Conquest Capital Group : Conquest Macro

archived programs
Year-to-Date
N / A
Oct Performance
-2.52%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.91%
Sharpe (RFR=1%)
0.18
CAROR
2.76%
Assets
$ 119.0M
Worst DD
-60.04
S&P Correlation
-0.37

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
5/1999
Conquest Macro -2.52 -4.32 - -29.01 -20.17 -27.64 -30.18 65.47
S&P 500 1.34 3.35 - 19.90 26.32 80.52 64.51 95.79
+/- S&P 500 -3.86 -7.68 - -48.91 -46.49 -108.16 -94.69 -30.32

Strategy Description

Summary

Conquest Macro is a systematic trading strategy that captures short-term price movements in futures and FX markets. The program itself consists of four independent strategies: a short-term longvolatility strategy, a short-term trend-following strategy, a short-term counter-trend strategy,... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3162 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
-27.78%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency Futures
40.00%
Interest Rates
35.00%
Stock Indices
15.00%
Industrial Metals
5.00%
Energy
5.00%
Composition Pie Chart

Summary

Conquest Macro is a systematic trading strategy that captures short-term price movements in futures and FX markets. The program itself consists of four independent strategies: a short-term longvolatility strategy, a short-term trend-following strategy, a short-term counter-trend strategy, and a risk capture strategy. These four strategies operate in parallel to invest in approximately 30 of the most liquid global foreign exchange, fixed income, equity, and physical commodity markets. The selected markets constitute a portfolio that is balanced both in terms of geography and asset mix. This diversification of assets and non-optimized risk allocations contribute to the robustness and stability of the returns.

Investment Strategy

Conquest uses quantitative models to ensure disciplined investment decisions. In order to maximize the diversification benefits of the markets traded, Conquest uses several trading systems. Within each system, the parameters are the same for all markets traded. Each model takes advantage of market moves that occur in different time frames, and works totally independently of the other systems. What is considered trend-following in one time frame is counter-trend in another time frame. The first strategy exploits short-term price/time/volatility relationships present in fixed income, foreign exchange, energy, metal and stock index markets. The strategy looks for certain short-term price/volatility relationships to enter the market. Specifically, it takes advantage of low market volatility points where one can enter with a high reward potential (a tight stop with low likelihood of being stopped out due to market noise). The strategy uses a combination of time/price/volatility stops on all positions at all times. Trade duration varies by system but lasts up to a week, with the average trade lasting 3.3 days. The second strategy looks to capture market movements that constitute a short-term trend. The average trade length is 7.7 days. This strategy combines time and price data for exiting positions. The third strategy exploits counter-trend opportunities within longer-term trends. Again, what is considered trend-following in one time frame is counter-trend in another time frame. For example, some systems in this strategy may enter during a retracement in a long-term trend, counter to the most recent price action, while others may follow the most recent price move, but only if it is counter to a longer-term trend. Typical entry points are when trends are reversing abruptly, causing losses to long-term trend-followers. This strategy is profitable on its own and is of further advantage due to its risk reduction characteristics and its low to negative correlation with the other strategies. The average trade length is 3.1 days. The fourth strategy was integrated into the portfolio at the beginning of 2010 and leverages the sensitivity of assets and hedge fund strategies to market risk appetite. By selectively employing a variety of risk capture trades, the strategy is expected to improve performance during risk-seeking periods. The strategy is activated using a smoothing function on the Conquest Risk Aversion Index and does not trade during periods that are expected to be risk-averse. The average trade length has been approximately one month since the strategy launch. As an overlay, the weighting of the previously described strategies is adjusted based on our proprietary index of market risk appetite. In periods of high risk aversion and low risk appetite, in which the portfolio exhibits outsized positive expectation, strategies are run at full leverage. In periods of high risk appetite, the leverage of the portfolio is reduced by approximately one-third. This adjustment is made to reduce the likelihood and expected depth of drawdowns.

Risk Management

Risk management procedures are incorporated in the stop-loss and position size calculations for our systems. Risk management is inherent to our goal of maximizing the average return divided by the largest cumulative drawdown. After creating a robust system and a well-diversified portfolio that maximizes our return/LCD, we select our level of exposure so that the maximum hypothetical drawdown is well below our acceptable real-time drawdown level. We do not use risk management procedures that depend on portfolio rather than market information, as we did not find them to be a positive contributor to annual return/LCD. All systems have volatility-based stops for positions in the market. Position sizes are based on price volatility to equalize risk at the trade initiation time for all markets within each system.

   

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
-60.04 99 - 7/1/2009 10/1/2017
-16.17 18 13 9/1/2003 3/1/2005
-14.93 13 4 5/1/2006 6/1/2007
-10.77 2 6 12/1/2000 2/1/2001
-10.22 1 5 3/1/2003 4/1/2003
-8.64 1 2 10/1/2001 11/1/2001
-7.64 3 3 1/1/2009 4/1/2009
-7.58 1 1 1/1/2002 2/1/2002
-7.49 4 3 6/1/1999 10/1/1999
-6.72 4 2 5/1/2000 9/1/2000
-6.40 1 2 6/1/2008 7/1/2008
-5.64 1 1 4/1/2008 5/1/2008
-5.54 1 2 12/1/2002 1/1/2003
-3.67 1 1 4/1/2002 5/1/2002
-2.90 1 1 3/1/2000 4/1/2000
-2.63 1 1 1/1/0001 5/1/1999
-2.50 1 3 7/1/2002 8/1/2002
-1.52 1 1 1/1/2000 2/1/2000
-1.12 1 1 8/1/2001 9/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
63.86 10 7/1/2007 4/1/2008
33.10 3 10/1/2000 12/1/2000
30.53 6 8/1/2008 1/1/2009
24.28 2 1/1/2016 2/1/2016
24.16 2 3/1/2002 4/1/2002
23.06 3 7/1/2011 9/1/2011
20.31 6 1/1/2010 6/1/2010
19.96 2 7/1/2015 8/1/2015
19.38 2 12/1/2013 1/1/2014
17.61 2 4/1/2006 5/1/2006
15.12 4 4/1/2016 7/1/2016
14.95 1 5/1/2012 5/1/2012
13.40 1 1/1/2015 1/1/2015
13.18 3 5/1/2009 7/1/2009
11.99 1 3/1/2001 3/1/2001
11.82 3 11/1/2005 1/1/2006
10.80 3 10/1/2004 12/1/2004
10.25 2 12/1/2001 1/1/2002
10.24 1 8/1/2010 8/1/2010
9.89 3 11/1/1999 1/1/2000
8.72 2 11/1/2002 12/1/2002
8.63 1 5/1/2003 5/1/2003
8.60 2 7/1/2001 8/1/2001
8.41 2 2/1/2003 3/1/2003
8.38 3 7/1/2003 9/1/2003
8.08 1 5/1/2000 5/1/2000
8.06 1 6/1/2008 6/1/2008
8.01 3 10/1/2006 12/1/2006
7.68 2 6/1/2002 7/1/2002
7.16 1 3/1/2000 3/1/2000
5.85 3 4/1/2005 6/1/2005
5.05 1 10/1/2001 10/1/2001
4.01 1 11/1/2015 11/1/2015
3.97 2 8/1/2013 9/1/2013
3.81 1 2/1/2013 2/1/2013
3.77 1 5/1/2001 5/1/2001
3.74 2 4/1/2013 5/1/2013
3.66 2 3/1/2007 4/1/2007
3.02 1 8/1/2000 8/1/2000
2.86 1 6/1/1999 6/1/1999
2.80 3 12/1/2003 2/1/2004
2.77 2 10/1/2014 11/1/2014
2.72 1 8/1/2017 8/1/2017
2.66 1 8/1/2005 8/1/2005
2.09 1 11/1/2011 11/1/2011
2.05 1 7/1/2012 7/1/2012
1.99 2 7/1/2014 8/1/2014
1.93 2 4/1/2011 5/1/2011
1.88 1 3/1/2015 3/1/2015
1.58 1 9/1/2002 9/1/2002
1.38 2 4/1/2004 5/1/2004
1.13 1 5/1/2014 5/1/2014
1.12 1 9/1/1999 9/1/1999
1.05 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-32.31 6 8/1/2012 1/1/2013
-22.66 7 9/1/2010 3/1/2011
-22.64 5 8/1/2009 12/1/2009
-21.59 7 1/1/2017 7/1/2017
-16.42 4 8/1/2016 11/1/2016
-15.88 5 12/1/2011 4/1/2012
-14.15 1 6/1/2012 6/1/2012
-14.12 1 10/1/2011 10/1/2011
-13.97 4 6/1/2006 9/1/2006
-12.35 4 6/1/2004 9/1/2004
-12.00 3 4/1/2015 6/1/2015
-11.61 1 3/1/2016 3/1/2016
-10.77 2 1/1/2001 2/1/2001
-10.73 3 1/1/2005 3/1/2005
-10.32 2 9/1/2015 10/1/2015
-10.22 1 4/1/2003 4/1/2003
-9.96 1 12/1/2015 12/1/2015
-9.20 3 2/1/2014 4/1/2014
-9.12 2 5/1/2007 6/1/2007
-9.09 1 7/1/2010 7/1/2010
-8.64 1 11/1/2001 11/1/2001
-7.64 3 2/1/2009 4/1/2009
-7.58 1 2/1/2002 2/1/2002
-6.86 2 9/1/2017 10/1/2017
-6.62 2 6/1/2000 7/1/2000
-6.40 1 7/1/2008 7/1/2008
-5.74 1 4/1/2001 4/1/2001
-5.67 2 10/1/2003 11/1/2003
-5.64 1 5/1/2008 5/1/2008
-5.54 1 1/1/2003 1/1/2003
-5.26 1 10/1/1999 10/1/1999
-4.21 2 10/1/2013 11/1/2013
-3.92 2 2/1/2006 3/1/2006
-3.80 1 3/1/2013 3/1/2013
-3.67 1 5/1/2002 5/1/2002
-3.62 1 6/1/2011 6/1/2011
-3.44 2 7/1/1999 8/1/1999
-3.11 1 12/1/2014 12/1/2014
-3.03 1 9/1/2000 9/1/2000
-2.90 1 4/1/2000 4/1/2000
-2.81 2 1/1/2007 2/1/2007
-2.63 1 5/1/1999 5/1/1999
-2.50 1 8/1/2002 8/1/2002
-2.32 1 6/1/2001 6/1/2001
-2.00 1 6/1/2003 6/1/2003
-1.96 1 7/1/2005 7/1/2005
-1.64 1 3/1/2004 3/1/2004
-1.59 2 9/1/2005 10/1/2005
-1.52 1 2/1/2000 2/1/2000
-1.46 1 6/1/2014 6/1/2014
-1.15 2 6/1/2013 7/1/2013
-1.12 1 9/1/2001 9/1/2001
-0.52 1 10/1/2002 10/1/2002
-0.47 1 2/1/2015 2/1/2015
-0.28 1 9/1/2014 9/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods222.00220.00217.00211.00205.00199.00187.00175.00163.00
Percent Profitable50.9055.0060.8362.0961.9562.8165.2465.7162.58
Average Period Return0.391.142.465.819.8013.4720.5524.8227.59
Average Gain4.597.4310.6517.9625.9333.3045.0953.4064.51
Average Loss-3.97-6.54-10.24-14.09-16.47-20.02-25.49-29.96-34.16
Best Period20.6333.1038.3167.0892.22102.28100.85131.74129.66
Worst Period-14.15-20.75-32.31-39.92-49.79-46.46-51.57-55.09-51.58
Standard Deviation5.759.0313.0920.3127.0133.0543.7049.9253.14
Gain Standard Deviation4.256.388.9114.2619.9924.0132.6335.5627.99
Loss Standard Deviation3.354.886.9610.7712.2813.1915.3416.1810.55
Sharpe Ratio (1%)0.050.100.150.240.310.350.400.420.42
Average Gain / Average Loss1.161.141.041.271.571.661.771.781.89
Profit / Loss Ratio1.201.391.612.092.562.813.323.423.16
Downside Deviation (10%)3.866.159.0613.5016.6920.2126.3332.0038.46
Downside Deviation (5%)3.685.608.0011.3913.4015.6319.0722.0324.86
Downside Deviation (0%)3.635.477.7410.8912.6414.5917.5119.9021.85
Sortino Ratio (10%)0.00-0.010.000.060.130.160.180.100.00
Sortino Ratio (5%)0.080.160.250.420.620.730.920.940.90
Sortino Ratio (0%)0.110.210.320.530.770.921.171.251.26

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 7 9.93 6/2016
Trend Following Strategy Index Month 7 9.93 6/2016
Diversified Trader Index Month 8 9.93 6/2016
Systematic Trader Index Month 9 9.93 6/2016
Trend Following Strategy Index Month 8 0.94 5/2016
Trend Following Strategy Index Month 9 3.13 4/2016
Systematic Trader Index Month 10 8.00 2/2016
Diversified Trader Index Month 10 8.00 2/2016
Trend Following Strategy Index Month 7 8.00 2/2016
IASG CTA Index Month 6 8.00 2/2016
Trend Following Strategy Index Month 2 15.07 1/2016
IASG CTA Index Month 3 15.07 1/2016
Systematic Trader Index Month 3 15.07 1/2016
Diversified Trader Index Month 3 15.07 1/2016
Diversified Trader Index Month 2 17.82 8/2015
Systematic Trader Index Month 2 17.82 8/2015
Trend Following Strategy Index Month 1 17.82 8/2015
IASG CTA Index Month 2 17.82 8/2015
Diversified Trader Index Month 1 12.96 1/2014
IASG CTA Index Month 2 12.96 1/2014
Trend Following Strategy Index Month 1 12.96 1/2014
Systematic Trader Index Month 1 12.96 1/2014
Trend Following Strategy Index Month 8 5.68 12/2013
Trend Following Strategy Index Month 5 11.19 9/2011
Systematic Trader Index Month 10 11.19 9/2011
Systematic Trader Index Month 9 11.92 5/2010
Trend Following Strategy Index Month 9 11.92 5/2010
IASG CTA Index Month 10 11.92 5/2010
Diversified Trader Index Month 7 11.92 5/2010
Trend Following Strategy Index Month 5 5.49 7/2009
Trend Following Strategy Index Month 4 2.13 6/2009
Diversified Trader Index Month 6 6.20 1/2009
Trend Following Strategy Index Month 2 6.20 1/2009
Systematic Trader Index Month 8 6.20 1/2009
Trend Following Strategy Index Month 10 4.17 3/2008
Diversified Trader Index Month 3 11.55 7/2007
Trend Following Strategy Index Month 4 11.55 7/2007
Systematic Trader Index Month 4 11.55 7/2007
IASG CTA Index Month 5 11.55 7/2007
Trend Following Strategy Index Month 8 1.29 3/2007
IASG CTA Index Month 9 5.35 5/2006
Systematic Trader Index Month 8 5.35 5/2006
Trend Following Strategy Index Month 7 5.35 5/2006
Diversified Trader Index Month 8 5.35 5/2006
Trend Following Strategy Index Month 8 1.25 4/2005
Systematic Trader Index Month 8 3.80 12/2004
Trend Following Strategy Index Month 7 3.80 12/2004
IASG CTA Index Month 10 3.80 12/2004
Diversified Trader Index Month 8 3.80 12/2004
Diversified Trader Index Month 7 0.18 4/2004
Trend Following Strategy Index Month 4 0.18 4/2004
IASG CTA Index Month 2 6.89 3/2003
Systematic Trader Index Month 1 6.89 3/2003
Trend Following Strategy Index Month 1 6.89 3/2003
Diversified Trader Index Month 2 6.89 3/2003
IASG CTA Index 3 Year Rolling 9 98.27 1999 - 2002
Systematic Trader Index Month 8 2.08 11/2002
Diversified Trader Index Month 6 2.08 11/2002
Trend Following Strategy Index Month 5 2.08 11/2002
Trend Following Strategy Index Month 6 -0.52 10/2002
Diversified Trader Index Month 6 2.93 4/2002
Trend Following Strategy Index Month 4 2.93 4/2002
Systematic Trader Index Month 7 2.93 4/2002
IASG CTA Index Month 10 2.93 4/2002
Systematic Trader Index Month 2 20.63 3/2002
Trend Following Strategy Index Month 2 20.63 3/2002
Diversified Trader Index Month 2 20.63 3/2002
IASG CTA Index Month 2 20.63 3/2002
IASG CTA Index Month 2 6.14 1/2002
Trend Following Strategy Index Month 1 6.14 1/2002
Systematic Trader Index Month 1 6.14 1/2002
Diversified Trader Index Month 1 6.14 1/2002
Trend Following Strategy Index Month 8 3.59 7/2001
Diversified Trader Index Month 9 3.59 7/2001
Systematic Trader Index Month 10 3.59 7/2001
Trend Following Strategy Index Month 9 3.77 5/2001
Diversified Trader Index Month 10 3.77 5/2001
IASG CTA Index Year Rolling 8 43.35 1999 - 2000
Systematic Trader Index Month 8 4.69 10/2000
Trend Following Strategy Index Month 6 4.69 10/2000
Diversified Trader Index Month 10 4.69 10/2000
IASG CTA Index Month 10 4.69 10/2000
Trend Following Strategy Index Month 9 8.08 5/2000
Diversified Trader Index Month 1 7.16 3/2000
Trend Following Strategy Index Month 2 7.16 3/2000
IASG CTA Index Month 3 7.16 3/2000
Systematic Trader Index Month 3 7.16 3/2000
Trend Following Strategy Index Month 4 4.25 1/2000
Diversified Trader Index Month 8 4.25 1/2000
Systematic Trader Index Month 9 4.25 1/2000
IASG CTA Index Month 10 4.25 1/2000
Trend Following Strategy Index Month 9 0.00 5/1999

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