Quantitative Investment Management : Quantitative Global Program

Year-to-Date
9.93%
Oct Performance
-1.26%
Min Investment
$ 20,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
9.99%
Sharpe (RFR=1%)
0.86
CAROR
9.48%
Assets
$ 2,081.9M
Worst DD
-16.63
S&P Correlation
-0.01

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2003
Quantitative Global Program -1.26 1.26 9.93 12.55 24.10 23.02 97.52 226.92
S&P 500 -1.94 -2.18 4.02 2.25 21.04 69.63 54.27 102.32
+/- S&P 500 0.68 3.44 5.91 10.30 3.06 -46.61 43.25 124.60

Strategy Description

Summary

Quantitative currently employs numerous quantitative trading models that utilize pattern recognition to predict all types of price movements. All models are tested across massive data sets. Only those models that prove to be the most robust, statistically significant and conceptually... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 20,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
0%
Performance Fee
30.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
9.60%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
100.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
26.00%
Currency Futures
25.00%
Interest Rates
24.00%
Energy
15.00%
Precious Metals
7.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

Quantitative currently employs numerous quantitative trading models that utilize pattern recognition to predict all types of price movements. All models are tested across massive data sets. Only those models that prove to be the most robust, statistically significant and conceptually diverse are used in actual trading. The resultant system of models offers signals that guide market timing and trade allocation.

Investment Strategy

The Global Program seeks to deliver strong risk-adjusted returns through the use of proprietary machine learning predictive techniques. The average trade length for the program is one to two weeks. The holding period for all trades ranges from 1 to 50 days. Since inception the program has had a low correlation to its benchmarks.

Risk Management

The fund presently trades 54 different futures contracts. Each day’s risk allocation to each contract is based solely on liquidity and signal strength.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=0%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-16.63 31 10 6/1/2012 1/1/2015
-11.74 21 5 9/1/2009 6/1/2011
-9.50 2 5 2/1/2004 4/1/2004
-8.54 3 3 11/1/2011 2/1/2012
-7.59 1 2 12/1/2007 1/1/2008
-3.80 1 3 4/1/2007 5/1/2007
-3.70 3 1 11/1/2004 2/1/2005
-3.34 2 2 5/1/2008 7/1/2008
-2.98 1 5 2/1/2016 3/1/2016
-2.64 1 1 10/1/2003 11/1/2003
-2.54 1 2 9/1/2008 10/1/2008
-2.39 2 1 1/1/2009 3/1/2009
-2.31 1 4 5/1/2006 6/1/2006
-2.15 1 1 3/1/2006 4/1/2006
-1.97 1 3 5/1/2005 6/1/2005
-1.62 1 1 11/1/2015 12/1/2015
-1.26 1 - 9/1/2016 10/1/2016
-1.16 1 1 11/1/2006 12/1/2006
-0.52 1 1 5/1/2009 6/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
31.11 7 5/1/2004 11/1/2004
22.40 7 6/1/2007 12/1/2007
17.49 4 2/1/2008 5/1/2008
16.19 4 3/1/2012 6/1/2012
14.01 5 7/1/2011 11/1/2011
13.42 3 3/1/2005 5/1/2005
12.75 9 7/1/2005 3/1/2006
12.57 4 8/1/2015 11/1/2015
10.02 3 4/1/2015 6/1/2015
10.01 4 1/1/2007 4/1/2007
9.41 3 11/1/2008 1/1/2009
8.91 2 1/1/2016 2/1/2016
8.10 5 10/1/2013 2/1/2014
7.96 3 12/1/2003 2/1/2004
7.87 2 4/1/2009 5/1/2009
6.56 2 8/1/2008 9/1/2008
5.88 1 10/1/2003 10/1/2003
5.36 6 4/1/2016 9/1/2016
5.02 1 5/1/2006 5/1/2006
4.34 3 8/1/2010 10/1/2010
4.02 3 7/1/2009 9/1/2009
3.63 3 12/1/2010 2/1/2011
2.61 1 9/1/2014 9/1/2014
2.39 2 10/1/2006 11/1/2006
2.34 1 7/1/2006 7/1/2006
2.27 1 2/1/2015 2/1/2015
2.18 1 11/1/2009 11/1/2009
1.74 2 7/1/2013 8/1/2013
1.66 1 12/1/2012 12/1/2012
0.84 2 8/1/2012 9/1/2012
0.45 1 6/1/2010 6/1/2010
0.08 1 4/1/2010 4/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.63 6 3/1/2014 8/1/2014
-9.50 2 3/1/2004 4/1/2004
-9.20 4 12/1/2009 3/1/2010
-8.54 3 12/1/2011 2/1/2012
-7.59 1 1/1/2008 1/1/2008
-7.11 6 1/1/2013 6/1/2013
-6.92 4 10/1/2014 1/1/2015
-6.71 4 3/1/2011 6/1/2011
-4.75 2 10/1/2012 11/1/2012
-3.80 1 5/1/2007 5/1/2007
-3.70 3 12/1/2004 2/1/2005
-3.34 2 6/1/2008 7/1/2008
-2.98 1 3/1/2016 3/1/2016
-2.64 1 11/1/2003 11/1/2003
-2.54 1 10/1/2008 10/1/2008
-2.39 2 2/1/2009 3/1/2009
-2.38 1 10/1/2009 10/1/2009
-2.31 1 6/1/2006 6/1/2006
-2.15 1 4/1/2006 4/1/2006
-2.05 1 7/1/2012 7/1/2012
-1.97 1 6/1/2005 6/1/2005
-1.90 1 11/1/2010 11/1/2010
-1.62 1 12/1/2015 12/1/2015
-1.46 1 7/1/2015 7/1/2015
-1.42 1 3/1/2015 3/1/2015
-1.28 1 5/1/2010 5/1/2010
-1.26 1 10/1/2016 10/1/2016
-1.21 2 8/1/2006 9/1/2006
-1.16 1 12/1/2006 12/1/2006
-1.15 1 9/1/2013 9/1/2013
-0.77 1 7/1/2010 7/1/2010
-0.52 1 6/1/2009 6/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods157.00155.00152.00146.00140.00134.00122.00110.0098.00
Percent Profitable61.7867.1072.3775.3472.1482.8490.1689.0988.78
Average Period Return0.802.404.8010.1814.8018.9528.4539.8751.27
Average Gain2.505.158.4015.2422.1524.3032.1245.0958.18
Average Loss-1.96-3.20-4.62-5.29-4.23-6.87-5.19-2.70-3.40
Best Period9.5822.8927.3739.2446.2058.0179.08122.12156.88
Worst Period-8.93-8.54-10.29-13.32-10.71-12.68-9.90-4.60-7.02
Standard Deviation2.885.377.5812.1615.7719.4126.5636.9245.66
Gain Standard Deviation2.024.125.449.2912.1616.8625.3735.7743.81
Loss Standard Deviation1.692.432.734.182.313.922.971.522.43
Sharpe Ratio (1%)0.250.400.570.750.840.870.960.971.01
Average Gain / Average Loss1.281.611.822.885.233.546.1916.7017.09
Profit / Loss Ratio2.073.284.768.8013.5517.0756.77136.35135.15
Downside Deviation (10%)1.792.904.015.626.507.798.7410.6612.77
Downside Deviation (5%)1.632.413.043.743.264.012.752.312.97
Downside Deviation (0%)1.592.302.813.332.543.261.851.011.38
Sortino Ratio (10%)0.220.410.580.921.111.121.451.721.85
Sortino Ratio (5%)0.440.891.412.464.084.229.2415.5215.57
Sortino Ratio (0%)0.501.051.713.065.835.8215.3439.3337.16

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 7 3.95 6/2015
Systematic Trader Index Month 9 5.07 4/2015
Diversified Trader Index Month 6 5.07 4/2015
Diversified Trader Index Month 9 5.77 4/2012
Systematic Trader Index Month 10 5.77 4/2012
Diversified Trader Index Month 9 4.29 4/2009
Diversified Trader Index Month 7 5.99 1/2009
Systematic Trader Index Month 10 5.99 1/2009
Systematic Trader Index Month 8 7.56 8/2007
Diversified Trader Index Month 5 7.56 8/2007
Diversified Trader Index Month 2 5.40 3/2007
Systematic Trader Index Month 3 5.40 3/2007
IASG CTA Index Month 4 5.40 3/2007
Systematic Trader Index Month 7 2.34 7/2006
Diversified Trader Index Month 7 2.34 7/2006
Diversified Trader Index Month 9 5.02 5/2006
IASG CTA Index Month 10 5.02 5/2006
Systematic Trader Index Month 9 5.02 5/2006
IASG CTA Index Month 1 5.77 4/2005
Systematic Trader Index Month 1 5.77 4/2005
Diversified Trader Index Month 1 5.77 4/2005
Diversified Trader Index Month 6 1.44 6/2004
Systematic Trader Index Month 9 1.44 6/2004
Diversified Trader Index Month 10 2.94 5/2004
Diversified Trader Index Month 10 -0.63 4/2004
IASG CTA Index Sharpe 8 1.67 2002 - 2003

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.