Who We Are
Carl J. Rothenbacher is the founder and manager of Red River Capital LLC. Starting his career in IT with a computer science degree, Mr. Rothenbacher worked as a software developer, and became interested in the application of statistics and data analysis to futures trading. He holds an MBA in Finance from Butler University, and has been successfully trading volatility-related products for the past six years.
What We Do
Red River Capital trades the VIX. The strategy seeks to achieve high returns while maintaining a low correlation to the S&P 500. Positions are generally opened with target holding time of hours or days, and the strategy often involves dozens or hundreds of trades per month. Holdings include only long and short VIX positions, along with options on S&P or VIX futures (held as insurance).
Red River Capital LLC takes advantage of the VIX term structure, the relationship of the spot VIX to futures prices, and the mean-reversion
characteristics unique to the VIX. Red River uses methodology to forecast overall direction, as well as identify “price noise,” i.e., short-term deviations from the overall trend.
The strategy has achieved returns of 53.21% and 64.48% in 2015 and 2016, respectively, though a VIX drop to historically unprecedented levels early in the year resulted in a drawdown of 3.84% so far in 2017. Returns have tended to be negatively correlated with the S&P 500 (r-squared = -0.11), giving the program the potential to add diversification to the typical investment portfolio.