RLRokos Capital Management LLP

Top Holdings9 positions

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Activity:AllNewIncreasedDecreasedExitedUnchangedFirst report

Stock	Shares	Value	Weight	Price Trend	Avg Buy	Est. P&L	Held	Conviction
EWZ ETF ISHARES INC	2.2M	$103.6M	23.1%	—	$31.04	0.00%	1 qtr	New 95
EEM ETF ISHARES TR	1.4M	$61.6M	13.7%	—	$36.71	+6.48%	5 qtrssince 2018-Q4	Increased 95
??SELECT SECTOR SPDR TR CALL	538,000	$54.5M	12.2%	—	—	—	—	Unchanged —
??SELECT SECTOR SPDR TR PUT Delisted	538,000	$54.5M	12.2%	—	—	—	—	Unchanged —
??SELECT SECTOR SPDR TR CALL Delisted	410,000	$51.2M	11.4%	—	—	—	—	New —
??SELECT SECTOR SPDR TR PUT	410,000	$51.2M	11.4%	—	—	—	—	New —
??ISHARES TR PUT Delisted	1M	$47.2M	10.5%	—	—	—	—	New —
??ISHARES TR CALL	450,000	$21.2M	4.7%	—	—	—	—	New —
XLP ETF SELECT SECTOR SPDR TR	41,500	$2.6M	0.6%	—	$52.70	0.00%	1 qtr	New 54

$447.8M

AUM

9

Positions

Q4 2019

Filing

HI score · 1.5/5

Quarterly 13F Value Change

FilingEquity

Activity profile

$ moved · Q4'19

New79%Increased9%Decreased0%Exited12%

Composition

Equity vs derivatives

Equity37%Puts34%Calls28%

Holding period

Avg 1.0 quarters

<1Q56%1-4Q33%1-2Y11%2Y+0%

Rokos Capital Management LLP manages $447.8M across 9 positions as of Q4 2019. Top holdings: EWZ (23.1%), EEM (13.7%), SELECT SECTOR SPDR TR calls (12.2%). Fund DNA: Momentum Trader. HoldingsIntel Score: 1.5/5.0.

Position Outcomes

Best and worst performing positions by estimated return

Top Winners

EEM5Q held

ISHARES TR

Avg $36.71 · $3.3M est. P&L

—

Est. P&L

+6.48%

Cost basis estimates based on full filing history using quarter-end prices. Actual transaction prices are not disclosed in 13F filings.