Quantitative Investment Management : Global Fund (3x) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 5.83% Jan Performance -5.83% Min Investment $ 1,000k Mgmt. Fee 0% Perf. Fee 30.00% Annualized Vol 29.76% Sharpe (RFR=1%) 0.55 CAROR 13.86% Assets $ 131.0M Worst DD -50.57 S&P Correlation 0.05 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since6/2005 Global Fund (3x) -5.83 -9.53 -5.83 -37.47 -27.61 -17.94 41.22 664.62 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 185.82 226.88 +/- S&P 500 -4.72 -23.12 -4.72 -52.62 -59.14 -107.43 -144.60 437.75 Strategy Description Investment StrategyThe 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% Investment StrategyThe 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. 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 -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 18.41 1 11/1/2020 11/1/2020 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 -9.53 2 12/1/2020 1/1/2021 -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 Periods188.00186.00183.00177.00171.00165.00153.00141.00129.00 Percent Profitable57.9861.2963.9359.3260.8269.0975.8282.9889.92 Average Period Return1.454.669.1520.0132.4447.6376.4298.30111.53 Average Gain7.0414.3422.7244.7364.7379.70107.52121.71125.80 Average Loss-6.26-10.67-14.91-16.04-17.69-24.05-21.09-15.84-15.78 Best Period26.5251.8076.31126.07165.88238.66356.40520.72383.06 Worst Period-25.80-31.76-42.95-39.64-42.26-42.86-49.42-38.16-27.26 Standard Deviation8.5916.1022.6137.6853.3774.09105.27121.55104.83 Gain Standard Deviation5.7712.0315.5628.3244.3167.43102.68120.68100.94 Loss Standard Deviation5.207.508.9311.078.8611.9614.749.248.14 Sharpe Ratio (1%)0.160.270.380.500.580.620.700.781.02 Average Gain / Average Loss1.131.341.522.793.663.315.107.687.97 Profit / Loss Ratio1.552.132.704.075.687.4115.9837.4571.15 Downside Deviation (10%)5.478.7311.7215.1516.7820.2619.7016.3114.71 Downside Deviation (5%)5.308.2210.6712.9313.2115.9213.859.037.08 Downside Deviation (0%)5.268.0910.4112.4012.3614.9112.607.535.59 Sortino Ratio (10%)0.190.390.570.991.481.853.084.705.70 Sortino Ratio (5%)0.260.540.811.472.342.875.3010.4415.03 Sortino Ratio (0%)0.280.580.881.612.623.206.0713.0619.95 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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