QTR Invest : QTR Fund

archived programs
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

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
9/2009
QTR Fund 2.17 - - - - - 2.43 7.34
S&P 500 4.46 - - - - - 67.15 227.71
+/- S&P 500 -2.29 - - - - - -64.72 -220.36

Strategy Description

Summary

Within 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Within the QTR Fund, we apply proprietary, high-frequency, highly automated trading systems in a wide range of financial markets.

Investment Strategy

QTR 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 Management

The 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.

   

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:
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Average Gain:
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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
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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
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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
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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. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.