Quantitative Investment Management : Quantitative Global Program
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Year-to-Date
6.76%
May -0.05%
|
Min. Investment
|
$ 20,000k
|
Inception
|
Oct 2003
|
Assets
|
$ 2,847.6M
|
|
Mgmt Fee
|
0%
|
Sharpe (RFR=1%)
|
0.91
|
Worst DD
|
-11.74
|
|
Perf Fee
|
30.00%
|
CAROR
|
10.51%
|
S&P Correlation
|
0.03
|
Growth of 1,000 - VAMI
Monthly Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2013 | -2.51 | -0.43 | -2.61 | -1.32 | -0.05 | | | | | | | | -6.76 | -6.76 |
| 2012 | -4.49 | -1.41 | 1.20 | 5.77 | 7.17 | 1.29 | -2.05 | 0.52 | 0.32 | -1.81 | -2.99 | 1.66 | 4.65 | -5.91 |
| 2011 | 0.33 | 1.29 | -0.41 | -2.33 | -3.22 | -0.90 | 1.14 | 0.30 | 4.55 | 3.01 | 4.36 | -2.87 | 4.99 | -6.71 |
| 2010 | -4.32 | -0.45 | -1.01 | 0.08 | -1.28 | 0.45 | -0.77 | 1.39 | 0.40 | 2.50 | -1.90 | 1.97 | -3.08 | -7.15 |
| 2009 | 5.99 | -0.10 | -2.29 | 4.29 | 3.43 | -0.52 | 1.82 | 0.70 | 1.45 | -2.38 | 2.18 | -3.70 | 10.93 | -3.94 |
| 2008 | -7.59 | 5.30 | 3.55 | 1.86 | 5.78 | -1.53 | -1.84 | 3.36 | 3.10 | -2.54 | 2.31 | 0.90 | 12.51 | -7.59 |
| 2007 | 1.67 | 1.37 | 5.40 | 1.27 | -3.80 | 1.18 | 2.03 | 7.56 | 1.04 | 4.27 | 3.40 | 1.19 | 29.53 | -3.80 |
| 2006 | 0.57 | 1.60 | 1.48 | -2.15 | 5.02 | -2.31 | 2.34 | -0.02 | -1.19 | 2.29 | 0.10 | -1.16 | 6.51 | -2.31 |
| 2005 | -0.40 | -1.65 | 4.26 | 5.77 | 2.85 | -1.97 | 0.55 | 1.40 | 0.86 | 0.56 | 2.04 | 3.05 | 18.43 | -2.04 |
| 2004 | 0.92 | 3.51 | -8.93 | -0.63 | 2.94 | 1.44 | 2.07 | 0.10 | 6.05 | 5.75 | 9.58 | -1.69 | 21.85 | -9.50 |
| 2003 | | | | | | | | | | 5.88 | -2.64 | 3.35 | 6.54 | -2.64 |
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
|
|
May
|
Qtr
|
YTD
|
1yr
|
3yr
|
5yr
|
10yr
|
Since
10/2003
|
|
Quantitative Global Program
|
-0.05
|
-3.94
|
-6.76
|
-9.66
|
6.58
|
14.14
|
-
|
162.84
|
|
S&P 500
|
2.08
|
7.66
|
14.34
|
24.45
|
49.67
|
16.43
|
-
|
55.18
|
|
+/- S&P 500
|
-2.13
|
-11.61
|
-21.10
|
-34.12
|
-43.08
|
-2.29
|
-
|
107.67
|
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...
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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 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.