Quantica Capital AG : Quantica Managed Futures

Year-to-Date
13.19%
Apr Performance
1.80%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.47%
Sharpe (RFR=1%)
0.65
CAROR
7.55%
Assets
$ 420.0M
Worst DD
-18.26
S&P Correlation
0.15

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2005
Quantica Managed Futures 1.80 8.63 13.19 9.90 22.20 24.95 59.70 183.93
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 137.48
+/- S&P 500 -2.13 -0.31 -4.32 -1.34 -18.99 -29.83 -174.35 46.45

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%
Strategy Pie Chart

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

   

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
-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
-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 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
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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
13.87 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
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
4.31 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
3.23 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 10/1/2010 10/1/2010
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
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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
-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
-5.71 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
-2.09 2 2/1/2007 3/1/2007
-1.50 1 11/1/2010 11/1/2010
-1.38 3 9/1/2011 11/1/2011
-1.21 1 2/1/2013 2/1/2013
-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 5/1/2016 5/1/2016
-0.50 1 7/1/2014 7/1/2014
-0.39 1 12/1/2012 12/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods172.00170.00167.00161.00155.00149.00137.00125.00113.00
Percent Profitable59.3064.1273.0581.9985.1691.2897.0896.00100.00
Average Period Return0.651.963.867.3110.4313.6020.2426.9134.50
Average Gain2.604.916.669.9813.0515.4020.9028.1134.50
Average Loss-2.28-3.32-3.74-4.85-4.59-5.22-1.67-1.92
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 Deviation3.025.117.139.7510.5911.6415.2519.1219.57
Gain Standard Deviation2.003.565.908.479.1110.4714.9818.5619.57
Loss Standard Deviation1.692.593.884.553.743.971.511.29
Sharpe Ratio (1%)0.190.330.470.650.841.001.131.201.50
Average Gain / Average Loss1.141.481.782.062.852.9512.4914.64
Profit / Loss Ratio1.732.654.829.3616.3330.89415.38351.29
Downside Deviation (10%)1.983.133.834.805.215.555.977.937.57
Downside Deviation (5%)1.812.632.973.132.742.430.891.23
Downside Deviation (0%)1.772.512.782.802.261.910.360.45
Sortino Ratio (10%)0.120.230.360.480.540.600.750.680.91
Sortino Ratio (5%)0.310.651.132.023.264.7719.3518.59
Sortino Ratio (0%)0.370.781.392.614.627.1355.8460.11

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.