Quantica Capital AG : Quantica Diversified FX

archived programs
Year-to-Date
N / A
Sep Performance
-3.00%
Min Investment
$ 5,000k
Mgmt. Fee
1.65%
Perf. Fee
20.00%
Annualized Vol
8.98%
Sharpe (RFR=1%)
-0.21
CAROR
-1.31%
Assets
$ 49.8M
Worst DD
-27.20
S&P Correlation
0.39

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
3/2007
Quantica Diversified FX -3.00 -9.06 - -11.39 -16.15 -22.65 - -10.72
S&P 500 -2.64 -6.94 - -2.65 33.27 68.22 - 35.11
+/- S&P 500 -0.36 -2.12 - -8.74 -49.42 -90.87 - -45.83

Strategy Description

Summary

The Quantica Diversified FX- Program consists of an innovative carry trade strategy combined with a well established trend/reversal model on different group of currencies. We allocate risk capital to all currency pairs according to the strengths of signals we observe in our (risk adjusted)... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.65%
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
RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
30.00%
4-12 Months
50.00%
1-3 Months
20.00%
1-30 Days
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
10.00%
Trend-following
90.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Quantica Diversified FX- Program consists of an innovative carry trade strategy combined with a well established trend/reversal model on different group of currencies. We allocate risk capital to all currency pairs according to the strengths of signals we observe in our (risk adjusted) carry return and in our trend/reversal models. The signals are based on the historical price series only.The investment process is fully systematic and there is no human interference other than in the moment of trade execution.

Investment Strategy

We allocate an amount of capital risk to each pair of the universe (currently: 190). According to the strengths of signals in our models, the exposure is calculated for each currency pair. These exposures are then aggregated for each currency against the USD.As an example consider the process leading to the capital allocation to the EUR on a given day.Trend/reversal model. On a first stage, all possible currency pairs against the EUR are statistically analyzed to detect presence and intensity of trend in each of them. This analysis is done in two separate modules, one containing all pairs of the EUR against the other G10 currencies and another with all pairs of the EUR against the 10 different EM currencies in our universe. As a result of this analysis one indicator of trend strength per pair is obtained. In this example, for 19 pairs against the EUR.Carry model. Parallel to this trend analysis a second quantitative model looks at the risk adjusted interest rate differentials for the 19 pairs. As a result, an indicator of the strength of carry per pair is obtained. A high strength of carry indicator means that the pair has a high carry with a low volatility relative to the other.Portfolio Construction. The allocation of capital is directly linked to the strength of our indicators. In the trend/reversal model, we exploit our empirical observation that expected returns tend to be negative as rates increase for a long time (reversals). In the carry model, we have an increasing relationship between our indicators and the allocated capital reflecting our empirical observation that carry trades tend to be more profitable with increasing risk adjusted interest rate differentials. Aggregating the capital allocated to all EUR pairs, we obtain the aggregate capital allocated to this currency and the corresponding exposure.

Risk Management

Our risk management consist of the following key elements: - Liquidity: we trade only the most liquid forwards - Diversification: The allocation of capital risk and the portfolio construction ensures a broad diversification of risk. - Performance analysis: We monitor on a real-time basis the tracking error between the real and the model-portfolio. We analyze the performance and the performance differences between these portfolios. Furthermore, we analyze the performance of all sub-strategies and modules. Significant differences and changes lead to further investigations. - Real time Risk Metrics: we constantly price all instrument s of the portfolio and calculate various risk measures like Volatility, Tracking Error, VaR, IVaR, To this purpose, we have implemented a real-time version of the Risk Metrics system of risk management. - Daily reconciliation: We daily reconcile trades, exposures, cash positions and NAVs with broker confirmations and custodian reports.We internally developed a real-time risk management systems based on the Risk Metrics methodology

   

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
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Sharpe Ratio: (RF=1%)
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Risk
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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
-27.20 86 - 7/1/2008 9/1/2015
-4.18 2 1 6/1/2007 8/1/2007
-3.90 1 6 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
12.11 4 3/1/2007 6/1/2007
8.78 2 9/1/2007 10/1/2007
8.04 6 11/1/2012 4/1/2013
7.57 4 5/1/2014 8/1/2014
7.47 3 2/1/2010 4/1/2010
7.42 2 2/1/2014 3/1/2014
6.32 4 9/1/2010 12/1/2010
5.81 3 5/1/2008 7/1/2008
5.64 2 10/1/2014 11/1/2014
5.59 2 6/1/2012 7/1/2012
5.32 3 12/1/2011 2/1/2012
4.18 2 8/1/2009 9/1/2009
2.86 3 2/1/2011 4/1/2011
2.51 2 2/1/2008 3/1/2008
2.49 2 9/1/2013 10/1/2013
2.37 3 4/1/2009 6/1/2009
1.87 1 12/1/2009 12/1/2009
1.60 1 12/1/2007 12/1/2007
1.49 1 10/1/2011 10/1/2011
0.72 2 6/1/2011 7/1/2011
0.40 1 11/1/2008 11/1/2008
0.30 1 3/1/2015 3/1/2015
0.24 1 2/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.82 4 5/1/2013 8/1/2013
-13.72 6 4/1/2015 9/1/2015
-13.59 3 8/1/2008 10/1/2008
-7.93 3 3/1/2012 5/1/2012
-7.68 2 8/1/2011 9/1/2011
-6.52 3 8/1/2012 10/1/2012
-5.00 1 9/1/2014 9/1/2014
-4.52 1 1/1/2011 1/1/2011
-4.18 2 7/1/2007 8/1/2007
-4.13 3 11/1/2013 1/1/2014
-3.90 1 11/1/2007 11/1/2007
-3.07 3 12/1/2014 2/1/2015
-2.59 4 5/1/2010 8/1/2010
-1.72 1 11/1/2011 11/1/2011
-1.68 1 3/1/2009 3/1/2009
-1.31 2 10/1/2009 11/1/2009
-1.27 1 1/1/2010 1/1/2010
-1.26 2 12/1/2008 1/1/2009
-1.20 1 5/1/2011 5/1/2011
-0.90 1 1/1/2008 1/1/2008
-0.70 1 7/1/2009 7/1/2009
-0.40 1 4/1/2014 4/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods103.00101.0098.0092.0086.0080.0068.0056.0044.00
Percent Profitable53.4052.4855.1046.7437.2127.5039.7125.0011.36
Average Period Return-0.08-0.20-0.44-0.82-1.91-3.09-3.98-6.01-7.31
Average Gain1.803.324.186.897.696.914.406.894.57
Average Loss-2.38-4.08-6.10-7.59-7.60-6.88-9.49-10.30-8.84
Best Period5.038.6412.0713.9819.5815.0210.3916.3714.83
Worst Period-7.30-13.59-15.34-15.61-18.33-18.59-22.30-19.87-22.65
Standard Deviation2.594.736.318.298.407.898.708.977.32
Gain Standard Deviation1.362.212.953.954.105.183.234.816.22
Loss Standard Deviation1.863.584.434.073.824.836.455.005.97
Sharpe Ratio (1%)-0.06-0.09-0.15-0.22-0.41-0.65-0.81-1.12-1.70
Average Gain / Average Loss0.760.810.680.911.011.000.460.670.52
Profit / Loss Ratio0.930.900.840.800.600.380.310.220.07
Downside Deviation (10%)2.214.406.489.7112.5115.4521.5528.9635.68
Downside Deviation (5%)2.033.855.316.937.818.6010.9413.1814.30
Downside Deviation (0%)1.993.725.036.276.737.138.889.9010.00
Sortino Ratio (10%)-0.22-0.32-0.45-0.60-0.76-0.86-0.92-0.95-0.98
Sortino Ratio (5%)-0.08-0.12-0.18-0.26-0.44-0.59-0.64-0.76-0.87
Sortino Ratio (0%)-0.04-0.05-0.09-0.13-0.28-0.43-0.45-0.61-0.73

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 4.60 3/2014
Trend Following Strategy Index Month 7 0.51 6/2011
Trend Following Strategy Index Month 7 1.22 6/2009
Trend Following Strategy Index Month 4 2.20 7/2008

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.