120 Capital Management : Quantamental Global Macro Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.78% Feb Performance 1.90% Min Investment $ 250k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 23.57% Sharpe (RFR=1%) 0.87 CAROR 20.55% Assets $ 3.1M Worst DD -22.31 S&P Correlation 0.47 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since9/2015 Quantamental Global Macro 1.90 4.00 0.78 16.65 24.00 108.35 - 179.49 S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 - 102.85 +/- S&P 500 -4.04 -4.64 -3.98 -16.54 -20.99 6.78 - 76.64 Strategy Description Summary120 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% Composition Interest Rates 35.00% Stock Indices 35.00% Currency Futures 10.00% Energy 10.00% Precious Metals 5.00% Other 5.00% Summary120 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 Strategy120 Capital primarily focuses on long term, fundamental drivers of asset prices. Risk ManagementAll 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 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 -1.10 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 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 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 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 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 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods66.0064.0061.0055.0049.0043.0031.0019.00 Percent Profitable66.6767.1972.1387.2795.9297.67100.00100.00 Average Period Return1.794.848.4416.5326.0834.5551.1481.08 Average Gain5.0710.2914.8219.7327.3035.4951.1481.08 Average Loss-4.76-6.31-8.07-5.40-2.69-4.62 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 Deviation6.8010.8312.7015.3020.0522.1225.2223.23 Gain Standard Deviation5.287.998.0913.6219.5421.5225.2223.23 Loss Standard Deviation4.346.395.193.222.08 Sharpe Ratio (1%)0.250.420.631.021.231.471.913.32 Average Gain / Average Loss1.061.631.843.6610.167.68 Profit / Loss Ratio2.133.344.7625.08238.65322.54 Downside Deviation (10%)3.865.606.174.102.752.74 Downside Deviation (5%)3.725.185.252.520.901.02 Downside Deviation (0%)3.685.085.022.200.620.70 Sortino Ratio (10%)0.360.650.972.816.718.87 Sortino Ratio (5%)0.460.891.516.1527.2432.02 Sortino Ratio (0%)0.490.951.687.5242.1249.03 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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