Quantam SA : Quantam GSA Multistrategy x1

archived programs
Year-to-Date
N / A
Sep Performance
0.02%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
2.56%
Sharpe (RFR=1%)
0.32
CAROR
1.80%
Assets
$ 0k
Worst DD
-7.33
S&P Correlation
-0.17

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
8/2004
Quantam GSA Multistrategy x1 0.02 - - - - - -5.01 17.74
S&P 500 2.97 - - - - - 68.81 224.59
+/- S&P 500 -2.95 - - - - - -73.82 -206.85

Strategy Description

Summary

Global Statistical Arbitrage (GSA) offered by Quantam is a high frequency systematic program managed through models supervised by their experienced managers, applying numerous systematic strategies. These strategies are based on the statistically proven persistent existence of very... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2250 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 50.00%
1-30 Days 0%
Intraday 50.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
20.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

Currency Futures
31.00%
Stock Indices
30.00%
Interest Rates
22.00%
Precious Metals
9.00%
Energy
8.00%
Composition Pie Chart

Summary

Global Statistical Arbitrage (GSA) offered by Quantam is a high frequency systematic program managed through models supervised by their experienced managers, applying numerous systematic strategies. These strategies are based on the statistically proven persistent existence of very short term behaviours in market prices. The automats take long & short positions on the most liquid electronic futures contracts worldwide, sending numerous trading orders per day. Quantam has invested in an intense R&D program that constantly tracks new opportunities. Quantam’s GSA program is diversified across many markets (stocks, interest rates, forex and commodities), offers transparency, daily liquidity, and seeks for absolute performance (>5%) with both low volatility (<5%) and correlation.

Investment Strategy

Quantam’s strategy is to use advanced computing grids and numerical techniques to extract statistically relevant and tradable biases from the vast amount of information contained in the tick-by-tick data of the most liquid financial products. The underlying principles of the firm’s trading models rely on the existence and persistence of detectable statistical biases in financial markets, i.e. non-random predictable price behaviours. The techniques applied allow the discovery and precise definition of: - trend-following, - as well as mean-reverting patterns, - across all frequencies from intraday to several months, - across all liquid assets, including combinations thereof when correlations and other links between instruments are identifiable and quantifiable, - and taking into account the specific liquidity effects in each market. Quantam has built an industrial-strength architecture, hardware, software and connectivity to be able to automatically generate new strategies as new biases emerge and retire diminishing ones, allocate across asset classes and trading models, measure and manage risk in real-time, and execute at the lowest available latency in the markets.

Risk Management

Currently Quantam is not taking any new investors into this program, but will update accordingly.

   

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
-7.33 58 - 8/1/2008 6/1/2013
-2.84 1 3 6/1/2005 7/1/2005
-0.96 1 1 1/1/2006 2/1/2006
-0.82 4 3 1/1/0001 11/1/2004
-0.75 2 1 6/1/2007 8/1/2007
-0.08 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
13.79 16 3/1/2006 6/1/2007
6.72 6 8/1/2005 1/1/2006
4.39 7 12/1/2004 6/1/2005
3.28 9 12/1/2007 8/1/2008
2.34 2 9/1/2007 10/1/2007
1.77 4 8/1/2010 11/1/2010
1.67 3 4/1/2010 6/1/2010
1.00 2 10/1/2008 11/1/2008
0.86 2 8/1/2011 9/1/2011
0.84 2 12/1/2009 1/1/2010
0.64 3 5/1/2012 7/1/2012
0.62 1 1/1/2009 1/1/2009
0.59 1 1/1/2013 1/1/2013
0.35 1 7/1/2013 7/1/2013
0.30 2 1/1/2011 2/1/2011
0.29 1 10/1/2012 10/1/2012
0.22 1 6/1/2011 6/1/2011
0.17 1 5/1/2009 5/1/2009
0.17 1 3/1/2012 3/1/2012
0.16 1 4/1/2011 4/1/2011
0.15 1 9/1/2004 9/1/2004
0.15 1 10/1/2009 10/1/2009
0.02 1 9/1/2013 9/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.84 1 7/1/2005 7/1/2005
-2.79 5 2/1/2013 6/1/2013
-2.07 3 2/1/2009 4/1/2009
-1.88 5 10/1/2011 2/1/2012
-1.52 4 6/1/2009 9/1/2009
-1.48 1 9/1/2008 9/1/2008
-1.23 1 3/1/2011 3/1/2011
-1.16 1 11/1/2009 11/1/2009
-1.13 2 2/1/2010 3/1/2010
-0.96 1 2/1/2006 2/1/2006
-0.84 1 7/1/2010 7/1/2010
-0.80 1 12/1/2010 12/1/2010
-0.80 2 10/1/2004 11/1/2004
-0.75 2 7/1/2007 8/1/2007
-0.64 2 11/1/2012 12/1/2012
-0.57 1 7/1/2011 7/1/2011
-0.27 1 5/1/2011 5/1/2011
-0.21 1 12/1/2008 12/1/2008
-0.19 1 8/1/2013 8/1/2013
-0.17 1 8/1/2004 8/1/2004
-0.15 1 4/1/2012 4/1/2012
-0.14 2 8/1/2012 9/1/2012
-0.08 1 11/1/2007 11/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods110.00108.00105.0099.0093.0087.0075.0063.0051.00
Percent Profitable62.7358.3363.8154.5551.6145.9854.6761.9070.59
Average Period Return0.150.470.982.123.364.436.137.088.44
Average Gain0.571.362.355.328.3412.0313.4213.8413.51
Average Loss-0.55-0.79-1.43-1.71-1.95-2.03-2.65-3.92-3.73
Best Period2.293.957.7812.6715.9420.0825.5127.2423.64
Worst Period-2.84-2.41-2.54-3.98-4.31-3.73-5.15-5.65-7.18
Standard Deviation0.741.372.384.336.278.0210.4711.2710.40
Gain Standard Deviation0.471.011.833.304.815.579.029.107.88
Loss Standard Deviation0.550.600.691.031.180.981.371.272.51
Sharpe Ratio (1%)0.090.160.200.260.300.300.300.270.32
Average Gain / Average Loss1.031.731.643.114.275.925.063.543.62
Profit / Loss Ratio1.732.422.903.744.565.046.105.748.69
Downside Deviation (10%)0.681.422.574.827.079.3613.7918.2121.78
Downside Deviation (5%)0.510.771.241.952.553.063.985.075.12
Downside Deviation (0%)0.470.640.951.341.581.662.012.542.41
Sortino Ratio (10%)-0.37-0.54-0.58-0.60-0.60-0.62-0.70-0.79-0.88
Sortino Ratio (5%)0.130.280.390.580.730.790.780.600.65
Sortino Ratio (0%)0.320.731.031.582.132.683.062.793.50

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.