QTR Invest : QTR Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Oct Performance 2.17% Min Investment $ 140k Mgmt. Fee 0% Perf. Fee 20.00% Annualized Vol 8.13% Sharpe (RFR=1%) 0.13 CAROR 1.72% Assets $ 1.2M Worst DD -13.11 S&P Correlation 0.10 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 Oct Qtr 2020 1yr 3yr 5yr 10yr Since9/2009 QTR Fund 2.17 - - - - - -2.27 7.34 S&P 500 4.46 - - - - - 67.15 251.65 +/- S&P 500 -2.29 - - - - - -69.42 -244.31 Strategy Description SummaryWithin the QTR Fund, we apply proprietary, high-frequency, highly automated trading systems in a wide range of financial markets.... Read More Account & Fees Type Fund Minimum Investment $ 140k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 0% Performance Fee 20.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 10000 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD -12.00% Worst Peak-to-Trough 12.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 20.00% 1-30 Days 0% Intraday 80.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 70.00% Trend-following 30.00% Composition Stock Indices 100.00% SummaryWithin the QTR Fund, we apply proprietary, high-frequency, highly automated trading systems in a wide range of financial markets.Investment StrategyQTR stands for Quantitative Trading Research. The core business of the company is developing automated or mechanistic trading systems, of which the main feature is the absence of any human intervention.All systems are bundled in the QTR Fund, trading an extensive range of markets for the short term: the maximum holding period is 24 hours. Only liquid markets are traded, with a strong preference for futures markets. Trading different, uncorrelated systems across multiple markets results in a diversified portfolio.Risk ManagementThe contemporary crisis painfully showed that liquidity and market risk should never be underestimated. Liquidity risk, is the risk that arises from the difficulty of selling an asset. Market risk is exposure to the uncertain market value. A hedge fund is said to have market risk when it moves in line with stock markets. The returns of the QTR Fund, especially during current economic downturn, compare positively to other asset classes because market risk and liquidity risk are fully controlled. Returns exhibit a negative correlation to stock markets and as the underlying positions are highly liquid, meeting investors' redemption requests does not pose any problem.On a system level, risk management plays an important role as well. Risk is diversified over different systems and markets in the first place. As volatility of those markets or correlation between them increases, positions sizes are reduced. The risk management system continuously analyzes the portfolio and readjusts positions automatically if necessary.Apart from applying strict risk management principles, one also has to acknowledge that historical data cannot predict all possible future outcomes. Unexpected events can and will happen. To anticipate on this QTR Invest applies a so-called black swan buffer in all its trading activities. By definition, it will be unknown when this cushion is to be used. For example, it could serve to bridge a certain amount time that stock markets would remain closed.One of the special features of the QTR Fund risk management is the breakdown indicator. This indicator tests the predicting power of every system on a daily basis. The development of systems is based on typical market dynamics. If markets tend to deviate from this state, this could lead to a system not operating in its so-called design space. The consequence of this would be a prohibition to take certain positions. The main advantage of the breakdown indicator is the avoidance of unexpected results. As such, overall risk management serves the main objective of capital preservation. 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 -13.11 5 5 9/1/2009 2/1/2010 -9.47 3 - 5/1/2011 8/1/2011 -1.70 1 3 1/1/2011 2/1/2011 -0.61 1 1 10/1/2010 11/1/2010 Show More Consecutive Gains Run-up Length (Mos.) Start End 24.41 8 3/1/2010 10/1/2010 6.91 10 6/1/2012 3/1/2013 5.69 3 9/1/2011 11/1/2011 4.58 2 9/1/2013 10/1/2013 4.35 3 3/1/2011 5/1/2011 3.07 3 2/1/2012 4/1/2012 2.03 2 12/1/2010 1/1/2011 0.76 1 9/1/2009 9/1/2009 0.28 1 1/1/2010 1/1/2010 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.01 3 10/1/2009 12/1/2009 -9.47 3 6/1/2011 8/1/2011 -6.41 5 4/1/2013 8/1/2013 -4.95 2 12/1/2011 1/1/2012 -3.72 1 2/1/2010 2/1/2010 -3.41 1 5/1/2012 5/1/2012 -1.70 1 2/1/2011 2/1/2011 -0.61 1 11/1/2010 11/1/2010 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods50.0048.0045.0039.0033.0027.0015.00 Percent Profitable66.0056.2555.5661.5451.5259.2680.00 Average Period Return0.170.451.503.863.713.569.33 Average Gain1.503.826.148.3810.147.5512.10 Average Loss-2.41-3.88-4.29-3.38-3.11-2.24-1.76 Best Period4.2012.0219.7124.0224.4719.3523.94 Worst Period-7.36-10.01-12.45-9.45-6.52-6.38-2.06 Standard Deviation2.354.997.158.728.357.379.02 Gain Standard Deviation1.153.265.988.086.667.087.85 Loss Standard Deviation1.883.103.112.882.261.920.31 Sharpe Ratio (1%)0.040.040.140.330.260.210.70 Average Gain / Average Loss0.620.981.432.483.263.366.88 Profit / Loss Ratio1.211.261.793.973.464.8927.51 Downside Deviation (10%)1.963.934.985.767.859.4310.43 Downside Deviation (5%)1.803.393.783.223.563.032.22 Downside Deviation (0%)1.763.263.502.712.651.850.80 Sortino Ratio (10%)-0.12-0.20-0.19-0.20-0.49-0.71-0.62 Sortino Ratio (5%)0.050.060.270.890.620.512.84 Sortino Ratio (0%)0.100.140.431.421.401.9311.73 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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