Praus Capital Management, LLC : PCM Quantitative Strategies I (P&C)

Year-to-Date
5.38%
Oct Performance
1.36%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.41%
Sharpe (RFR=1%)
0.75
CAROR
6.49%
Assets
$ 1.4M
Worst DD
-7.89
S&P Correlation
0.06

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
6/2015
PCM Quantitative Strategies I (P&C) 1.36 -2.04 -5.38 -6.44 11.37 - - 32.00
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 45.73
+/- S&P 500 -0.68 -3.96 -26.55 -18.45 -30.05 - - -13.73

Strategy Description

Summary

Accounting 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%
Strategy Pie Chart

Composition

Currency Futures
30.00%
Energy
20.00%
Stock Indices
20.00%
Precious Metals
15.00%
Industrial Metals
10.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

Accounting 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 Strategy

Allocates 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 Management

Position 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.

   

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
-7.89 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
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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
2.44 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
1.36 1 10/1/2019 10/1/2019
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
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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
-0.10 1 11/1/2015 11/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable54.7254.9072.9276.1983.3380.00100.00
Average Period Return0.551.834.058.8914.9619.7430.68
Average Gain2.094.496.4912.7218.5325.2130.68
Average Loss-1.32-1.41-2.50-3.37-2.92-2.16
Best Period4.8911.2020.2526.2738.3544.3049.04
Worst Period-5.13-4.11-3.54-6.94-5.37-4.4111.37
Standard Deviation2.143.796.2510.1713.9315.6110.74
Gain Standard Deviation1.443.025.588.4512.4012.2710.74
Loss Standard Deviation1.101.190.962.392.371.47
Sharpe Ratio (1%)0.220.420.570.780.971.142.57
Average Gain / Average Loss1.593.192.603.776.3411.69
Profit / Loss Ratio1.923.896.9912.0731.6846.77
Downside Deviation (10%)1.371.952.704.415.206.191.11
Downside Deviation (5%)1.191.361.632.402.041.98
Downside Deviation (0%)1.141.231.391.981.481.14
Sortino Ratio (10%)0.100.310.590.881.421.5313.41
Sortino Ratio (5%)0.391.162.183.286.618.96
Sortino Ratio (0%)0.481.492.924.4910.0817.37

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.