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De Mille began her association with the fledgling American Ballet Theatre (then called the Ballet Theatre) in 1939, but her first significant work, Rodeo (1942) with the score by Aaron Copland, was staged for the Ballet Russe de Monte Carlo.
The official premiere took place June 27 1941, at Teatro Municipal in Rio de Janeiro as part of American Ballet Caravan's South American tour, and Concerto Barocco subsequently entered the repertory of the Ballet Russe de Monte Carlo.