November Summary
The managed account program concluded the month of November up 3.02%, down 46 basis points for the year. The Grain sector led by long positions in Soybeans (+8.6%) proved to be the most profitable sector in November. Long positions in the Bond & Interest Rate sector along with other Soft commodity markets led to positive performance as well. A mixture of longs and shorts in the Energy and Meat sectors also provided profitable trends for the month. Negative attributions for the month resulted from late-month reversals in currencies as well as choppy conditions in the Equity indices. Barring explosive trending behavior in December, 2009 will likely conclude near break-even. Being focused on strong risk-adjusted returns, 2009 has not provided ideal market conditions for large returns. However, we believe this year has clearly illustrated the program’s ability to preserve capital through minimizing losses in less than ideal conditions. With the volatility that has dominated the markets, we are pleased at our proximity to all-time highs and are excited about the opportunities that periods of trend-less movement have created historically.
Below is a comparison of the RL Capital Managed Account Program to various indices within the equity and commodity sectors.
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Benchmark |
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YTD Return ('09) |
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Return Since Inception of the RL Cap Managed Account Program* |
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Max Monthly Drawdown* |
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RL Capital |
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-0.5% |
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76.0% |
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-13.2% |
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S&P 500 |
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21.3% |
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-22.8% |
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-52.6% |
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CRB Index |
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20.9% |
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-9.7% |
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-54.3% |
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Newedge CTA Index |
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-1.0% |
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21.2% |
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-6.6% |
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MSCI EAFE |
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23.5% |
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-22.4% |
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-58.7% |
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*Since January '07 |
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Past Performance is Not Necessarily Indicative of Futures Results |
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Comparison vs. Trend Followers
Robinson-Langley is pleased to continue offering a profitable stand-alone investment to our clients as well as valuable portfolio diversification particularly in the face of extreme turbulence across global markets. RL Capital has been satisfied with the performance of its risk management strategy especially given the mostly trendless behavior seen thus far in 2009. A comparison of RL Cap to an equal-weighted index of 8 trend followers which closely align in philosophy and strategy shows relative outperformance of nearly 3% YTD. Further, RL Cap has outperformed the index by 36% since inception. A look at drawdown YTD shows a max monthly drawdown of 7.3% for the trend following index vs. 8.7% for RL Cap, further illustrating outperformance against its peers on an absolute and risk-adjusted basis.
We at RL Capital would enjoy an opportunity to speak with you regarding our investment options and how they can assist in enhancing your portfolio. We put a premium on customer service and are available for a call or meeting at anytime to provide you with additional information regarding our trading models, business continuity planning or any other questions you might have.