MQ38 LLC : MQ38 Cumulus Fund, LP

archived programs
Year-to-Date
N / A
Feb Performance
-14.83%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
31.62%
Sharpe (RFR=1%)
0.27
CAROR
-
Assets
$ 705k
Worst DD
-23.18
S&P Correlation
-0.61

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
4/2011
MQ38 Cumulus Fund, LP -14.83 - - - - - - 4.62
S&P 500 4.06 - - - - - - 137.31
+/- S&P 500 -18.89 - - - - - - -132.69

Strategy Description

Summary

The MQ38 system uses a unique proprietary method of market analysis termed Dynamic Market Analysis (DMA). DMA trades most liquid financial instruments globally and to various position types (directional long/short, long only, spreads,and arbitrage). The MQ38 system systematically... Read More

Account & Fees

Type Fund
Minimum Investment $ 50k
Trading Level Incremental Increase $ 20k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
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 Accredited Investors
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
80.00%
Precious Metals
10.00%
Energy
10.00%
Composition Pie Chart

Summary

The MQ38 system uses a unique proprietary method of market analysis termed Dynamic Market Analysis (DMA). DMA trades most liquid financial instruments globally and to various position types (directional long/short, long only, spreads,and arbitrage). The MQ38 system systematically implements a sophisticated risk management strategy in which daily volatility is targeted. The MQ38 system was developed by studying the price movements of hundreds of futures contracts, equities, and forward contracts, spanning over forty years of price data. Robust trading algorithms were developed to assess the system’s potential of reacting to market changes and generating consistent returns in the long run. The system operates entirely using technical analysis and does not apply any fundamental factors. As a mechanical trading system, it is believed that the MQ38 System contains all elements required to analyze market data and direct trades. Continuous research and development of trading methodology. Highly consistent trading performance. Low correlations to traditional investments and hedge funds.

Investment Strategy

- System Sells and Buys extreme weakness or strength with multiple reduced risk entries and opportunistic risk-off exits. - Positions are developed over the course of a few days to a few weeks and generally held for 2 to 18 days. -Swing system employs intraday risk with fixed dollar/percentage risk rules to take advantage of both intraday mean reversion setups in the morning and trend trade opportunities throughout the day. - Day trades do 1 to 2 trades a day per system and strictly enforce risk controls. Additionally, these systems seek to function as a risk reduction component for overnight risk. - Many market participants stop out or reverse at key points, materializing losses. Our systems specifically seek not to cover on a high or sell a long position on a low and employ other risk management techniques to ensure that at these points of very low risk we are adding risk not reducing it and materializing losses. -Our edge is ensured by a multi-metric/discipline approach. We manage trade entry as a distinct discipline. We manage trading directional bias as a distinct discipline and we manage risk-off as a distinct discipline.

Risk Management

Using allocation risk allows us to size positions relative to the riskiness in the market and add new risk when the odds significantly favor us, which usually is precisely when most people are risking out of trades.

   

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
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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
-23.18 2 - 12/1/2011 2/1/2012
-6.66 1 1 9/1/2011 10/1/2011
-1.72 1 1 1/1/0001 4/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
23.79 5 5/1/2011 9/1/2011
19.92 2 11/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.18 2 1/1/2012 2/1/2012
-6.66 1 10/1/2011 10/1/2011
-1.72 1 4/1/2011 4/1/2011
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable63.6488.89
Average Period Return0.796.50
Average Gain5.969.99
Average Loss-8.25-21.40
Best Period17.2120.16
Worst Period-14.83-21.40
Standard Deviation9.1311.64
Gain Standard Deviation6.175.46
Loss Standard Deviation5.50
Sharpe Ratio (1%)0.080.54
Average Gain / Average Loss0.720.47
Profit / Loss Ratio1.263.73
Downside Deviation (10%)5.967.54
Downside Deviation (5%)5.797.22
Downside Deviation (0%)5.757.13
Sortino Ratio (10%)0.060.70
Sortino Ratio (5%)0.120.87
Sortino Ratio (0%)0.140.91

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.