -1.80 -1.20 -1.20 -6.70 2.00 0.60 -4.00 6.80 -1.70 -0.40 -9.56
2016 7.50 4.76 -2.20 -2.00 -2.20 5.10 2.80 -3.30 -2.96 -5.60 -2.90 5.30 3.30
2015 9.69 -2.80 2.90 -8.10 -1.80 -3.70 3.50 -4.30 3.50 -2.17 5.50 -4.90 -4.06
2014 -4.48 1.20 -5.01 -0.53 2.45 1.52 -1.72 6.90 6.29 -4.20 9.62 2.68 14.39
2013 0.30 -0.70 -1.97 -0.48 2.10 4.00 -0.01 3.17

Portfolio Managers

No data filled

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -24.46% 47 37 04/2015 03/2022
2 -11.60% 5 0 11/2022 -
3 -8.67% 5 5 12/2013 09/2014
4 -4.20% 1 1 10/2014 11/2014
5 -3.12% 3 2 07/2013 11/2013

Drawdown

Up Capture vs. Barclay CTA Index

Down Capture vs. Barclay CTA Index

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return2.11%0.60%0.91%0.34%0.32%
% Positive66.67%50.00%58.33%50.00%50.00%
Avg. Pos. Period3.25%3.24%3.02%2.86%3.10%
Avg. Neg. Period-0.13%-1.96%-1.96%-2.09%-2.34%
Sharpe Ratio4.610.781.200.430.37
Sortino Ratio97.401.151.950.590.52
Monthly Volatility1.60%2.84%2.72%3.06%3.54%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 13.12%-9.09%0.35%-0.10%3.38%48.46%
3 Months 23.46%-13.09%0.96%0.47%6.47%52.34%
6 Months 34.39%-15.31%1.87%0.53%3.64%52.80%
1 Year 36.67%-18.88%3.64%2.71%11.49%59.66%
2 Years 34.06%-15.52%6.57%7.36%8.39%65.42%
3 Years 34.60%-23.29%7.75%9.75%12.12%72.63%
5 Years 41.24%-10.73%11.02%8.86%38.95%73.24%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.

Strategy Description

RPM Evolving CTA Fund is a sub-fund of Luxemburg-domiciled investment company European SICAV Alliance (E.S.A.). The RPM Evolving CTA Fund invests in CTA managers in their most promising development stage. The fund allocates to different CTA sub-strategies: trend following, short-tem, and fundamental. Through a systematic investment process, RPM Evolving identifies CTAs in their so-called “evolving phase”, which has proven to be the most promising period for CTA managers from a risk/return perspective. CTAs in the evolving phase typically have 2-7 years of track record, with USD 30 million to USD 2 billion in assets under management. Through active portfolio management, RPM Evolving continuously monitors and manages allocations to underlying managers. 

Fund Information

General Information

NHX CategoryManaged Futures & CTA
NHX CountrySweden
Legal StructureUnknown
Fund DomicileLuxembourg
Minimum Investment5,000,000 SEK
AUM347M SEK
Inception DateJun 2013
Management Fee1.00%
Performance Fee5.00%

Company Information

CompanyRPM Risk & Portfolio Management AB
PrincipalMikael Stenbom
AddressBrahegatan 2
Stockholm, SE-114 37
Phone+4684406900
E-mail[email protected]
Websitewww.rpm.se
Social Media

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 -0.13 3.12 3.38 6.47
2023 -2.81 1.01 -5.55 4.39 1.97 1.82 -0.52 -3.38 3.26 -4.10 -1.65 3.21 -2.90
2022 2.62 3.57 11.56 5.89 -1.62 -0.21 -0.44 0.38 5.48 0.38 -4.60 -0.07 24.32
2021 -1.84 5.82 1.63 2.10 0.35 -2.25 -0.39 -0.85 -4.63 1.35 -5.40 -3.54 -7.90
2020 4.84 -2.28 0.80 -1.08 -1.34 -2.32 3.77 0.74 -1.30 -2.67 4.07 3.70 6.69
2019 -5.57 -3.32 4.00 0.85 2.99 6.94 1.71 9.63 -5.95 -5.86 2.22 -1.84 4.47
2018 13.12 -9.09 0.58 1.13 -1.06 2.58 -0.50 1.68 -0.41 -3.51 -5.42 3.75 1.28
2017 -6.50 5.00 -1.80 -1.20 -1.20 -6.70 2.00 0.60 -4.00 6.80 -1.70 -0.40 -9.56
2016 7.50 4.76 -2.20 -2.00 -2.20 5.10 2.80 -3.30 -2.96 -5.60 -2.90 5.30 3.30
2015 9.69 -2.80 2.90 -8.10 -1.80 -3.70 3.50 -4.30 3.50 -2.17 5.50 -4.90 -4.06
2014 -4.48 1.20 -5.01 -0.53 2.45 1.52 -1.72 6.90 6.29 -4.20 9.62 2.68 14.39
2013 0.30 -0.70 -1.97 -0.48 2.10 4.00 -0.01 3.17

Portfolio Managers

No data filled

Return Statistics

Last Month Return 3.38%
3 Month Return 6.47%
Year to Date Return 6.47%
12 Month Return 11.49%
36 Month Return 12.12%
Total Return Annualized 3.25%
Winning Months (%) 48.46%
Average Winning Month 3.72%
Average Losing Month -2.82%
Total Return Cumulative 41.34%

Risk Statistics (12M)

1 Year
Sharpe Ratio1.20
Sortino Ratio1.95
Sterling0.70
Calmar1.80
Skewness-0.76
Kurtosis-0.30
Maximum Drawdown-6.39%
Correlation vs S&P 5000.14
Annualized Volatility9.44%
Annualized Down. Deviation5.39%

Risk/Return Comparison

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 MONTH ROLLING ROR Return

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -24.46% 47 37 04/2015 03/2022
2 -11.60% 5 0 11/2022 -
3 -8.67% 5 5 12/2013 09/2014
4 -4.20% 1 1 10/2014 11/2014
5 -3.12% 3 2 07/2013 11/2013

Drawdown

Up Capture vs. Barclay CTA Index

Down Capture vs. Barclay CTA Index

Time Window Analysis

3 Months6 Months1 Year2 Years3 Years
Avg. Monthly Return2.11%0.60%0.91%0.34%0.32%
% Positive66.67%50.00%58.33%50.00%50.00%
Avg. Pos. Period3.25%3.24%3.02%2.86%3.10%
Avg. Neg. Period-0.13%-1.96%-1.96%-2.09%-2.34%
Sharpe Ratio4.610.781.200.430.37
Sortino Ratio97.401.151.950.590.52
Monthly Volatility1.60%2.84%2.72%3.06%3.54%

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 13.12%-9.09%0.35%-0.10%3.38%48.46%
3 Months 23.46%-13.09%0.96%0.47%6.47%52.34%
6 Months 34.39%-15.31%1.87%0.53%3.64%52.80%
1 Year 36.67%-18.88%3.64%2.71%11.49%59.66%
2 Years 34.06%-15.52%6.57%7.36%8.39%65.42%
3 Years 34.60%-23.29%7.75%9.75%12.12%72.63%
5 Years 41.24%-10.73%11.02%8.86%38.95%73.24%

Volatility (12 Months Rolling)

CORRELATION (12 MONTH ROLLING)

AUM (EUR)

Disclaimer

This information is intended for institutional investors only. All data including performance numbers have been supplied by the respective managers and funds. HedgeNordic in no way guarantees the accuracy of these numbers and has supplied them to you for information purposes only. This does not constitute a solicitation to buy or an offer to sell. No investment should be made without fully reviewing the associated risk factors, fees and conflicts of interest as outlined in each fund’s risk disclosure document. There may be funds which have chosen not to be listed in the HedgeNordic database and the NHX that may have better or worse performance than those in our database.

The risk of loss in investing in hedge funds can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. Past results are not necessarily indicative of future results. Trade only with risk capital. Sales restrictions may apply in your jurisdiction.