Quantitative Investment Management : Global Fund (3x)

Year-to-Date
28.71%
Oct Performance
-2.27%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
29.60%
Sharpe (RFR=1%)
0.55
CAROR
13.60%
Assets
$ 131.0M
Worst DD
-50.57
S&P Correlation
0.03

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
6/2005
Global Fund (3x) -2.27 2.32 -28.71 -23.69 -46.84 -6.99 46.39 613.77
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 173.50 200.86
+/- S&P 500 0.50 2.36 -29.92 -31.34 -73.81 -62.65 -127.10 412.91

Strategy Description

Investment Strategy

The QUANTITATIVE GLOBAL FUND (3X) is a 3x levered version of the Quantitative Global Program offered as a commodity pool. The Global Program seeks to deliver strong risk adjusted returns through the use of proprietary machine learning predictive techniques. The average... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission
Available to US Investors Yes

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 3600 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The QUANTITATIVE GLOBAL FUND (3X) is a 3x levered version of the Quantitative Global Program offered as a commodity pool. The Global Program seeks to deliver strong risk adjusted returns through the use of proprietary machine learning predictive techniques. The average trade length for the Global Program is one to two weeks. The holding period for all trades ranges from 1 to 50 days. The program is negatively correlated to its benchmarks over the last three years. Quantitative currently employs numerous quantitative trading models that utilize pattern recognition to predict all types of price movements. All models are tested across massive data sets. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resultant system of models offers reliable signals that guide market timing and trade allocation. The program presently trades 26 different futures contracts. The allocation to each contract is based on the liquidity and uniqueness of that contract relative to the rest of the portfolio, and it is optimized to achieve balanced diversification. The fund is offered both onshore and offshore, and with an unlevered share class.

   

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
-50.57 34 - 10/1/2017 8/1/2020
-44.73 31 10 6/1/2012 1/1/2015
-33.25 21 11 9/1/2009 6/1/2011
-22.36 1 2 12/1/2007 1/1/2008
-11.44 1 3 4/1/2007 5/1/2007
-10.20 2 2 5/1/2008 7/1/2008
-9.38 1 6 2/1/2016 3/1/2016
-8.79 1 2 7/1/2017 8/1/2017
-7.54 1 2 9/1/2008 10/1/2008
-7.53 2 1 1/1/2009 3/1/2009
-6.88 1 4 5/1/2006 6/1/2006
-6.57 1 1 3/1/2006 4/1/2006
-6.11 1 1 11/1/2015 12/1/2015
-3.80 1 1 9/1/2016 10/1/2016
-3.57 1 1 11/1/2006 12/1/2006
-3.19 1 2 1/1/0001 6/1/2005
-1.86 1 1 5/1/2009 6/1/2009
-0.42 2 1 3/1/2017 5/1/2017
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
82.88 7 6/1/2007 12/1/2007
60.27 4 10/1/2019 1/1/2020
59.22 4 2/1/2008 5/1/2008
56.13 4 3/1/2012 6/1/2012
46.88 5 7/1/2011 11/1/2011
43.79 9 7/1/2005 3/1/2006
43.64 4 8/1/2015 11/1/2015
38.79 5 11/1/2016 3/1/2017
32.50 4 1/1/2007 4/1/2007
31.58 3 4/1/2015 6/1/2015
29.72 3 11/1/2008 1/1/2009
29.32 2 1/1/2016 2/1/2016
28.34 2 6/1/2019 7/1/2019
25.42 5 10/1/2013 2/1/2014
24.92 2 4/1/2009 5/1/2009
21.44 4 3/1/2018 6/1/2018
20.40 2 8/1/2008 9/1/2008
16.99 2 9/1/2017 10/1/2017
16.69 6 4/1/2016 9/1/2016
15.11 1 5/1/2006 5/1/2006
13.26 3 8/1/2010 10/1/2010
12.12 3 7/1/2009 9/1/2009
11.04 3 12/1/2010 2/1/2011
8.24 2 10/1/2006 11/1/2006
8.15 1 12/1/2018 12/1/2018
7.81 1 9/1/2014 9/1/2014
6.78 1 7/1/2006 7/1/2006
6.77 1 2/1/2015 2/1/2015
6.45 1 11/1/2009 11/1/2009
5.22 2 7/1/2013 8/1/2013
4.96 1 12/1/2012 12/1/2012
4.94 2 8/1/2018 9/1/2018
4.70 1 9/1/2020 9/1/2020
3.15 1 12/1/2017 12/1/2017
2.78 1 5/1/2020 5/1/2020
2.49 2 8/1/2012 9/1/2012
1.33 1 6/1/2010 6/1/2010
0.94 2 6/1/2017 7/1/2017
0.24 1 4/1/2010 4/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-31.76 3 2/1/2020 4/1/2020
-28.08 5 1/1/2019 5/1/2019
-27.12 6 3/1/2014 8/1/2014
-25.99 4 12/1/2009 3/1/2010
-24.91 3 12/1/2011 2/1/2012
-23.74 2 1/1/2018 2/1/2018
-22.36 1 1/1/2008 1/1/2008
-21.48 3 6/1/2020 8/1/2020
-20.57 2 8/1/2019 9/1/2019
-20.37 6 1/1/2013 6/1/2013
-20.14 4 10/1/2014 1/1/2015
-19.29 4 3/1/2011 6/1/2011
-18.84 2 10/1/2018 11/1/2018
-13.96 2 10/1/2012 11/1/2012
-11.44 1 5/1/2007 5/1/2007
-10.20 2 6/1/2008 7/1/2008
-9.38 1 3/1/2016 3/1/2016
-8.79 1 8/1/2017 8/1/2017
-8.75 1 7/1/2018 7/1/2018
-7.54 1 10/1/2008 10/1/2008
-7.53 2 2/1/2009 3/1/2009
-7.14 1 10/1/2009 10/1/2009
-6.88 1 6/1/2006 6/1/2006
-6.57 1 4/1/2006 4/1/2006
-6.17 1 7/1/2012 7/1/2012
-6.11 1 12/1/2015 12/1/2015
-5.76 1 11/1/2010 11/1/2010
-4.84 1 11/1/2017 11/1/2017
-4.43 1 7/1/2015 7/1/2015
-4.32 1 3/1/2015 3/1/2015
-3.86 1 5/1/2010 5/1/2010
-3.80 1 10/1/2016 10/1/2016
-3.65 2 8/1/2006 9/1/2006
-3.57 1 12/1/2006 12/1/2006
-3.48 1 9/1/2013 9/1/2013
-3.19 1 6/1/2005 6/1/2005
-2.32 1 7/1/2010 7/1/2010
-2.27 1 10/1/2020 10/1/2020
-1.86 1 6/1/2009 6/1/2009
-0.42 2 4/1/2017 5/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods185.00183.00180.00174.00168.00162.00150.00138.00126.00
Percent Profitable58.3860.6663.8960.3461.3170.3777.3384.7890.48
Average Period Return1.434.529.2820.7533.1348.9278.75101.04114.03
Average Gain6.9414.3723.0444.7365.2779.70107.52121.71127.80
Average Loss-6.29-10.67-15.06-15.75-17.80-24.19-19.40-14.14-16.87
Best Period26.5251.8076.31126.07165.88238.66356.40520.72383.06
Worst Period-25.80-31.76-42.95-38.04-42.26-42.86-49.42-25.88-27.26
Standard Deviation8.5516.1722.7637.5453.5674.16105.00121.41104.80
Gain Standard Deviation5.6912.1515.5128.3244.1867.43102.68120.68100.66
Loss Standard Deviation5.267.508.9110.908.8312.2614.147.927.45
Sharpe Ratio (1%)0.160.260.390.530.590.630.720.801.04
Average Gain / Average Loss1.101.351.532.843.673.305.548.617.58
Profit / Loss Ratio1.552.082.714.325.817.8318.9147.9671.99
Downside Deviation (10%)5.488.8011.8014.7416.7419.9618.2514.7414.49
Downside Deviation (5%)5.328.2910.7512.5613.1915.7212.577.727.13
Downside Deviation (0%)5.288.1610.4912.0312.3414.7311.376.295.65
Sortino Ratio (10%)0.190.370.581.071.531.943.455.395.96
Sortino Ratio (5%)0.250.520.821.572.402.986.0212.5615.27
Sortino Ratio (0%)0.270.550.881.722.693.326.9316.0720.18

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.