COGITAM : COGITAM Systematic Program

archived programs
Year-to-Date
N / A
Mar Performance
1.04%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.38%
Sharpe (RFR=1%)
-0.03
CAROR
-0.03%
Assets
$ 18.0M
Worst DD
-17.08
S&P Correlation
-0.12

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
9/2007
COGITAM Systematic Program 1.04 - - - - - -7.71 -0.19
S&P 500 3.60 - - - - - 84.98 111.96
+/- S&P 500 -2.56 - - - - - -92.69 -112.15

Strategy Description

Summary

This program is only available on managed accounts for QEP. This program is also available in a UCITS IV fund "COGITAM Absolute Return" only within jurisdictions in which its marketing and promotion are authorized. The performances displayed are the performances of the fund.

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Account & Fees

Type Fund
Minimum Investment $ 10k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 6523 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD 13.53%
Worst Peak-to-Trough -14.30%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 90.00%
Intraday 10.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
10.00%
Momentum
20.00%
Trend-following
40.00%
Other
30.00%
Strategy Pie Chart

Composition

Stock Indices
67.00%
Interest Rates
33.00%
Composition Pie Chart

Summary

This program is only available on managed accounts for QEP. This program is also available in a UCITS IV fund "COGITAM Absolute Return" only within jurisdictions in which its marketing and promotion are authorized. The performances displayed are the performances of the fund.

Investment Strategy

Our goal is to obtain a performance which is absolutely uncorrelated to the market during the recommended investment period, with an annual volatility goal of 15% in average market volatility. The dynamic aspect of this fund is systematic and covers interventions on organized financial futures markets of stocks, debt instruments, Bund (Eurex), Eurostoxx50 (Eurex), CAC40 (NYSE/LIFFE). The portfolio of this fund, which is managed by SGP ECOFI INVESTISSEMENTS, respects a prudent monetary policy. It is principally made-up of government securities and pensions on these.

Risk Management

We invest only on extreme liquid markets and on simple financial instruments (futures). We use two limits on risk: the 95% VaR 5 days and the maximum exposure levels by asset class. For each system we attribute a risk budget. A system takes a varying position (from zero to the max limit) and cannot go beyond these boundaries. The VaR limit varies with volatility and correlation.

   

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
-17.08 17 - 9/1/2011 2/1/2013
-13.53 7 19 7/1/2009 2/1/2010
-8.11 3 6 12/1/2007 3/1/2008
-5.67 1 1 3/1/2009 4/1/2009
-2.85 1 2 9/1/2007 10/1/2007
-2.54 1 2 11/1/2008 12/1/2008
-1.99 1 1 9/1/2008 10/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
13.19 3 5/1/2009 7/1/2009
9.95 2 6/1/2011 7/1/2011
8.27 3 7/1/2008 9/1/2008
7.35 4 3/1/2010 6/1/2010
6.31 1 9/1/2012 9/1/2012
5.87 1 11/1/2008 11/1/2008
5.71 2 4/1/2012 5/1/2012
5.64 3 12/1/2010 2/1/2011
4.90 2 4/1/2008 5/1/2008
3.97 2 11/1/2007 12/1/2007
3.91 3 1/1/2009 3/1/2009
3.01 1 9/1/2011 9/1/2011
2.31 1 11/1/2012 11/1/2012
1.57 1 4/1/2011 4/1/2011
1.31 1 8/1/2010 8/1/2010
1.29 1 1/1/2012 1/1/2012
1.29 1 10/1/2010 10/1/2010
1.07 1 7/1/2012 7/1/2012
1.04 1 3/1/2013 3/1/2013
0.94 1 9/1/2007 9/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.53 7 8/1/2009 2/1/2010
-11.00 3 12/1/2012 2/1/2013
-8.11 3 1/1/2008 3/1/2008
-6.61 3 10/1/2011 12/1/2011
-6.59 1 5/1/2011 5/1/2011
-5.67 1 4/1/2009 4/1/2009
-5.07 1 6/1/2012 6/1/2012
-4.53 1 10/1/2012 10/1/2012
-3.98 1 8/1/2012 8/1/2012
-2.91 1 3/1/2011 3/1/2011
-2.85 1 10/1/2007 10/1/2007
-2.59 2 2/1/2012 3/1/2012
-2.54 1 12/1/2008 12/1/2008
-1.99 1 10/1/2008 10/1/2008
-1.90 1 9/1/2010 9/1/2010
-1.32 1 11/1/2010 11/1/2010
-0.93 1 6/1/2008 6/1/2008
-0.83 1 7/1/2010 7/1/2010
-0.06 1 8/1/2011 8/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods67.0065.0062.0056.0050.0044.0032.0020.00
Percent Profitable52.2456.9256.4553.5768.0075.0075.0085.00
Average Period Return0.050.240.712.483.543.976.039.31
Average Gain2.513.755.048.307.416.899.3912.14
Average Loss-2.64-4.39-4.92-4.22-4.69-4.80-4.07-6.72
Best Period8.3613.1912.5220.4123.9816.5619.4719.51
Worst Period-8.42-11.00-12.34-10.95-16.22-13.54-8.29-9.94
Standard Deviation3.285.126.057.708.086.677.728.88
Gain Standard Deviation2.093.253.335.556.244.375.605.75
Loss Standard Deviation1.983.023.642.744.614.172.355.53
Sharpe Ratio (1%)-0.010.000.030.190.250.290.390.59
Average Gain / Average Loss0.950.851.031.971.581.442.311.81
Profit / Loss Ratio1.041.131.332.273.354.316.9210.23
Downside Deviation (10%)2.504.185.436.638.019.0012.3214.99
Downside Deviation (5%)2.313.614.284.004.333.963.734.60
Downside Deviation (0%)2.273.484.013.413.673.122.313.14
Sortino Ratio (10%)-0.14-0.24-0.32-0.38-0.51-0.70-0.79-0.82
Sortino Ratio (5%)-0.010.000.050.370.470.490.801.14
Sortino Ratio (0%)0.020.070.180.730.961.272.612.97

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.