Praus Capital Management, LLC : PCM Quantitative Strategies I (P&C) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.40% Jan Performance 1.40% Min Investment $ 200k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 7.24% Sharpe (RFR=1%) 0.78 CAROR 6.61% Assets $ 1.4M Worst DD -7.89 S&P Correlation 0.06 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since6/2015 PCM Quantitative Strategies I (P&C) 1.40 2.12 1.40 -1.22 6.32 - - 34.81 S&P 500 -0.16 6.19 -0.16 19.27 40.10 - - 54.75 +/- S&P 500 1.56 -4.06 1.56 -20.49 -33.78 - - -19.95 Strategy Description SummaryAccounting Notes: June 2015 - October 2018 represents pro-forma proprietary returns which have been adjusted to reflect a 2% management fee and 20% incentive fee. This period also represents proprietary AUM. Performance from November 2018 represents client returns and client AUM... Read More Account & Fees Type Managed Account Minimum Investment $ 200k Trading Level Incremental Increase $ 200k CTA Max Funding Factor 5.00 Management Fee 2.00% Performance Fee 20.00% Average Commission Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 3500 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD -10.00% 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 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 50.00% Trend-following 50.00% Composition Currency Futures 30.00% Energy 20.00% Stock Indices 20.00% Precious Metals 15.00% Industrial Metals 10.00% Interest Rates 5.00% SummaryAccounting Notes: June 2015 - October 2018 represents pro-forma proprietary returns which have been adjusted to reflect a 2% management fee and 20% incentive fee. This period also represents proprietary AUM. Performance from November 2018 represents client returns and client AUM only. The first client account began trading on November 20, 2018; therefore, the return for November 2018 is that of a partial month. The proprietary account that has been trading since June 2015 realized a 1.80% pro-forma rate of return for the full month of November 2018.Investment StrategyAllocates capital between multiple quantitative trading strategies in order to maximize risk-adjusted return. Algorithms identify specific price patterns, volume, regression and momentum factors, among others, which tend to predict price trends leading into the morning trading session for various futures markets. Seeks to capitalize on long and short opportunities - strategies were designed to profit during high volatility environments providing the potential for diversification during market corrections. Executes trades across a wide range of domestic futures markets including equity indices, financials, commodities, and currencies. Intraday trading - low margin usage and limited exposure to overnight or weekend gaps.Risk ManagementPosition sizing is dynamic based on market volatility - higher volatility yields reduced position sizes. Algorithms monitor portfolio wide positions in an attempt to restrict cumulative positions across strategies and correlated markets. Algorithms run on a co-located virtual server with redundant power and internet service. The virtual server is monitored 24/7 and PCM is alerted in the event of a software or server malfunction. PCM receives real-time updates as the strategies’ algorithms analyze the market and execute trades. Algorithms monitor realized and unrealized P&L and trading halts have been established in an attempt to restrict losses on a daily and cumulative basis. 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 -7.89 15 - 6/1/2018 9/1/2019 -5.13 1 4 1/1/0001 6/1/2015 -2.78 4 5 3/1/2017 7/1/2017 -2.12 1 3 5/1/2016 6/1/2016 -1.82 1 3 2/1/2018 3/1/2018 -1.55 1 1 12/1/2017 1/1/2018 -0.10 1 1 10/1/2015 11/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 25.89 7 9/1/2016 3/1/2017 8.55 6 12/1/2015 5/1/2016 5.65 2 9/1/2015 10/1/2015 4.16 1 7/1/2015 7/1/2015 3.35 1 2/1/2018 2/1/2018 2.87 1 6/1/2018 6/1/2018 2.63 2 10/1/2019 11/1/2019 2.44 1 8/1/2017 8/1/2017 1.80 1 12/1/2017 12/1/2017 1.68 1 4/1/2018 4/1/2018 1.51 1 7/1/2016 7/1/2016 1.40 1 1/1/2020 1/1/2020 1.27 2 5/1/2017 6/1/2017 0.95 1 4/1/2019 4/1/2019 0.82 1 10/1/2018 10/1/2018 0.62 1 8/1/2018 8/1/2018 0.42 1 2/1/2019 2/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -5.13 1 6/1/2015 6/1/2015 -4.44 5 5/1/2019 9/1/2019 -3.27 3 11/1/2018 1/1/2019 -2.48 1 7/1/2017 7/1/2017 -2.16 1 8/1/2015 8/1/2015 -2.12 1 6/1/2016 6/1/2016 -1.82 1 3/1/2018 3/1/2018 -1.56 1 4/1/2017 4/1/2017 -1.55 1 1/1/2018 1/1/2018 -1.49 1 3/1/2019 3/1/2019 -1.47 1 5/1/2018 5/1/2018 -1.35 3 9/1/2017 11/1/2017 -0.89 1 8/1/2016 8/1/2016 -0.82 1 9/1/2018 9/1/2018 -0.82 1 7/1/2018 7/1/2018 -0.53 1 12/1/2019 12/1/2019 -0.10 1 11/1/2015 11/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods56.0054.0051.0045.0039.0033.0021.00 Percent Profitable55.3657.4170.5971.1176.9272.73100.00 Average Period Return0.561.823.748.0613.4817.8127.54 Average Gain2.044.216.3112.7218.5325.2127.54 Average Loss-1.28-1.41-2.43-3.42-3.35-1.93 Best Period4.8911.2020.2526.2738.3544.3049.04 Worst Period-5.13-4.11-3.54-6.94-5.97-4.416.32 Standard Deviation2.093.696.2010.3214.3416.1012.70 Gain Standard Deviation1.403.015.618.4512.4012.2712.70 Loss Standard Deviation1.091.190.912.232.141.43 Sharpe Ratio (1%)0.230.430.520.680.840.981.93 Average Gain / Average Loss1.592.992.603.725.5313.07 Profit / Loss Ratio1.974.036.239.1518.4434.86 Downside Deviation (10%)1.341.892.794.835.986.893.02 Downside Deviation (5%)1.161.321.662.642.542.19 Downside Deviation (0%)1.111.191.402.171.881.23 Sortino Ratio (10%)0.110.310.460.630.981.103.90 Sortino Ratio (5%)0.411.191.952.674.717.21 Sortino Ratio (0%)0.501.522.673.717.1814.48 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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