IMC Asset Management : IMC Quantitative Indicator Fund (QIF)

archived programs
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

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 Since
1/2012
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

Summary

The 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%
Strategy Pie Chart

Composition

Summary

The 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 Strategy

QIF 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 Management

Risk Management

We 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.

   

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
-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
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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
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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
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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. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.