120 Capital Management : Quantamental Global Macro

Year-to-Date
12.01%
Oct Performance
-7.70%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.36%
Sharpe (RFR=1%)
0.77
CAROR
17.52%
Assets
$ 5.4M
Worst DD
-22.31
S&P Correlation
0.43

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
9/2015
Quantamental Global Macro -7.70 -15.45 -12.01 -10.16 6.70 71.58 - 130.27
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 86.70
+/- S&P 500 -4.93 -15.42 -13.22 -17.81 -20.26 15.93 - 43.57

Strategy Description

Summary

One Twenty Capital’s Quantamental Global Macro program seeks to generate strong absolute returns across the business cycle. It trades across global asset classes, utilizing a systematic global macro framework developed by portfolio manager Christopher Xu. Prior to starting One Twenty... 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 600 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 21.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 10.00%
4-12 Months 40.00%
1-3 Months 40.00%
1-30 Days 10.00%
Intraday

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Interest Rates
35.00%
Stock Indices
35.00%
Currency FX
10.00%
Energy
10.00%
Other
10.00%
Composition Pie Chart

Summary

One Twenty Capital’s Quantamental Global Macro program seeks to generate strong absolute returns across the business cycle. It trades across global asset classes, utilizing a systematic global macro framework developed by portfolio manager Christopher Xu. Prior to starting One Twenty Capital Management, Chris 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.

Investment Strategy

One Twenty Capital uses a combination of systematic strategies and discretionary trades, all based on a systematic framework grounded in economic and market fundamentals. Systematic strategies include systematic fundamental divergence, systematic fundamental carry, and systematic relative value. Each broad strategy category has low correlation to the others, allowing the portfolio of strategies to work across market environments and cycles. Discretionary trades take advantage of novel and unique market setups and conditions that often exist because they are difficult to make systematic.

Risk Management

Each systematic strategy has predefined stops of 2-4% of the portfolio, and discretionary positions have stops of less than 4% of the portfolio. Exposures are adjusted dynamically in response to expected and realized volatility and uncertainty.

   

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=1%)
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=1%)
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
-22.31 3 4 1/1/2020 4/1/2020
-21.43 4 15 1/1/2018 5/1/2018
-15.45 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
-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
Show More

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
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
3.95 1 6/1/2019 6/1/2019
2.16 1 1/1/2016 1/1/2016
1.73 2 7/1/2017 8/1/2017
1.04 1 4/1/2018 4/1/2018
Show More

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
-1.64 1 7/1/2019 7/1/2019
-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
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable66.1366.6770.1886.2795.5697.44100.00100.00
Average Period Return1.574.627.9017.2626.5935.0855.3285.50
Average Gain4.9010.2014.6820.8727.9536.1355.3285.50
Average Loss-4.93-6.56-8.07-5.40-2.69-4.62
Best Period22.5434.2034.1452.7279.0284.23115.41148.74
Worst Period-17.16-22.31-15.91-10.05-4.16-4.6217.8551.88
Standard Deviation6.7410.9712.7115.5820.8223.1124.3324.36
Gain Standard Deviation5.128.117.9113.5620.2822.4724.3324.36
Loss Standard Deviation4.376.455.193.222.08
Sharpe Ratio (1%)0.220.400.581.041.201.432.153.34
Average Gain / Average Loss0.991.561.823.8710.397.82
Profit / Loss Ratio1.943.114.2824.31223.48297.08
Downside Deviation (10%)3.985.786.384.232.872.88
Downside Deviation (5%)3.835.355.432.620.941.07
Downside Deviation (0%)3.795.245.192.280.650.74
Sortino Ratio (10%)0.290.590.852.906.618.63
Sortino Ratio (5%)0.390.821.366.2126.6430.99
Sortino Ratio (0%)0.410.881.527.5641.1547.41

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.