Quantmetrics Capital Management LLP : Active Alpha Strategy

archived programs
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

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
5/2006
Active Alpha Strategy -1.78 - - - - - -3.34 14.66
S&P 500 2.42 - - - - - 76.68 172.75
+/- S&P 500 -4.20 - - - - - -80.02 -158.09

Strategy Description

Summary

QM 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

Summary

QM 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.

   

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
-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
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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
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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
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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.