Conquest Capital Group : Conquest Select

archived programs
Year-to-Date
N / A
Dec Performance
3.55%
Min Investment
$ 250k
Mgmt. Fee
1.00%
Perf. Fee
0%
Annualized Vol
11.40%
Sharpe (RFR=1%)
0.26
CAROR
3.35%
Assets
$ 59.0M
Worst DD
-17.88
S&P Correlation
-0.28

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
6/2004
Conquest Select 3.55 1.08 - -1.40 -6.83 13.39 -0.05 61.69
S&P 500 -9.18 -13.97 - -6.24 21.41 34.26 174.69 117.48
+/- S&P 500 12.73 15.05 - 4.84 -28.24 -20.87 -174.73 -55.80

Strategy Description

Summary

Conquest Managed Futures Select is designed to provide institutional investors with transparent and non-optimized exposure to the managed futures sector. Medium- and long-term trend-followers, which account for roughly 90% of the managed futures space, tend to generate extremely... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
0%
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
650 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
19.64%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
26.00%
Interest Rates
23.00%
Stock Indices
23.00%
Energy
10.00%
Industrial Metals
8.00%
Grains
4.00%
Precious Metals
2.00%
Livestock
2.00%
Softs
2.00%
Composition Pie Chart

Summary

Conquest Managed Futures Select is designed to provide institutional investors with transparent and non-optimized exposure to the managed futures sector. Medium- and long-term trend-followers, which account for roughly 90% of the managed futures space, tend to generate extremely correlated and nearly commoditized return streams. The return streams are only marginally different than the most simple and, therefore, robust breakout models. Conquest MFS is designed to replicate exposure to this commoditized trendfollowing on multiple time frames, ranging from 5 days to 200 days. It consists of 20 breakout strategies using Conquest’s volatility based risk management methodology. Much in the same way that stock index funds outperform a large percentage of actively managed mutual funds, we have found that a trend-following “index fund” outperforms most actively managed trend-following programs. We designed Conquest MFS to become the “index fund of trend-following.” The goal is to provide pure trend-following “beta”, which is an important allocation to any hedge fund portfolio.

Investment Strategy

MFS’s trading methodology is based on a diversified set of Nth-day break-out systems. Each system will enter a market long if the price exceeds its Nth day high and short if the price dips below its Nth day low. These systems are classified as short-term (0 – 20 days), medium-term (21 − 60 days) and longer-term (61 − 200 days) trend-following. The portfolio trades foreign exchange forwards and fixed-income, equity index, energy, metal, and soft commodity futures, with a view towards outperforming managed trend-following programs. The logic of each system is identical except for a single parameter. Within each system, the parameter is the same for all markets traded. Each market within a sector is traded by every system using equal weights, except for the less liquid markets, which are not traded by the shorter-term systems. Each system takes advantage of trends that occur in different time frames, and works independently of the other systems.

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. 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. Position sizes are based on price volatility to equalize risk at the trade initiation time for all markets within a sector.

   

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
-17.88 30 10 9/1/2011 3/1/2014
-17.85 33 - 2/1/2016 11/1/2018
-9.94 7 4 3/1/2015 10/1/2015
-8.90 19 7 12/1/2008 7/1/2010
-8.45 4 3 2/1/2011 6/1/2011
-8.44 2 2 6/1/2008 8/1/2008
-6.74 5 11 12/1/2004 5/1/2005
-6.37 2 2 6/1/2007 8/1/2007
-4.57 3 2 1/1/0001 8/1/2004
-4.52 2 2 2/1/2008 4/1/2008
-4.44 2 3 1/1/2007 3/1/2007
-2.96 2 3 5/1/2006 7/1/2006
-0.48 1 1 1/1/2015 2/1/2015
-0.45 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
29.89 4 9/1/2008 12/1/2008
16.26 3 11/1/2014 1/1/2015
11.70 3 12/1/2007 2/1/2008
11.16 3 3/1/2006 5/1/2006
10.78 1 3/1/2015 3/1/2015
10.23 6 4/1/2014 9/1/2014
10.16 3 7/1/2011 9/1/2011
9.60 4 9/1/2004 12/1/2004
9.54 3 12/1/2010 2/1/2011
9.54 2 1/1/2016 2/1/2016
9.23 2 5/1/2008 6/1/2008
7.94 2 9/1/2007 10/1/2007
7.01 3 4/1/2007 6/1/2007
6.63 1 5/1/2012 5/1/2012
6.06 6 8/1/2006 1/1/2007
6.05 2 12/1/2012 1/1/2013
5.71 1 1/1/2018 1/1/2018
5.58 1 9/1/2015 9/1/2015
4.90 2 6/1/2016 7/1/2016
3.99 3 10/1/2013 12/1/2013
3.58 1 8/1/2010 8/1/2010
3.55 1 12/1/2018 12/1/2018
2.90 1 8/1/2018 8/1/2018
2.86 1 10/1/2017 10/1/2017
2.74 3 3/1/2013 5/1/2013
2.70 1 10/1/2010 10/1/2010
2.60 1 5/1/2009 5/1/2009
2.46 1 4/1/2011 4/1/2011
2.39 2 11/1/2016 12/1/2016
2.38 1 7/1/2012 7/1/2012
2.35 1 11/1/2015 11/1/2015
2.30 2 11/1/2011 12/1/2011
2.16 1 1/1/2006 1/1/2006
2.04 1 6/1/2010 6/1/2010
2.02 1 11/1/2005 11/1/2005
1.95 2 8/1/2005 9/1/2005
1.80 1 6/1/2005 6/1/2005
1.70 3 4/1/2018 6/1/2018
1.42 3 7/1/2009 9/1/2009
1.24 1 2/1/2005 2/1/2005
1.23 1 2/1/2017 2/1/2017
1.16 1 11/1/2009 11/1/2009
1.03 1 7/1/2015 7/1/2015
0.54 1 2/1/2012 2/1/2012
0.52 1 4/1/2016 4/1/2016
0.42 1 2/1/2014 2/1/2014
0.39 1 5/1/2017 5/1/2017
0.17 1 2/1/2010 2/1/2010
0.03 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.76 2 2/1/2018 3/1/2018
-8.44 2 7/1/2008 8/1/2008
-8.20 1 10/1/2011 10/1/2011
-8.18 2 5/1/2011 6/1/2011
-6.99 4 6/1/2013 9/1/2013
-6.69 1 10/1/2015 10/1/2015
-6.60 1 6/1/2012 6/1/2012
-6.46 4 6/1/2017 9/1/2017
-6.37 2 7/1/2007 8/1/2007
-6.01 4 8/1/2012 11/1/2012
-5.97 1 3/1/2016 3/1/2016
-5.68 1 4/1/2015 4/1/2015
-5.55 4 1/1/2009 4/1/2009
-5.52 2 12/1/2009 1/1/2010
-4.60 3 3/1/2005 5/1/2005
-4.57 3 6/1/2004 8/1/2004
-4.52 2 3/1/2008 4/1/2008
-4.44 2 2/1/2007 3/1/2007
-4.03 1 5/1/2016 5/1/2016
-3.96 3 8/1/2016 10/1/2016
-3.87 3 9/1/2018 11/1/2018
-3.64 1 11/1/2010 11/1/2010
-3.58 2 3/1/2012 4/1/2012
-3.44 1 1/1/2005 1/1/2005
-3.31 1 1/1/2014 1/1/2014
-3.13 1 1/1/2017 1/1/2017
-2.96 2 6/1/2006 7/1/2006
-2.96 1 1/1/2012 1/1/2012
-2.95 1 6/1/2015 6/1/2015
-2.88 1 2/1/2013 2/1/2013
-2.68 1 3/1/2011 3/1/2011
-2.49 1 10/1/2005 10/1/2005
-2.39 1 3/1/2014 3/1/2014
-2.16 1 7/1/2010 7/1/2010
-2.03 1 2/1/2006 2/1/2006
-1.97 2 3/1/2017 4/1/2017
-1.86 1 7/1/2018 7/1/2018
-1.59 1 6/1/2009 6/1/2009
-1.39 1 9/1/2010 9/1/2010
-1.35 1 10/1/2014 10/1/2014
-1.18 1 8/1/2015 8/1/2015
-1.04 1 10/1/2009 10/1/2009
-0.83 1 12/1/2005 12/1/2005
-0.76 1 7/1/2005 7/1/2005
-0.71 2 11/1/2017 12/1/2017
-0.48 1 2/1/2015 2/1/2015
-0.45 1 11/1/2007 11/1/2007
-0.42 3 3/1/2010 5/1/2010
-0.05 1 12/1/2015 12/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods175.00173.00170.00164.00158.00152.00140.00128.00116.00
Percent Profitable53.1449.7149.4154.8858.8662.5065.7178.9187.93
Average Period Return0.330.971.974.066.529.2215.0420.7822.82
Average Gain2.574.857.1911.3115.1218.8326.6028.2227.23
Average Loss-2.21-2.86-3.12-4.76-5.77-6.80-7.11-7.07-9.30
Best Period17.0927.6728.3139.3746.8044.2263.2160.7064.49
Worst Period-8.20-9.29-10.13-12.27-13.72-16.68-16.89-12.35-14.07
Standard Deviation3.295.477.3610.8613.7115.7819.1720.1420.07
Gain Standard Deviation2.555.127.159.6111.4811.9512.6015.7317.14
Loss Standard Deviation1.892.012.152.623.303.704.123.134.07
Sharpe Ratio (1%)0.070.130.200.280.370.460.630.830.88
Average Gain / Average Loss1.161.702.302.382.622.773.743.992.93
Profit / Loss Ratio1.321.682.252.893.754.627.1714.9421.33
Downside Deviation (10%)2.213.234.296.929.0410.9913.8514.1416.29
Downside Deviation (5%)2.032.622.994.255.125.856.405.305.18
Downside Deviation (0%)1.992.472.693.644.264.734.803.543.51
Sortino Ratio (10%)-0.04-0.08-0.12-0.14-0.12-0.09-0.05-0.05-0.30
Sortino Ratio (5%)0.120.280.490.720.981.231.883.153.42
Sortino Ratio (0%)0.160.390.731.121.531.953.145.876.51

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 1.89 5/2018
Trend Following Strategy Index Month 8 9.56 1/2018
Trend Following Strategy Index Month 8 0.90 10/2016
IASG CTA Index Month 7 10.01 1/2016
Trend Following Strategy Index Month 8 10.01 1/2016
Diversified Trader Index Month 8 10.01 1/2016
Systematic Trader Index Month 9 10.01 1/2016
Trend Following Strategy Index Month 6 0.00 6/2004

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