Quantica Capital AG : Quantica Managed Futures

Year-to-Date: 4.21%
Dec Performance: 5.60%

Min Investment: $ 5,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 10.50%
Sharpe (RFR=1%): 0.66
CAROR: 7.68%

Assets: $ 890.0M
Worst DD: -18.26
S&P Correlation: 0.23

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2020	1yr	3yr	5yr	10yr	Since 1/2005
Quantica Managed Futures	5.60	8.21	4.21	4.21	25.63	50.05	67.15	226.84
S&P 500	3.71	11.69	16.26	16.26	40.48	81.90	195.57	214.68
+/- S&P 500	1.89	-3.48	-12.05	-12.05	-14.85	-31.85	-128.42	12.16

Strategy Description

Summary

Systematic Trend Following Managed Futures... Read More

Account & Fees

Type	Managed Account
Minimum Investment	$ 5,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor	4.00
Management Fee	1.00%
Performance Fee	20.00%
Average Commission	$0
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	1-7 Days
Redemption Frequency	1-7 Days
Investor Requirements	QEP
Lock-up Period	0

Trading

Trading Frequency	450 RT/YR/$M
Avg. Margin-to-Equity	8%
Targeted Worst DD	-20.00%
Worst Peak-to-Trough	-18.26%
Sector Focus	Diversified Traders

Holding Periods

Over 12 Months	3.00%
4-12 Months	11.00%
1-3 Months	71.00%
1-30 Days	15.00%
Intraday	0%

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Trend-following: 100.00%

Composition

Summary

Systematic Trend Following Managed Futures

Investment Strategy

The program is managed using a proprietary quantitative model designed to identify and exploit inefficiencies in relative price movements across the major asset classes. The model will statistically analyse price movements of the instruments in our investment universe and determine if an instrument should be bought or sold and the size of the exposure. The model is a real time model and under normal market trading conditions trade execution will happen typically once a day. The model will also self regulate the overall exposure of the fund according to some parameters determined by the manager. In times when the model detects higher inefficiencies in the market it will bring the exposure higher and vice-versa. There is no overriding of the model by the managers.

Risk Management

Market Risk: 1) Real-time implementation of the risk metrics methodology with - Real-time valuation of positions (forwards) - Real-time calculation of risk measures like: Volatility, VaR and IVaR on a position and on a portfolio level - Stress Tests of correlations 2) Independent risk controling through Risk-Manager at Quantica - Risk and performance analysis of model portfolio, real portfolio and Gap Portfolio - Early warning system with respect to model risk 3) Daily reconciliation of trades, positions (incl. Cash) and P&LCounterparty Risks: 1) Multi-Clearing Platform in place, cash positions partly on protected accounts 2) Closing of all positions and transfer of money within one dayOperational Risks: 1) Backup procedures for data and systems 2) No personal dependence in daily portfolio management, clear deputyship for all portfolios 3) Closing of all positions within on day 4) Minimum infrastructure: Laptop/PC, Internet and Bloomberg

Compare to:

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Index: Chart Type:

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:

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
-18.26	9	25	3/1/2015	12/1/2015
-12.26	9	5	1/1/2018	10/1/2018
-9.85	2	5	6/1/2007	8/1/2007
-8.37	7	9	8/1/2019	3/1/2020
-7.91	3	9	4/1/2006	7/1/2006
-6.90	8	5	2/1/2012	10/1/2012
-6.58	2	7	11/1/2009	1/1/2010
-6.18	3	2	6/1/2008	9/1/2008
-6.00	2	2	4/1/2011	6/1/2011
-5.43	4	3	4/1/2013	8/1/2013
-4.92	3	2	1/1/0001	3/1/2005
-4.70	1	2	9/1/2005	10/1/2005
-3.40	2	1	11/1/2013	1/1/2014
-3.21	1	1	9/1/2009	10/1/2009
-3.11	1	3	5/1/2009	6/1/2009
-2.76	1	1	2/1/2011	3/1/2011
-1.50	1	1	10/1/2010	11/1/2010
-1.38	2	3	8/1/2011	10/1/2011
-1.20	1	1	4/1/2019	5/1/2019
-1.20	1	1	1/1/2006	2/1/2006
-1.10	1	1	1/1/2015	2/1/2015
-0.80	1	1	8/1/2010	9/1/2010
-0.74	1	2	12/1/2008	1/1/2009
-0.71	1	1	3/1/2009	4/1/2009
-0.50	1	1	6/1/2014	7/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
30.74	6	4/1/2005	9/1/2005
22.47	7	9/1/2007	3/1/2008
18.68	6	11/1/2018	4/1/2019
13.88	3	6/1/2019	8/1/2019
13.87	6	8/1/2014	1/1/2015
13.25	4	10/1/2017	1/1/2018
11.50	3	11/1/2005	1/1/2006
11.39	3	10/1/2008	12/1/2008
11.15	2	7/1/2011	8/1/2011
10.99	2	3/1/2006	4/1/2006
10.67	2	11/1/2020	12/1/2020
8.97	2	1/1/2016	2/1/2016
8.62	4	2/1/2017	5/1/2017
8.09	3	4/1/2007	6/1/2007
8.01	5	2/1/2014	6/1/2014
7.31	6	8/1/2006	1/1/2007
6.74	1	1/1/2013	1/1/2013
6.66	3	9/1/2013	11/1/2013
6.61	3	2/1/2010	4/1/2010
6.11	2	6/1/2016	7/1/2016
4.76	3	6/1/2018	8/1/2018
4.70	1	8/1/2010	8/1/2010
4.58	3	7/1/2009	9/1/2009
4.51	1	11/1/2009	11/1/2009
4.45	1	4/1/2011	4/1/2011
4.34	3	6/1/2020	8/1/2020
4.31	1	7/1/2012	7/1/2012
4.30	1	12/1/2010	12/1/2010
3.95	2	3/1/2013	4/1/2013
3.50	3	12/1/2011	2/1/2012
3.32	2	7/1/2017	8/1/2017
3.30	1	4/1/2020	4/1/2020
3.23	1	2/1/2011	2/1/2011
3.00	1	9/1/2015	9/1/2015
2.50	1	12/1/2016	12/1/2016
2.26	1	5/1/2009	5/1/2009
1.99	1	7/1/2013	7/1/2013
1.81	2	5/1/2008	6/1/2008
1.80	1	11/1/2019	11/1/2019
1.80	1	10/1/2010	10/1/2010
1.50	1	1/1/2020	1/1/2020
1.38	2	2/1/2009	3/1/2009
1.20	1	3/1/2015	3/1/2015
0.90	1	6/1/2010	6/1/2010
0.70	1	4/1/2016	4/1/2016
0.50	1	9/1/2016	9/1/2016
0.46	1	11/1/2012	11/1/2012
0.10	1	4/1/2018	4/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-15.84	5	4/1/2015	8/1/2015
-9.85	2	7/1/2007	8/1/2007
-9.15	2	9/1/2018	10/1/2018
-8.04	2	2/1/2020	3/1/2020
-7.91	3	5/1/2006	7/1/2006
-6.58	2	12/1/2009	1/1/2010
-6.18	3	7/1/2008	9/1/2008
-6.00	2	5/1/2011	6/1/2011
-5.86	3	8/1/2012	10/1/2012
-5.74	2	9/1/2020	10/1/2020
-5.71	3	10/1/2015	12/1/2015
-5.34	2	2/1/2018	3/1/2018
-5.19	4	3/1/2012	6/1/2012
-5.18	2	5/1/2013	6/1/2013
-4.92	3	1/1/2005	3/1/2005
-4.70	1	10/1/2005	10/1/2005
-4.37	2	10/1/2016	11/1/2016
-4.10	1	6/1/2017	6/1/2017
-3.70	1	9/1/2017	9/1/2017
-3.40	2	12/1/2013	1/1/2014
-3.21	1	10/1/2009	10/1/2009
-3.11	1	6/1/2009	6/1/2009
-2.80	1	3/1/2016	3/1/2016
-2.80	1	5/1/2010	5/1/2010
-2.76	1	3/1/2011	3/1/2011
-2.70	1	5/1/2018	5/1/2018
-2.70	1	8/1/2016	8/1/2016
-2.20	1	8/1/2013	8/1/2013
-2.19	2	9/1/2019	10/1/2019
-2.09	2	2/1/2007	3/1/2007
-1.50	1	11/1/2010	11/1/2010
-1.40	1	12/1/2019	12/1/2019
-1.38	3	9/1/2011	11/1/2011
-1.21	1	2/1/2013	2/1/2013
-1.20	1	5/1/2019	5/1/2019
-1.20	1	2/1/2006	2/1/2006
-1.10	1	2/1/2015	2/1/2015
-1.10	1	7/1/2010	7/1/2010
-1.00	1	1/1/2017	1/1/2017
-0.80	1	9/1/2010	9/1/2010
-0.74	1	1/1/2009	1/1/2009
-0.71	1	4/1/2009	4/1/2009
-0.70	1	5/1/2020	5/1/2020
-0.70	1	5/1/2016	5/1/2016
-0.50	1	7/1/2014	7/1/2014
-0.39	1	12/1/2012	12/1/2012

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	192.00	190.00	187.00	181.00	175.00	169.00	157.00	145.00	133.00
Percent Profitable	58.85	63.68	72.19	81.77	86.86	92.31	97.45	96.55	100.00
Average Period Return	0.66	1.96	4.02	7.75	11.21	14.51	21.06	27.46	33.35
Average Gain	2.65	4.96	7.05	10.53	13.60	16.16	21.65	28.51	33.35
Average Loss	-2.27	-3.29	-3.84	-4.72	-4.59	-5.22	-1.67	-1.92
Best Period	12.40	20.99	30.75	50.84	43.96	51.48	75.91	88.33	93.26
Worst Period	-8.90	-13.24	-14.83	-15.41	-11.45	-12.76	-3.16	-3.73	7.27
Standard Deviation	3.03	5.13	7.36	10.05	10.44	11.36	14.57	18.07	18.60
Gain Standard Deviation	1.99	3.58	6.06	8.77	8.93	10.16	14.28	17.50	18.60
Loss Standard Deviation	1.66	2.57	3.67	4.30	3.74	3.97	1.51	1.29
Sharpe Ratio (1%)	0.19	0.33	0.48	0.67	0.93	1.10	1.24	1.29	1.52
Average Gain / Average Loss	1.17	1.51	1.83	2.23	2.97	3.10	12.94	14.85
Profit / Loss Ratio	1.74	2.64	4.76	10.01	19.60	37.17	494.97	415.68
Downside Deviation (10%)	1.98	3.13	3.88	4.74	4.92	5.21	5.58	7.44	7.46
Downside Deviation (5%)	1.81	2.63	2.99	3.04	2.58	2.28	0.83	1.14
Downside Deviation (0%)	1.77	2.51	2.79	2.71	2.13	1.79	0.34	0.42
Sortino Ratio (10%)	0.13	0.23	0.40	0.58	0.74	0.82	0.95	0.79	0.77
Sortino Ratio (5%)	0.32	0.65	1.18	2.22	3.76	5.48	21.69	20.50
Sortino Ratio (0%)	0.38	0.78	1.44	2.86	5.27	8.10	62.18	66.07

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	10	0.93	3/2009
Trend Following Strategy Index	Month	7	-0.70	7/2006
Trend Following Strategy Index	Month	4	12.40	9/2005
Systematic Trader Index	Month	4	12.40	9/2005
IASG CTA Index	Month	5	12.40	9/2005
Diversified Trader Index	Month	5	12.40	9/2005
Systematic Trader Index	Month	4	4.00	7/2005
Diversified Trader Index	Month	8	4.00	7/2005
IASG CTA Index	Month	9	4.00	7/2005
Trend Following Strategy Index	Month	3	4.00	7/2005
Trend Following Strategy Index	Month	6	0.00	1/2005

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

^#10

Top Performer

TREND FOLLOWING STRATEGY INDEX

MARCH
2009

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Quantica Capital AG : Quantica Managed Futures

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

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Quantica Capital AG : Quantica Managed Futures

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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