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Red Oak Commodity Advisors, Inc.

Fundamental Trading program

Printable download

Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
20172.70%2.30%-2.64%-6.36%-4.64%2.84%3.20%     -3.06%
20160.82%0.82%-8.35%12.70%-2.13%-2.90%-9.87%2.91%0.64%7.29%7.91%-1.15%6.60%
20154.66%1.31%5.18%-10.69%0.44%-0.10%-1.15%-4.62%2.61%-7.31%0.15%-1.31%-11.42%
2014-6.04%1.29%-0.80%-1.79%-1.88%-0.07%3.06%4.68%6.80%2.38%4.01%1.38%13.08%
2013-0.41%1.35%3.11%0.57%-0.08%-0.56%0.89%-3.04%0.33%1.32%0.29%2.69%6.51%
20123.73%2.20%0.18%-1.98%-5.75%-0.52%0.26%1.17%3.72%0.45%-1.31%-0.08%1.72%
20110.83%2.52%-2.34%3.99%-4.11%-2.07%1.06%-1.74%-6.57%4.98%-1.56%-1.13%-6.55%
2010-4.10%0.63%3.56%1.72%-1.92%-0.70%0.63%-1.82%7.43%4.51%1.53%4.67%16.71%
20092.25%0.53%0.18%4.84%7.59%-2.34%2.45%0.97%3.40%-0.66%4.01%0.07%25.45%
2008-0.02%3.27%-12.82%-4.32%-2.69%-0.38%-3.43%7.17%0.62%13.35%1.58%-1.96%-1.86%
20072.41%0.40%0.05%4.36%1.32%0.74%2.23%-0.01%5.44%6.62%1.53%0.84%28.92%
20067.78%-5.33%11.26%13.67%0.14%-3.48%-0.52%2.69%-0.22%1.77%1.85%-0.84%30.67%
2005-10.02%3.28%-12.57%-7.46%5.27%2.89%6.48%3.37%18.73%-3.05%8.87%7.86%21.16%
20040.64%4.67%4.91%-11.78%-5.06%0.48%-3.83%-2.30%0.69%-1.51%7.69%5.23%-1.80%
2003-0.39%-12.53%18.91%14.73%14.52%-0.79%-1.83%5.00%-0.14%7.70%6.13%10.46%75.51%
2002-1.14%5.46%-9.20%20.26%25.68%-1.48%-8.53%-8.30%-10.63%26.91%15.37%-12.70%35.07%
20019.89%-18.94%-1.15%5.74%-13.45%11.51%7.89%-8.66%-14.00%-3.06%-2.94%13.26%-18.84%
2000-3.19%-2.96%-3.53%-7.30%13.50%13.95%-1.02%8.69%-7.79%-5.53%-4.35%10.44%7.57%
19993.46%-12.94%19.78%23.87%-8.26%32.01%4.09%0.44%11.02%-11.86%-11.43%22.28%79.32%
19981.85%-4.45%4.03%-3.85%-8.33%8.57%-6.09%-23.72%11.81%-3.16%-2.03%10.39%-18.73%
199721.57%8.23%4.87%7.08%-9.38%1.35%17.15%-6.91%1.77%-11.80%-0.60%8.74%43.58%
199610.36%-7.88%14.85%3.68%-6.23%-0.10%-19.05%8.06%-7.54%1.70%3.57%-3.62%-6.89%
1995-1.91%-3.65%3.97%-0.31%-0.10%-8.52%1.29%20.92%4.40%-4.09%6.34%10.45%28.95%
1994-2.71%-4.43%1.58%-3.32%8.75%3.70%-0.49%-1.66%5.39%-1.83%1.02%0.24%5.58%
19932.47%6.63%-1.84%-1.30%0.50%2.03%5.05%-1.37%-1.21%0.51%-1.96%3.45%13.26%
1992-4.34%-1.89%-0.84%-1.73%-3.09%0.14%-1.39%-2.67%4.26%6.44%1.92%1.17%-2.53%
19913.38%-6.96%0.43%0.47%1.38%-0.07%-5.65%5.32%1.81%-0.58%-1.66%9.86%6.84%
19900.10%-1.08%6.14%9.10%-9.75%11.65%11.71%0.25%7.28%8.72%-0.13%0.84%51.98%
1989           0.11%0.11%

Performance statistics — Dec 1989 to Jul 2017

Cumulative total return 2873.52%
Annualized compound return 13.05%
Annualized standard deviation 25.07%
Monthly correlation to S&P 500 TRI 0.28
Annualized sharpe ratio (0%) 0.50
Monthly maximum loss (Aug 1998) -23.72%
Maximum drawdown (Aug 1997 - Aug 1998) -37.32%

Annual performance (%) — Dec 1989 to Jul 2017

Year or YTD Red Oak Commodity Advisors, Inc. S&P 500 TRIBTOP50 Index
2017-3.0611.59-4.21
20166.6011.96-4.44
2015-11.421.38-0.92
201413.0813.6912.33
20136.5132.390.74
20121.7216.00-1.83
2011-6.552.11-4.25
201016.7115.066.38
200925.4526.46-4.77
2008-1.86-37.0013.58
200728.925.497.57
200630.6715.795.61
200521.164.912.76
2004-1.8010.880.86
200375.5128.6815.55
200235.07-22.1013.68
2001-18.84-11.893.83
20007.57-9.106.60
199979.3221.041.64
1998-18.7328.5813.18
1992-2.5333.3610.85
19916.8422.9611.14
19890.11--
199743.581.32-1.02
1996-6.8910.0813.42
199528.957.622.55
19945.5830.4714.68
199313.26-3.1015.24
199051.9831.643.41

Performance comparison: Growth of $10,000 invested since inception — Dec 1989 to Jul 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Aug 2007 to Jul 2017

Distribution of monthly returns — Dec 1989 to Jul 2017

Underwater curve — Dec 1989 to Jul 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Red Oak is a Delaware corporation established in 1989 and was registered as a CTA effective July 12, 1991. Red Oak is jointly owned by its two principals, Gary A. Gerstein and Phyllis Weaver.

Investment Goal

Red Oak seeks to achieve high absolute rates of return and low correlations with Altegris 40 and S&P 500 indices, and to do so through rigorous fundamental analysis and disciplined risk control.

Markets traded

Equity indices, interest rates, FX, agriculturals, energies, metals

Strategy

Red Oak’s trading strategy is driven by fundamentals.  Therefore, unlike many trading strategies now being employed by managed futures professionals, Red Oak’s approach is neither technically-based nor trend-following. Fundamental analysis, in general, is based on a study of factors external to the markets in predicting future prices. Such factors might include, among other things, supply and demand factors for a particular commodity, the economy of a particular country, government policies, domestic and foreign political and economic events and changing trade prospects. Fundamental analysis is premised on the concept that market prices frequently may not reflect (on a real time basis) the actual value of a commodity, although such value will eventually determine price levels.

Red Oak’s fundamental research disciplines attempt to step beyond the near term “noise” of leveraged volatile markets. The firm’s research focus is on significant and somewhat longer-term market forces. Red Oak believes that the fundamental forces driving major price changes can be isolated and anticipated. The firm trades principally financial, currency, and physical commodity futures on commodity exchanges inside and outside the United States. Financial futures may include equity index futures and interest rate futures based both inside and outside the US. Physical futures include agricultural commodities, energies and metals. It may also trade forward contracts through banks. With regard to financial futures, the firm’s research focuses on the macroeconomic trends that affect financial markets, valuation levels, the level and rate of change in “real” interest rates, central bank policy, funding needs, the level and rate of change of profitability, overall financial leverage in the monetary system, and numerous other factors that affect the price level and volatility of equity and fixed income financial instruments. In the currency markets Red Oak concentrates its fundamental research on such factors as trade and budget levels and trends, political considerations, interest rate differentials and changes in interest rates, changes in marginal rates of return on capital in various countries, central bank policy, and many other factors that affect relative currency values and directional changes. Research regarding physical commodities focuses on macro-and micro-economic trends, supply and demand balances, substitution effects caused by relative price changes, political considerations, and changes in technology, weather, and numerous other factors that affect commodities prices.

The firms employs risk control procedures in an effort to preserve capital and protect against material forecasting errors. To control risk, a predetermined dollar level of acceptable loss per position is calculated based on volatility and risk-reward dynamics. If this predetermined acceptable loss is exceeded, the position is closed. 

Key personnel

Gary A. Gerstein, Founder — Mr. Gerstein is the Chief Investment Officer, Managing Director, President, and Secretary of Red Oak and is responsible for all investment aspects of the firm. Mr. Gerstein developed the firm’s fundamental investment approach and methodology and is responsible for the implementation of this strategy. Mr. Gerstein became both a principal and an associated person of Red Oak effective August 27, 1991. Red Oak was registered as a CTA on July 12, 1991. Red Oak (in its predecessor form) was registered as a CTA on March 7, 1990 and was merged with Red Oak Advisors, Inc., an affiliate which conducted a securities investment advisory business. During the period from incorporation on December 4, 1989 to March 1990, Red Oak (in its predecessor form) was conducting activities in order to prepare for its anticipated launch as a CTA, such as creating its infrastructure and related necessities. The combined company took the name Red Oak Commodity Advisors, Inc. Red Oak no longer provides such securities investment advisory services. Mr. Gerstein received his MA in Economics from Rutgers University and his BS in Economics from New York University. He also has obtained the Chartered Financial Analyst designation. 

Phyllis Weaver, Founder — From August 1991 through July 2011, Ms. Weaver was the Director of Marketing and Client Services, Managing Director, and Treasurer of Red Oak and executed all administrative aspects of the firm. At present, Ms. Weaver is less active in the daily operations of the firm. Her role now is principally as an advisor to Gary Gerstein in marketing and client services and overseer of the firm’s financial accounting, compliance and administration. She became both a principal and an associated person of Red Oak on August 27, 1991 and member of the NFA since September 4, 1991.  Ms. Weaver attended the Stanford University Graduate School of Business. Ms. Weaver was on the faculty of Harvard University, Graduate School of Education, first as an Assistant Professor and finally as an Associate Professor.  Ms. Weaver received an MBA from Stanford University; a PhD in Language Communications and an MEd in Higher Education, both from the University of Pittsburgh; she was granted a BS in Education from Ohio State University.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656