Quantmetrics Capital Management LLP : Active Alpha Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Sep Performance -1.78% Min Investment $ 25,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 4.21% Sharpe (RFR=1%) 0.29 CAROR 2.15% Assets $ 32.6M Worst DD -8.64 S&P Correlation -0.04 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since5/2006 Active Alpha Strategy -1.78 - - - - - -2.54 14.66 S&P 500 2.42 - - - - - 76.68 182.20 +/- S&P 500 -4.20 - - - - - -79.22 -167.54 Strategy Description SummaryQM Active Alpha Fund is a quantitative event driven market neutral hedge fund. The fund aims to provide investors with long-term capital appreciation by realizing consistent short-term risk adjusted gains. The investment approach identifies and captures market inefficiencies driven... Read More Account & Fees Type Managed Account Minimum Investment $ 25,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $1.00 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 7500 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 100.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition SummaryQM Active Alpha Fund is a quantitative event driven market neutral hedge fund. The fund aims to provide investors with long-term capital appreciation by realizing consistent short-term risk adjusted gains. The investment approach identifies and captures market inefficiencies driven by behavior of asset managers around corporate events using statistical and econometric models. The fund employs a diversified collection of trading systems with various time horizons, ranging from intra-day to a month. Disciplined risk management is built into each model, and additionally managed on a portfolio level. Whilst the focus is primarily on Europe and the US, investments are also made in Japan. 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 -8.64 37 - 1/1/2009 2/1/2012 -4.24 4 2 5/1/2007 9/1/2007 -3.39 3 3 7/1/2008 10/1/2008 -1.98 1 2 11/1/2007 12/1/2007 -0.20 1 1 4/1/2008 5/1/2008 Show More Consecutive Gains Run-up Length (Mos.) Start End 16.94 13 5/1/2006 5/1/2007 6.35 4 1/1/2008 4/1/2008 6.07 2 10/1/2007 11/1/2007 3.55 3 11/1/2008 1/1/2009 1.89 2 3/1/2011 4/1/2011 1.48 2 7/1/2012 8/1/2012 1.40 2 3/1/2012 4/1/2012 1.38 2 6/1/2008 7/1/2008 0.91 1 8/1/2011 8/1/2011 0.60 1 4/1/2010 4/1/2010 0.56 2 6/1/2009 7/1/2009 0.52 2 12/1/2009 1/1/2010 0.49 1 6/1/2011 6/1/2011 0.46 1 11/1/2011 11/1/2011 0.18 2 9/1/2009 10/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -4.98 10 5/1/2010 2/1/2011 -4.24 4 6/1/2007 9/1/2007 -3.68 4 2/1/2009 5/1/2009 -3.39 3 8/1/2008 10/1/2008 -2.01 2 9/1/2011 10/1/2011 -1.98 1 12/1/2007 12/1/2007 -1.78 1 9/1/2012 9/1/2012 -1.56 3 12/1/2011 2/1/2012 -0.93 2 5/1/2012 6/1/2012 -0.80 1 8/1/2009 8/1/2009 -0.53 2 2/1/2010 3/1/2010 -0.38 1 5/1/2011 5/1/2011 -0.31 1 11/1/2009 11/1/2009 -0.20 1 5/1/2008 5/1/2008 -0.12 1 7/1/2011 7/1/2011 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods77.0075.0072.0066.0060.0054.0042.0030.00 Percent Profitable51.9552.0047.2236.3638.3340.7447.6260.00 Average Period Return0.190.530.911.371.811.881.362.29 Average Gain1.032.203.547.359.4510.388.757.21 Average Loss-0.73-1.28-1.43-2.05-2.94-3.96-5.36-5.09 Best Period3.626.179.8515.6117.4223.8221.5720.97 Worst Period-3.07-3.57-3.80-4.91-5.24-8.18-8.60-8.17 Standard Deviation1.212.253.345.076.758.348.237.96 Gain Standard Deviation0.901.693.043.384.516.585.696.23 Loss Standard Deviation0.761.051.111.221.301.721.872.81 Sharpe Ratio (1%)0.080.120.120.070.05-0.02-0.20-0.22 Average Gain / Average Loss1.411.722.473.593.212.621.631.42 Profit / Loss Ratio1.531.862.212.052.001.801.482.13 Downside Deviation (10%)0.951.913.065.738.4611.3116.5020.79 Downside Deviation (5%)0.771.281.622.623.634.786.226.13 Downside Deviation (0%)0.731.141.311.902.523.324.103.64 Sortino Ratio (10%)-0.23-0.37-0.51-0.63-0.68-0.74-0.87-0.93 Sortino Ratio (5%)0.130.220.260.140.08-0.03-0.27-0.29 Sortino Ratio (0%)0.250.460.700.720.720.570.330.63 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. x {{title}} x {{title}} Add Cancel