DQS : Absolute Return Fund

archived programs
Year-to-Date
N / A
Dec Performance
3.48%
Min Investment
€ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.36%
Sharpe (RFR=1%)
0.16
CAROR
2.31%
Assets
€ 2.2M
Worst DD
-27.58
S&P Correlation
-0.16

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
8/2006
Absolute Return Fund 3.48 - - - - - 2.90 15.79
S&P 500 0.71 - - - - - 62.07 165.69
+/- S&P 500 2.77 - - - - - -59.17 -149.90

Strategy Description

Summary

-DQS Absolute Return Fund has an active investment policy using statistical models, these models can be divided into three main categories: Managed Futures, Index Strategies and Equity Strategies. As a results of this policy the Fund manages... Read More

Account & Fees

Type Fund
Minimum Investment € 100k
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
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
10.00%
Momentum
10.00%
Pattern Recognition
10.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Summary

-DQS Absolute Return Fund has an active investment policy using statistical models, these models can be divided into three main categories: Managed Futures, Index Strategies and Equity Strategies. As a results of this policy the Fund manages a highly diversified portfolio in a very disciplined way.

   

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
-27.58 19 - 12/1/2008 7/1/2010
-17.06 7 3 2/1/2008 9/1/2008
-6.90 2 1 6/1/2007 8/1/2007
-5.51 2 2 12/1/2006 2/1/2007
-1.52 1 3 8/1/2006 9/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
37.63 6 9/1/2007 2/1/2008
23.43 3 10/1/2008 12/1/2008
22.84 5 8/1/2010 12/1/2010
16.44 3 2/1/2011 4/1/2011
13.61 4 3/1/2007 6/1/2007
11.31 2 11/1/2011 12/1/2011
11.05 1 7/1/2012 7/1/2012
9.25 2 4/1/2009 5/1/2009
6.82 1 11/1/2009 11/1/2009
5.05 2 5/1/2008 6/1/2008
4.28 2 11/1/2012 12/1/2012
4.12 3 10/1/2006 12/1/2006
3.87 2 7/1/2011 8/1/2011
3.86 2 4/1/2012 5/1/2012
2.23 1 2/1/2009 2/1/2009
1.86 1 8/1/2009 8/1/2009
1.12 1 5/1/2010 5/1/2010
1.01 1 2/1/2010 2/1/2010
0.29 1 8/1/2006 8/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.27 3 7/1/2008 9/1/2008
-15.33 3 8/1/2012 10/1/2012
-12.97 2 9/1/2011 10/1/2011
-12.12 2 9/1/2009 10/1/2009
-11.59 3 1/1/2012 3/1/2012
-10.46 2 12/1/2009 1/1/2010
-9.02 2 6/1/2009 7/1/2009
-8.96 1 3/1/2009 3/1/2009
-6.90 2 7/1/2007 8/1/2007
-5.84 1 6/1/2012 6/1/2012
-5.79 2 5/1/2011 6/1/2011
-5.70 2 3/1/2008 4/1/2008
-5.51 2 1/1/2007 2/1/2007
-4.73 1 1/1/2009 1/1/2009
-3.93 1 1/1/2011 1/1/2011
-3.60 2 6/1/2010 7/1/2010
-2.54 2 3/1/2010 4/1/2010
-1.52 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods77.0075.0072.0066.0060.0054.0042.0030.00
Percent Profitable55.8452.0056.9459.0958.3361.1152.3870.00
Average Period Return0.330.842.014.727.197.343.329.89
Average Gain3.977.2110.0016.5321.4819.0111.3819.20
Average Loss-4.28-6.07-8.56-12.34-12.81-11.00-5.55-11.82
Best Period13.0023.4337.6345.5841.0545.1530.2937.28
Worst Period-11.72-16.27-17.30-23.47-25.65-23.17-12.40-20.04
Standard Deviation5.308.3111.3817.1119.5517.8511.1717.52
Gain Standard Deviation3.395.317.6311.0311.0211.679.3811.43
Loss Standard Deviation3.304.615.156.517.276.933.755.38
Sharpe Ratio (1%)0.050.070.130.220.290.300.030.33
Average Gain / Average Loss0.931.191.171.341.681.732.051.62
Profit / Loss Ratio1.171.291.551.942.352.712.253.79
Downside Deviation (10%)3.795.967.9811.8613.9914.0816.2120.05
Downside Deviation (5%)3.615.396.819.4610.329.156.479.13
Downside Deviation (0%)3.575.256.528.899.468.054.597.05
Sortino Ratio (10%)-0.02-0.07-0.06-0.02-0.03-0.21-0.77-0.58
Sortino Ratio (5%)0.070.110.220.390.550.580.040.64
Sortino Ratio (0%)0.090.160.310.530.760.910.721.40

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.