120 Capital Management : Quantamental Global Macro

Year-to-Date
3.12%
May Performance
-1.80%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.13%
Sharpe (RFR=1%)
0.86
CAROR
20.05%
Assets
$ 3.1M
Worst DD
-22.31
S&P Correlation
0.47

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
9/2015
Quantamental Global Macro -1.80 2.32 3.12 32.56 56.74 122.05 - 185.98
S&P 500 0.55 10.31 15.56 42.58 60.44 104.89 - 123.77
+/- S&P 500 -2.35 -7.99 -12.44 -10.02 -3.70 17.16 - 62.22

Strategy Description

Summary

120 Capital's Quantamental Global Macro program seeks to generate strong returns across the business cycle. It trades across global asset classes, utilizing a systematic global macro framework that identifies long term, fundamental trends that drive asset classes. Manager discretion... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $4.00
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 500 RT/YR/$M
Avg. Margin-to-Equity 17%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 21.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 30.00%
4-12 Months 30.00%
1-3 Months 30.00%
1-30 Days 10.00%
Intraday 0%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Fundamental
90.00%
Technical
10.00%
Strategy Pie Chart

Composition

Interest Rates
35.00%
Stock Indices
35.00%
Currency Futures
10.00%
Energy
10.00%
Precious Metals
5.00%
Other
5.00%
Composition Pie Chart

Summary

120 Capital's Quantamental Global Macro program seeks to generate strong returns across the business cycle. It trades across global asset classes, utilizing a systematic global macro framework that identifies long term, fundamental trends that drive asset classes. Manager discretion is used for trade entry, risk management, and exit. Position holding periods can extend to many months or quarters. Prior to starting 120 Capital, Portfolio Manager Christopher Xu worked for over a decade as a global macro portfolio manager and chief investment officer at a multi-billion dollar single family office in NYC. Chris was previously a portfolio strategist at Bridgewater Associates, statistical arbitrage trader at Sempra Commodities, and Equity Derivatives Strategist at Lehman Brothers. He graduated from the University of Chicago with honors in 2003, with degrees in Economics and Computer Science. ***Note that performance figures from Sept 2015 through Jan 2020 are returns on proprietary capital calculated by a third party after adjusting for a pro-forma 2% management and 20% incentive fee. Proprietary Trading started with $300,000 on Sept 2015 and ended with $4,000,000 on Jan 2020. Proprietary trading continues but is no longer reported here. Figures from Feb 2020 onwards are composite client returns after fees, as calculated by a third party. References available upon request.

Investment Strategy

120 Capital primarily focuses on long term, fundamental drivers of asset prices.

Risk Management

All trades driven by systematic signals have predefined stops, and the correlation between positions in the portfolio are closely monitored. In addition, the manager will use discretion over portfolio management based on market behavior and model performance.

   

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
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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
-22.31 3 4 1/1/2020 4/1/2020
-21.43 4 15 1/1/2018 5/1/2018
-15.45 2 2 8/1/2020 10/1/2020
-11.81 2 4 1/1/2016 3/1/2016
-2.93 1 2 8/1/2016 9/1/2016
-2.32 1 2 8/1/2019 9/1/2019
-1.80 1 - 4/1/2021 5/1/2021
-1.10 1 1 12/1/2020 1/1/2021
-0.87 1 1 8/1/2017 9/1/2017
-0.67 1 2 5/1/2017 6/1/2017
-0.06 1 1 11/1/2015 12/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
34.20 3 9/1/2015 11/1/2015
29.65 4 5/1/2020 8/1/2020
27.16 4 10/1/2017 1/1/2018
23.37 2 7/1/2016 8/1/2016
22.99 8 10/1/2016 5/1/2017
20.43 2 11/1/2020 12/1/2020
18.06 3 6/1/2018 8/1/2018
12.32 4 1/1/2019 4/1/2019
11.76 1 8/1/2019 8/1/2019
11.29 4 10/1/2019 1/1/2020
6.58 2 4/1/2016 5/1/2016
5.68 1 11/1/2018 11/1/2018
4.20 1 4/1/2021 4/1/2021
3.95 1 6/1/2019 6/1/2019
2.16 1 1/1/2016 1/1/2016
1.90 1 2/1/2021 2/1/2021
1.73 2 7/1/2017 8/1/2017
1.04 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.31 3 2/1/2020 4/1/2020
-17.16 1 5/1/2018 5/1/2018
-15.45 2 9/1/2020 10/1/2020
-11.81 2 2/1/2016 3/1/2016
-8.73 1 12/1/2018 12/1/2018
-6.13 2 2/1/2018 3/1/2018
-4.06 2 9/1/2018 10/1/2018
-3.88 1 6/1/2016 6/1/2016
-2.93 1 9/1/2016 9/1/2016
-2.78 1 5/1/2019 5/1/2019
-2.32 1 9/1/2019 9/1/2019
-1.80 1 5/1/2021 5/1/2021
-1.64 1 7/1/2019 7/1/2019
-1.10 1 1/1/2021 1/1/2021
-0.87 1 9/1/2017 9/1/2017
-0.67 1 6/1/2017 6/1/2017
-0.06 1 12/1/2015 12/1/2015
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Top Performer Badges

Index Award Type Rank Performance Period

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