120 Capital Management : Quantamental Global Macro

Year-to-Date: 3.33%
Jan Performance: 3.33%

Min Investment: $ 250k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 21.95%
Sharpe (RFR=1%): 1.09
CAROR: 25.26%

Assets: $ 4.0M
Worst DD: -21.43
S&P Correlation: 0.35

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Growth of 1,000 - VAMI

Monthly Performance

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	Jan	Qtr	YTD	1yr	3yr	5yr	10yr	Since 9/2015
Quantamental Global Macro	3.33	8.73	3.33	25.64	62.52	-	-	170.41
S&P 500	-0.16	6.19	-0.16	19.27	40.10	-	-	66.28
+/- S&P 500	3.49	2.54	3.49	6.37	22.42	-	-	104.13

Strategy Description

Summary

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

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.

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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.

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Index:

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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
-21.43	4	15	1/1/2018	5/1/2018
-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

Consecutive Gains

Run-up	Length (Mos.)	Start	End
34.20	3	9/1/2015	11/1/2015
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

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-17.16	1	5/1/2018	5/1/2018
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	53.00	51.00	48.00	42.00	36.00	30.00	18.00
Percent Profitable	69.81	72.55	77.08	92.86	97.22	100.00	100.00
Average Period Return	2.09	5.52	10.07	20.61	31.03	42.23	68.45
Average Gain	4.70	9.51	14.89	22.72	32.03	42.23	68.45
Average Loss	-3.96	-5.02	-6.16	-6.85	-4.16
Best Period	22.54	34.20	34.14	52.72	79.02	84.23	115.41
Worst Period	-17.16	-19.05	-15.45	-10.05	-4.16	16.44	48.62
Standard Deviation	6.34	9.76	11.63	14.90	20.70	21.10	17.37
Gain Standard Deviation	5.14	7.89	8.18	13.22	20.09	21.10	17.37
Loss Standard Deviation	4.45	5.39	4.38	3.47
Sharpe Ratio (1%)	0.32	0.54	0.82	1.32	1.43	1.91	3.77
Average Gain / Average Loss	1.19	1.89	2.42	3.32	7.70
Profit / Loss Ratio	2.74	5.00	8.13	43.13	269.50
Downside Deviation (10%)	3.37	4.26	4.59	3.48	2.44
Downside Deviation (5%)	3.25	3.88	3.76	2.23	0.95
Downside Deviation (0%)	3.22	3.79	3.56	1.98	0.69
Sortino Ratio (10%)	0.50	1.01	1.65	4.48	9.62
Sortino Ratio (5%)	0.62	1.36	2.54	8.78	31.08
Sortino Ratio (0%)	0.65	1.46	2.83	10.41	44.75

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.

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Quantamental Global Macro	25.26%

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120 Capital Management : Quantamental Global Macro

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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