IMC Asset Management : IMC Quantitative Indicator Fund (QIF) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance 2.77% Min Investment $ 100k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 8.50% Sharpe (RFR=1%) 0.83 CAROR 7.95% Assets $ 181.2M Worst DD -7.85 S&P Correlation -0.07 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2012 IMC Quantitative Indicator Fund (QIF) 2.77 6.20 - 10.14 23.72 - - 28.24 S&P 500 -1.74 0.44 - 10.44 46.82 - - 57.56 +/- S&P 500 4.51 5.76 - -0.31 -23.10 - - -29.33 Strategy Description SummaryThe IMC Quantitative Indicator Fund (QIF) seeks to generate consistent mid-teen returns by utilizing ~40 indicators derived from a proprietary set of macro factors. Minimum investment are in EUR currency.... Read More Account & Fees Type Fund Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 4400 RT/YR/$M Avg. Margin-to-Equity 21% Targeted Worst DD Worst Peak-to-Trough 4.48% 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 Fundamental 100.00% Composition SummaryThe IMC Quantitative Indicator Fund (QIF) seeks to generate consistent mid-teen returns by utilizing ~40 indicators derived from a proprietary set of macro factors. Minimum investment are in EUR currency.Investment StrategyQIF is a global macro fund that uses a large number of proprietary indicators, based mostly on fundamental data, to predict eventual directional moves in the major asset classes. The multi-factor model is predictive in nature (unlike the reactive nature of most systematic strategies) and exploits different market and investor biases using economic (as opposed to statistical) causal relationships. It has outperformed, and has shown a very favorable correlation pattern to, its peers. Fund Leadership: - Portfolio Manager: Otto van Hemert, former Portfolio Manager and Risk Committee Member at AQR Capital ManagementRisk ManagementWe systematically monitor and keep within preset limits the following characteristics of our holdings: volatility, correlation with the global stock market, correlation with the global bond market, leverage, concentration. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -7.85 3 - 9/1/2014 12/1/2014 -6.26 1 5 2/1/2014 3/1/2014 -4.47 4 3 7/1/2012 11/1/2012 -2.27 2 2 5/1/2013 7/1/2013 -0.16 1 1 12/1/2013 1/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 12.40 6 12/1/2012 5/1/2013 10.22 3 7/1/2014 9/1/2014 9.19 7 1/1/2012 7/1/2012 6.09 5 8/1/2013 12/1/2013 4.73 1 1/1/2015 1/1/2015 2.77 1 3/1/2015 3/1/2015 2.41 2 4/1/2014 5/1/2014 2.33 1 2/1/2014 2/1/2014 1.26 1 11/1/2014 11/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -6.95 1 10/1/2014 10/1/2014 -6.26 1 3/1/2014 3/1/2014 -4.47 4 8/1/2012 11/1/2012 -2.27 2 6/1/2013 7/1/2013 -2.20 1 12/1/2014 12/1/2014 -1.33 1 2/1/2015 2/1/2015 -0.29 1 6/1/2014 6/1/2014 -0.16 1 1/1/2014 1/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods39.0037.0034.0028.0022.0016.00 Percent Profitable69.2370.2776.4796.43100.00100.00 Average Period Return0.671.893.487.4811.9516.36 Average Gain1.863.914.977.7911.9516.36 Average Loss-2.00-2.89-1.35-0.68 Best Period4.7310.2212.5416.1117.7624.18 Worst Period-6.95-7.85-2.21-0.684.3512.07 Standard Deviation2.453.834.034.533.543.73 Gain Standard Deviation1.312.173.414.323.543.73 Loss Standard Deviation2.352.270.64 Sharpe Ratio (1%)0.240.430.741.432.953.85 Average Gain / Average Loss0.931.353.6811.46 Profit / Loss Ratio2.093.2011.96309.39 Downside Deviation (10%)1.832.551.951.730.92 Downside Deviation (5%)1.702.080.940.33 Downside Deviation (0%)1.671.970.720.13 Sortino Ratio (10%)0.140.260.521.434.76 Sortino Ratio (5%)0.340.793.1719.44 Sortino Ratio (0%)0.400.964.8658.28 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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