Episteme Capital Partners (UK), LLP : Episteme Systematic Quest (ESQ) Composite

Year-to-Date
14.72%
Jul Performance
2.20%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.08%
Sharpe (RFR=1%)
0.63
CAROR
5.94%
Assets
$ 864.3M
Worst DD
-9.95
S&P Correlation
0.17

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
9/2009
Episteme Systematic Quest (ESQ) Composite 2.20 8.25 14.72 23.13 25.68 59.06 - 77.20
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 - 179.03
+/- S&P 500 0.89 7.08 -4.16 17.31 -10.04 6.26 - -101.83

Strategy Description

Investment Strategy

Episteme Capital claims compliance with the Global Investment Performance Standards (GIPS (R)). Episteme Capital is an alternative investment management firm comprising of its parent holding company, Episteme Capital Partners (Cayman), Ltd, its London office affiliate,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
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
2600 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
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
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Investment Strategy

Episteme Capital claims compliance with the Global Investment Performance Standards (GIPS (R)). Episteme Capital is an alternative investment management firm comprising of its parent holding company, Episteme Capital Partners (Cayman), Ltd, its London office affiliate, Episteme Capital Partners (UK), LLP and it Rye Brook, NY office affiliate Episteme Capital Partners (US), LLC. EPISTEME SYSTEMATIC QUEST ("ESQ") is a multi-asset class systematic global macro strategy. ESQ's investment approach has a balanced combination of fundamental, technical, and liquidity strategies. The strategy trades the most liquid foreign exchange forwards and government bond, short term interest rate, equity index and commodity futures. The benchmark is the Societe Generale CTA Index (Bloomberg ticker NEIXCTA). Returns are presented in U.S. dollars net of model management and incentive fees. Further detail regarding the calculation of fees is provided in the GIPS compliant presentation. Leverage is embedded in the products which the ESQ strategy trades, namely futures and FX forwards. Consequently, leverage is utilized daily and is not due to the size of its balance sheet, but rather to the underlying market value of its derivatives positions.

   

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
-9.95 14 7 7/1/2016 9/1/2017
-8.99 16 10 8/1/2012 12/1/2013
-8.14 9 7 3/1/2015 12/1/2015
-8.08 7 8 4/1/2011 11/1/2011
-3.46 1 1 9/1/2018 10/1/2018
-2.66 1 1 4/1/2019 5/1/2019
-1.73 2 2 10/1/2010 12/1/2010
-1.24 1 1 2/1/2019 3/1/2019
-1.12 2 5 2/1/2010 4/1/2010
-1.03 1 1 2/1/2011 3/1/2011
-0.87 1 1 7/1/2018 8/1/2018
-0.81 1 1 1/1/0001 9/1/2009
-0.75 1 1 4/1/2018 5/1/2018
-0.37 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
26.76 8 6/1/2014 1/1/2015
13.15 4 11/1/2018 2/1/2019
11.20 2 6/1/2019 7/1/2019
10.96 5 10/1/2009 2/1/2010
8.67 3 6/1/2012 8/1/2012
8.37 2 12/1/2011 1/1/2012
7.50 4 1/1/2018 4/1/2018
7.08 2 10/1/2017 11/1/2017
6.11 2 1/1/2016 2/1/2016
5.58 3 5/1/2016 7/1/2016
3.24 3 8/1/2010 10/1/2010
3.22 1 4/1/2019 4/1/2019
3.05 1 9/1/2018 9/1/2018
2.79 2 1/1/2013 2/1/2013
2.63 1 3/1/2014 3/1/2014
2.47 1 4/1/2011 4/1/2011
2.24 2 6/1/2018 7/1/2018
2.08 2 1/1/2011 2/1/2011
1.91 1 7/1/2011 7/1/2011
1.64 1 4/1/2017 4/1/2017
1.40 1 3/1/2015 3/1/2015
1.38 1 10/1/2013 10/1/2013
1.05 1 7/1/2013 7/1/2013
0.98 1 9/1/2015 9/1/2015
0.86 1 5/1/2015 5/1/2015
0.83 1 11/1/2016 11/1/2016
0.66 1 1/1/2017 1/1/2017
0.65 1 5/1/2010 5/1/2010
0.59 2 7/1/2017 8/1/2017
0.53 1 1/1/2014 1/1/2014
0.33 1 4/1/2012 4/1/2012
0.32 1 10/1/2012 10/1/2012
0.15 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.60 4 3/1/2013 6/1/2013
-6.42 4 8/1/2011 11/1/2011
-4.99 1 10/1/2016 10/1/2016
-4.68 3 6/1/2015 8/1/2015
-3.61 2 5/1/2011 6/1/2011
-3.46 1 10/1/2018 10/1/2018
-3.13 1 9/1/2012 9/1/2012
-3.09 1 4/1/2015 4/1/2015
-2.96 1 12/1/2017 12/1/2017
-2.88 1 5/1/2012 5/1/2012
-2.69 2 5/1/2017 6/1/2017
-2.66 1 5/1/2019 5/1/2019
-2.36 3 10/1/2015 12/1/2015
-2.36 2 11/1/2013 12/1/2013
-2.21 1 12/1/2016 12/1/2016
-2.20 2 2/1/2017 3/1/2017
-2.04 2 4/1/2014 5/1/2014
-1.85 2 3/1/2016 4/1/2016
-1.73 2 11/1/2010 12/1/2010
-1.67 2 2/1/2012 3/1/2012
-1.24 1 3/1/2019 3/1/2019
-1.12 2 3/1/2010 4/1/2010
-1.05 1 8/1/2016 8/1/2016
-1.03 1 3/1/2011 3/1/2011
-0.97 1 9/1/2017 9/1/2017
-0.87 1 8/1/2018 8/1/2018
-0.81 1 9/1/2009 9/1/2009
-0.81 2 8/1/2013 9/1/2013
-0.75 1 5/1/2018 5/1/2018
-0.62 2 11/1/2012 12/1/2012
-0.56 2 6/1/2010 7/1/2010
-0.37 1 2/1/2015 2/1/2015
-0.13 1 2/1/2014 2/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods119.00117.00114.00108.00102.0096.0084.0072.0060.00
Percent Profitable53.7856.4164.0470.3766.6773.9684.5295.83100.00
Average Period Return0.511.452.674.786.688.2211.9416.8624.70
Average Gain2.124.155.898.6511.4012.1114.4217.6324.70
Average Loss-1.37-2.06-3.04-4.41-2.77-2.84-1.62-0.85
Best Period8.8115.1324.0227.2731.4338.8228.1933.8959.06
Worst Period-4.99-6.32-7.77-9.46-8.63-7.68-3.88-1.508.05
Standard Deviation2.334.146.208.6810.0710.579.178.6311.56
Gain Standard Deviation1.853.355.317.339.109.557.687.9611.56
Loss Standard Deviation1.091.752.312.542.162.091.150.56
Sharpe Ratio (1%)0.180.290.350.440.510.590.971.481.70
Average Gain / Average Loss1.552.021.931.964.124.278.9320.83
Profit / Loss Ratio1.802.613.444.668.2412.1148.75479.16
Downside Deviation (10%)1.422.463.635.546.677.909.009.278.38
Downside Deviation (5%)1.231.912.533.242.772.701.981.25
Downside Deviation (0%)1.191.782.282.762.011.790.770.20
Sortino Ratio (10%)0.070.090.06-0.04-0.14-0.26-0.42-0.51-0.35
Sortino Ratio (5%)0.350.630.861.161.872.304.5010.27
Sortino Ratio (0%)0.430.811.171.733.314.6015.5185.76

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 7 8.81 6/2019
Diversified Trader Index Month 9 8.81 6/2019
Systematic Trader Index Month 3 7.78 11/2018
Diversified Trader Index Month 3 7.78 11/2018
IASG CTA Index Month 4 7.78 11/2018
Diversified Trader Index Month 5 3.05 9/2018
IASG CTA Index Month 10 3.05 9/2018
Systematic Trader Index Month 8 3.05 9/2018
IASG CTA Index Month 10 3.05 9/2018
Systematic Trader Index Month 8 3.05 9/2018
Diversified Trader Index Month 5 3.05 9/2018
Diversified Trader Index Month 6 2.87 11/2017
Systematic Trader Index Month 10 2.87 11/2017

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