Quantis Asset Management : PFM Systematic

archived programs
Year-to-Date
N / A
Sep Performance
0.32%
Min Investment
$ 15k
Mgmt. Fee
1.60%
Perf. Fee
20.00%
Annualized Vol
9.71%
Sharpe (RFR=1%)
0.38
CAROR
4.32%
Assets
$ 9.8M
Worst DD
-13.88
S&P Correlation
0.47

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
5/2010
PFM Systematic 0.32 0.16 - 0.20 18.03 - - 20.56
S&P 500 -1.55 0.62 - 17.29 74.30 - - 81.01
+/- S&P 500 1.87 -0.45 - -17.09 -56.27 - - -60.45

Strategy Description

Summary

The fund is managed through automats supervised by managers with over 7 years of experience in automatic trading, applying simultaneoously more than 100 innovative systematic strategies. These strategies are based on the statistically-proven persistent existence of very short term... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 15k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.60%
Performance Fee
20.00%
Average Commission
$3.60
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
7500 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-12.50%
Worst Peak-to-Trough
12.50%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
70.00%
Intraday
30.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Stock Indices
75.00%
Currency Futures
8.00%
Energy
7.00%
Grains
5.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

The fund is managed through automats supervised by managers with over 7 years of experience in automatic trading, applying simultaneoously more than 100 innovative systematic strategies. These strategies are based on the statistically-proven persistent existence of very short term remarkable behaviours in the evolution of the market prices. Average trade duration ranges from intraday to 5 days.

Investment Strategy

The automats take mainly intraday long & short positions on the most liquid and electronic "future" contracts on worldwide financial places. Trading algorithms are strictly quantitative

   

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
-13.88 7 17 2/1/2011 9/1/2011
-9.05 8 - 6/1/2013 2/1/2014
-5.62 2 3 1/1/0001 6/1/2010
-0.63 1 1 2/1/2013 3/1/2013
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
25.67 8 7/1/2010 2/1/2011
12.55 4 12/1/2011 3/1/2012
7.28 2 1/1/2013 2/1/2013
6.81 3 4/1/2013 6/1/2013
6.38 3 9/1/2012 11/1/2012
3.86 1 10/1/2011 10/1/2011
2.72 1 12/1/2013 12/1/2013
2.30 1 7/1/2012 7/1/2012
1.88 2 3/1/2014 4/1/2014
1.00 1 4/1/2011 4/1/2011
0.77 1 7/1/2014 7/1/2014
0.28 1 10/1/2013 10/1/2013
0.28 1 8/1/2013 8/1/2013
0.24 1 5/1/2012 5/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-12.86 5 5/1/2011 9/1/2011
-6.61 1 4/1/2012 4/1/2012
-5.62 2 5/1/2010 6/1/2010
-5.57 1 7/1/2013 7/1/2013
-3.90 2 1/1/2014 2/1/2014
-3.60 1 11/1/2011 11/1/2011
-2.80 1 9/1/2013 9/1/2013
-2.15 1 3/1/2011 3/1/2011
-1.12 1 6/1/2012 6/1/2012
-0.94 1 8/1/2012 8/1/2012
-0.92 1 8/1/2014 8/1/2014
-0.63 1 3/1/2013 3/1/2013
-0.63 2 5/1/2014 6/1/2014
-0.18 1 11/1/2013 11/1/2013
-0.05 1 12/1/2012 12/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable57.6960.0059.5756.1074.29100.00100.00
Average Period Return0.391.452.974.307.279.8214.07
Average Gain2.295.088.5011.2811.309.8214.07
Average Loss-2.20-3.99-5.18-4.63-4.38
Best Period6.8712.4921.1522.6925.8317.7938.50
Worst Period-6.61-9.50-12.15-8.29-8.971.150.24
Standard Deviation2.835.628.659.318.965.1211.80
Gain Standard Deviation1.573.826.306.076.385.1211.80
Loss Standard Deviation1.972.703.742.362.88
Sharpe Ratio (1%)0.110.210.290.350.641.520.94
Average Gain / Average Loss1.041.271.642.442.58
Profit / Loss Ratio1.421.912.423.117.45
Downside Deviation (10%)2.113.715.436.596.443.918.08
Downside Deviation (5%)1.943.164.294.033.290.210.68
Downside Deviation (0%)1.903.024.033.422.61
Sortino Ratio (10%)-0.010.060.09-0.11-0.05-0.11-0.21
Sortino Ratio (5%)0.160.380.580.821.7537.7316.17
Sortino Ratio (0%)0.210.480.741.252.78

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.