Wednesday, 30 July 2014
Last updated 11 hours ago
Sep 11 2013 | 9:33am ET
Thomas Rollinger, who once worked with the “godfather” of the quants, Edward O. Thorp, has gone from investor in Red Rock Capital to managing partner and chief investment officer of the CTA.
Chicago-based Red Rock was founded by former electrical engineer Scott T. Hoffman in 2003 and its flagship Systematic Global Macro program has returned over 9% compounded annual returns with annualized volatility of 13%.
“I was originally a satisfied investor in the Systematic Global Macro managed futures program and I’d been collaborating on R&D with the Scott Hoffman for several years before deciding to join Red Rock,” said Rollinger in a statement. “As a believer in and co-developer of the strategy, I decided to make a larger investment by becoming a partner in Red Rock.”
Rollinger co-developed and co-managed the systematic futures strategy that Thorp referred to as 'System X' in both Scott Patterson’s 2010 best-seller The Quants and then again last year in Jack D. Schwager’s Hedge Fund Market Wizards.
Systematic Global Macro program has 50% exposure to physical commodities and has produced a high 1.43 Sortino ratio historically. Later this month, Red Rock Capital is launching a new Commodity Long/Short program for qualified eligible participants. The strategy utilizes a unique, quantitative pattern recognition technology and has an average holding period of only nine days. Unlike the most popular CTAs, the program solely trades physical commodity futures. Rollinger said fees are negotiable, but that they intend to reserve capacity for large, savvy investors.
“Our aim is to maximize risk-adjusted returns for ourselves and our investors. Because we run such a lean organization we can be extremely competitive with our fees. Per my mentor, Edward O. Thorp, we want to run a merit-driven—not a sales-driven—organization.”
Jul 8 2014 | 10:48am ET
The surge in derivatives regulation is among the most complex challenges facing the financial services industry today. Northern Trust’s Joshua Satten recently spoke with FINalternatives to share insights into the challenges presented by new regulation and explore how the industry is responding. Read more…