KeyQuant : Key Trends

Year-to-Date
36.33%
Aug Performance
7.42%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.06%
Sharpe (RFR=1%)
0.52
CAROR
10.24%
Assets
$ 410.0M
Worst DD
-30.24
S&P Correlation
0.24

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2010
Key Trends 7.42 25.60 36.33 14.29 9.79 58.68 - 156.57
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 169.70
+/- S&P 500 9.23 19.26 19.60 13.44 -23.64 14.09 - -13.13

Strategy Description

Summary

Key Trends is a medium-to-long-term systematic trading system, investing in the most liquid global futures markets, aiming to outperform traditional CTAs. Based on its innovative probabilistic model, Key Trends is able to detect establishing trends quickly, to characterize high potential... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
22%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
20.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
25.00%
4-12 Months
25.00%
1-3 Months
25.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
24.00%
Stock Indices
24.00%
Currency Futures
14.00%
Grains
10.00%
Precious Metals
8.00%
Energy
8.00%
Softs
8.00%
Industrial Metals
2.00%
Livestock
2.00%
Composition Pie Chart

Summary

Key Trends is a medium-to-long-term systematic trading system, investing in the most liquid global futures markets, aiming to outperform traditional CTAs. Based on its innovative probabilistic model, Key Trends is able to detect establishing trends quickly, to characterize high potential established trends, as well as detecting trend reversals sooner, thus elevating Key Trends' profit potential versus its peers. Moreover, thanks to a unique “Global Economic Factor” (GEF), Key Trends is able to assess the strength of global economic trends in order to optimize its portfolio exposure.

   

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
-30.24 46 7 3/1/2015 1/1/2019
-19.36 25 6 2/1/2012 3/1/2014
-10.56 3 2 8/1/2011 11/1/2011
-7.26 2 1 4/1/2011 6/1/2011
-6.45 1 2 1/1/0001 1/1/2010
-4.58 2 2 4/1/2010 6/1/2010
-3.76 1 1 10/1/2010 11/1/2010
-2.56 1 1 1/1/2015 2/1/2015
-2.22 1 1 2/1/2011 3/1/2011
-1.31 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
74.88 6 8/1/2014 1/1/2015
31.64 4 7/1/2010 10/1/2010
25.60 3 6/1/2019 8/1/2019
18.75 3 2/1/2019 4/1/2019
18.04 3 2/1/2010 4/1/2010
17.91 3 2/1/2013 4/1/2013
14.60 3 12/1/2011 2/1/2012
13.87 2 7/1/2011 8/1/2011
13.00 1 7/1/2012 7/1/2012
11.87 2 10/1/2013 11/1/2013
11.75 1 2/1/2017 2/1/2017
11.37 2 4/1/2014 5/1/2014
10.03 1 1/1/2018 1/1/2018
9.81 2 1/1/2016 2/1/2016
9.22 1 10/1/2017 10/1/2017
9.08 2 6/1/2016 7/1/2016
8.57 1 4/1/2011 4/1/2011
7.68 1 12/1/2010 12/1/2010
6.91 1 9/1/2015 9/1/2015
6.71 2 7/1/2017 8/1/2017
6.32 3 6/1/2018 8/1/2018
5.75 2 11/1/2016 12/1/2016
5.68 1 7/1/2015 7/1/2015
5.13 2 4/1/2017 5/1/2017
4.88 1 11/1/2015 11/1/2015
4.53 1 2/1/2011 2/1/2011
4.44 1 3/1/2015 3/1/2015
3.42 1 2/1/2014 2/1/2014
3.18 2 3/1/2018 4/1/2018
2.78 1 11/1/2012 11/1/2012
1.78 1 4/1/2012 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.04 5 9/1/2018 1/1/2019
-17.53 5 5/1/2013 9/1/2013
-15.48 3 4/1/2015 6/1/2015
-14.31 3 8/1/2016 10/1/2016
-13.40 3 8/1/2012 10/1/2012
-13.17 1 6/1/2017 6/1/2017
-11.69 2 5/1/2012 6/1/2012
-11.45 1 2/1/2018 2/1/2018
-10.56 3 9/1/2011 11/1/2011
-10.31 2 12/1/2013 1/1/2014
-8.93 3 3/1/2016 5/1/2016
-8.59 1 9/1/2017 9/1/2017
-7.26 2 5/1/2011 6/1/2011
-7.03 1 1/1/2017 1/1/2017
-6.70 2 6/1/2014 7/1/2014
-6.45 1 1/1/2010 1/1/2010
-5.53 1 3/1/2017 3/1/2017
-5.28 1 8/1/2015 8/1/2015
-4.85 1 3/1/2014 3/1/2014
-4.58 2 5/1/2010 6/1/2010
-4.39 1 12/1/2015 12/1/2015
-3.87 2 12/1/2012 1/1/2013
-3.76 1 11/1/2010 11/1/2010
-3.35 1 3/1/2012 3/1/2012
-2.95 1 5/1/2019 5/1/2019
-2.56 1 2/1/2015 2/1/2015
-2.22 1 3/1/2011 3/1/2011
-1.56 1 10/1/2015 10/1/2015
-1.31 1 1/1/2011 1/1/2011
-1.31 2 11/1/2017 12/1/2017
-0.58 1 5/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods116.00114.00111.00105.0099.0093.0081.0069.0057.00
Percent Profitable51.7255.2654.9557.1453.5456.9970.3789.86100.00
Average Period Return1.002.945.349.3013.0616.7424.0236.7956.71
Average Gain5.9010.3315.2322.1331.2436.7038.3342.7456.71
Average Loss-4.25-6.18-6.73-7.80-7.89-9.72-9.97-15.88
Best Period15.7437.3574.8884.9282.5879.7770.3576.00166.91
Worst Period-13.17-15.48-20.20-23.74-17.00-23.10-28.09-29.0122.27
Standard Deviation6.0810.5115.7922.3326.8330.0628.1122.0232.59
Gain Standard Deviation3.627.8514.7221.6024.6125.1420.0413.3232.59
Loss Standard Deviation3.004.454.865.425.475.487.619.48
Sharpe Ratio (1%)0.150.260.310.370.430.490.751.491.58
Average Gain / Average Loss1.391.672.262.843.963.783.852.69
Profit / Loss Ratio1.492.062.763.784.565.009.1323.83
Downside Deviation (10%)3.845.776.979.1711.3113.7715.1212.631.17
Downside Deviation (5%)3.655.215.836.757.398.478.176.94
Downside Deviation (0%)3.605.085.556.206.527.296.775.78
Sortino Ratio (10%)0.150.300.410.470.480.470.551.2124.77
Sortino Ratio (5%)0.250.520.831.231.561.742.574.72
Sortino Ratio (0%)0.280.580.961.502.002.293.556.37

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.