Quantam SA : Quantam GSA Multistrategy x1 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since8/2004 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 SummaryGlobal 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% Composition Currency Futures 31.00% Stock Indices 30.00% Interest Rates 22.00% Precious Metals 9.00% Energy 8.00% SummaryGlobal 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 StrategyQuantam’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 ManagementCurrently Quantam is not taking any new investors into this program, but will update accordingly. 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 -7.33 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel