Quantica Capital AG : Quantica Managed Futures Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since1/2005 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 SummarySystematic 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 SummarySystematic Trend Following Managed FuturesInvestment StrategyThe 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 ManagementMarket 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: {{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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods192.00190.00187.00181.00175.00169.00157.00145.00133.00 Percent Profitable58.8563.6872.1981.7786.8692.3197.4596.55100.00 Average Period Return0.661.964.027.7511.2114.5121.0627.4633.35 Average Gain2.654.967.0510.5313.6016.1621.6528.5133.35 Average Loss-2.27-3.29-3.84-4.72-4.59-5.22-1.67-1.92 Best Period12.4020.9930.7550.8443.9651.4875.9188.3393.26 Worst Period-8.90-13.24-14.83-15.41-11.45-12.76-3.16-3.737.27 Standard Deviation3.035.137.3610.0510.4411.3614.5718.0718.60 Gain Standard Deviation1.993.586.068.778.9310.1614.2817.5018.60 Loss Standard Deviation1.662.573.674.303.743.971.511.29 Sharpe Ratio (1%)0.190.330.480.670.931.101.241.291.52 Average Gain / Average Loss1.171.511.832.232.973.1012.9414.85 Profit / Loss Ratio1.742.644.7610.0119.6037.17494.97415.68 Downside Deviation (10%)1.983.133.884.744.925.215.587.447.46 Downside Deviation (5%)1.812.632.993.042.582.280.831.14 Downside Deviation (0%)1.772.512.792.712.131.790.340.42 Sortino Ratio (10%)0.130.230.400.580.740.820.950.790.77 Sortino Ratio (5%)0.320.651.182.223.765.4821.6920.50 Sortino Ratio (0%)0.380.781.442.865.278.1062.1866.07 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. x {{title}} x {{title}} Add Cancel