About Red Rock Capital

Red Rock Capital is an award-winning systematic global macro hedge fund (CTA) located on Chicago’s Magnificent Mile. The firm recently celebrated its 10th anniversary and is well-positioned to grow and thrive in the alternative investment arena. Red Rock Capital currently offers one investment program – its flagship Systematic Global Macro Program. Additionally, during the fall of 2013, the firm will be launching both a 1) unique commodity index and a 2) new commodity long/short investment program. It is Red Rock’s aim, through the disciplined application of their Systematic Global Macro Program, to produce as high as possible risk-adjusted returns for themselves and their investors—returns that are not uncorrelated with—or dependent upon—the performance of major asset classes like stocks, bonds, & real estate.

Thomas N. Rollinger

Managing Partner, Chief Investment Officer

A 16-year industry veteran, Mr. Rollinger previously co-developed and co-managed a systematic futures trading strategy with Edward O. Thorp, the MIT professor who devised blackjack "card counting" and went on to become a quantitative hedge fund legend (their venture together was mentioned in two recent, best-selling books). Considered a thought leader in the futures industry, Mr. Rollinger published the highly acclaimed 37-page white paper Revisiting Kat in 2012 and co-authored Sortino Ratio: A Better Measure of Risk in early 2013. He was a consultant to two top CTAs and inspired the creation of an industry-leading trading system design software package. Earlier in his career, Mr. Rollinger founded and operated a systematic trend following fund and worked for original “Turtle” Tom Shanks of Hawksbill Capital Management. After graduating college in Michigan, Mr. Rollinger became a Lieutenant in the U.S. Marine Corps. He holds a finance degree with a minor in economics.

Scott T. Hoffman

Partner, Chief Technology Officer

Mr. Hoffman graduated Cum Laude with a Bachelor of Science degree in Electrical Engineering from Brigham Young University in April 1987. In the 1990s, Mr. Hoffman began applying his engineering domain expertise in the areas of statistics, mathematics, and model development to the financial markets. In April 2003, after several years of successful proprietary trading, Mr. Hoffman founded Red Rock Capital Management, Inc., a quantitative CTA / CPO. Early in his trading career, Mr. Hoffman participated in a CTA Star Search Challenge, earning a $1M allocation as a result of his top performance. Since then, Red Rock Capital’s outstanding performance has earned the firm multiple awards from Barclay Hedge. Mr. Hoffman is active in the research areas of risk and investment performance measurement as well as trading model development. His publications include Sortino Ratio: A Better Measure of Risk which he co-authored with Mr. Rollinger.

Our Flagship Program

The Systematic Global Macro Program

The Systematic Global Macro Program was designed to capture the high-value payoff portion of globally trending markets by blending the benefits of both momentum and probability theory. The Program has three distinct aspects: Market Profiling, Alpha Generation, and Phase Discrimination. The Program is completely quantitative, systematic, and adaptable. Long and short positions are tactically implemented and managed on a globally diverse portfolio of liquid futures markets. Analytic methods utilized by the Program on an ongoing basis are:

  • Multidimensional Statistical Analysis
  • Unbiased Parameter Selection
  • Probabilistic Asymmetrical Directional Targeting
  • Dynamic Risk Monitoring
  • Portfolio Component Balancing
  • Adaptive Phase Recognition
  • Portfolio Cross-sectional Analysis
  • Portfolio Aggregate Risk Minimization
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This fund was ranked based on the data in BarclayHedge's. Managed Futures Database

Program Details:

AUM $7.5M
Min Trading Level $500K
Target ROR 15%
Target Volatility 13%
RT / $1M /Yr 800
Margin / Equity 10%
Fees 1/20

Papers & Resources

Announcements


Analytical Research by Red Rock Principals

Comparison of CTA Indexes

A concise summary and comparison of the major CTA indexes. Designed to be a resource document for the Managed Futures industry, this paper highlights differences between the various CTA indexes in terms of construction methodology, the number of CTA programs tracked, and minimum requirements with regard to track record length, financial auditing, and assets being managed.

Download Comparison White Paper

Sortino: A ‘Sharper’ Ratio

The Sortino Ratio improves upon some of the weaknesses of the more popular Sharp Ratio. The former does not penalize investments for producing upside volatility. However, the authors have very often seen the Sortino Ratio miscalculated by well-known financial institutions and software packages. Our article clearly demonstrates how it should be calculated.

Download the Sortino White Paper

Revisiting Kat: A Match Made in Heaven

Managed Futures have historically provided a valuable tail-risk hedging property to portfolios of stocks & bonds. Additionally, Managed Futures have proven to be a more effective diversifier than Hedge Funds. CTAs' ability to produce positive asymmetry in their monthly returns has translated to extremely valuable diversification qualities during times of crisis.

Download the Kat White Paper

Resources on Dr. Edward O. Thorp

Hedge Fund Market Wizards

During his tenure with Dr.Thorp, Rollinger co-developed & co-managed the futures trend following strategy that Thorp describes in Jack D. Schwager’s best-selling book Hedge Fund Market Wizards.

The Quants

The strategy Rollinger co-developed & co-managed with Edward O. Thorp was also referred to as "System X" in the New York Times Bestseller The Quants.

Contact Us

For more information on Red Rock and its programs, including disclosure docs and tear sheets, please send us a request or call us at 949.648.9506

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