Quantmetrics Capital Management LLP : Directional 10V Strategy

Year-to-Date: N / A
Dec Performance: -3.37%

Min Investment: $ 10,000k
Mgmt. Fee: 1.00%
Perf. Fee: 25.00%

Annualized Vol: 9.38%
Sharpe (RFR=1%): 0.66
CAROR: 6.98%

Assets: $ 1k
Worst DD: -17.03
S&P Correlation: 0.09

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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	Dec	Qtr	YTD	1yr	3yr	5yr	10yr	Since 1/2007
Directional 10V Strategy	-3.37	-	-	-	-4.69	-8.36	56.47	124.62
S&P 500	-9.18	-	-	-	21.41	34.26	174.69	125.01
+/- S&P 500	5.81	-	-	-	-26.10	-42.61	-118.21	-0.39

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 10,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	1.00%
Performance Fee	25.00%
Average Commission	$0
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	Daily
Redemption Frequency	Daily
Investor Requirements	QEP
Lock-up Period	0

Trading

Trading Frequency	2000 RT/YR/$M
Avg. Margin-to-Equity	9%
Targeted Worst DD
Worst Peak-to-Trough	0%
Sector Focus	Diversified Traders

Holding Periods

Over 12 Months	0%
4-12 Months	0%
1-3 Months	0%
1-30 Days	25.00%
Intraday	75.00%

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Composition

Stock Indices: 60.00%
Interest Rates: 25.00%
Currency Futures: 10.00%
Precious Metals: 2.00%
Industrial Metals: 1.00%
Energy: 1.00%
Grains: 1.00%

Summary

Quantmetrics was founded in 2003 by Dr Mushtaq Shah and James Fowler who have worked together for over 17 years in quantitative investment management. The firm specialises in short term systematic strategies, offering two products (one market neutral and one directional) as well as a multi strategy fund that allocates to both. Each product uses statistical and econometric models to exploit small and temporary pricing discrepancies in futures markets. Products benefit from low correlation and high liquidity.

Investment Strategy

QM Directional Strategy is a quantitative directional futures strategy, which employs its predictive (anticipating flow) and reactive (liquidity provision) investment strategies to seek to identify and capture market inefficiencies in financial and commodity futures markets. Time horizons range from 5 minutes to 5 days and the target volatility is 10% (10V). Disciplined risk management is built into each trading algorithm, with time stops and stop losses strictly adhered to.

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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:

Monthly Annual

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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-17.03	46	-	2/1/2015	12/1/2018
-12.03	22	2	8/1/2009	6/1/2011
-7.81	3	5	4/1/2013	7/1/2013
-6.82	1	1	8/1/2011	9/1/2011
-6.10	2	4	8/1/2008	10/1/2008
-3.33	2	3	11/1/2011	1/1/2012
-3.23	2	1	11/1/2012	1/1/2013
-2.54	2	1	6/1/2007	8/1/2007
-2.22	1	1	5/1/2012	6/1/2012
-1.54	1	1	9/1/2007	10/1/2007
-1.32	1	1	6/1/2008	7/1/2008
-1.18	1	4	3/1/2009	4/1/2009
-1.16	1	1	8/1/2014	9/1/2014
-1.13	1	1	12/1/2013	1/1/2014
-0.61	1	1	3/1/2007	4/1/2007
-0.56	1	1	2/1/2008	3/1/2008
-0.36	1	1	9/1/2012	10/1/2012

Consecutive Gains

Run-up	Length (Mos.)	Start	End
15.04	2	7/1/2011	8/1/2011
14.89	4	11/1/2007	2/1/2008
14.45	5	10/1/2014	2/1/2015
14.29	7	2/1/2014	8/1/2014
13.62	3	4/1/2008	6/1/2008
13.58	2	10/1/2011	11/1/2011
13.17	3	1/1/2007	3/1/2007
13.08	3	2/1/2013	4/1/2013
11.81	5	8/1/2013	12/1/2013
9.28	4	2/1/2017	5/1/2017
8.48	3	7/1/2012	9/1/2012
7.43	4	2/1/2012	5/1/2012
5.32	2	11/1/2008	12/1/2008
4.80	1	11/1/2012	11/1/2012
3.74	1	9/1/2007	9/1/2007
3.40	1	8/1/2008	8/1/2008
2.85	2	2/1/2010	3/1/2010
2.73	2	2/1/2009	3/1/2009
2.35	2	12/1/2010	1/1/2011
2.25	1	5/1/2015	5/1/2015
1.81	1	11/1/2018	11/1/2018
1.68	2	5/1/2007	6/1/2007
1.64	1	7/1/2015	7/1/2015
1.32	1	3/1/2011	3/1/2011
1.27	1	12/1/2016	12/1/2016
1.13	2	2/1/2018	3/1/2018
0.91	1	5/1/2009	5/1/2009
0.82	2	8/1/2018	9/1/2018
0.78	1	11/1/2017	11/1/2017
0.77	1	12/1/2015	12/1/2015
0.71	1	8/1/2017	8/1/2017
0.48	2	7/1/2009	8/1/2009
0.42	2	9/1/2016	10/1/2016
0.38	1	11/1/2009	11/1/2009
0.18	1	6/1/2010	6/1/2010

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-8.40	4	8/1/2015	11/1/2015
-8.01	3	4/1/2011	6/1/2011
-7.81	3	5/1/2013	7/1/2013
-6.82	1	9/1/2011	9/1/2011
-6.10	2	9/1/2008	10/1/2008
-5.48	8	1/1/2016	8/1/2016
-5.25	2	6/1/2017	7/1/2017
-4.66	5	7/1/2010	11/1/2010
-4.15	2	9/1/2017	10/1/2017
-3.71	2	3/1/2015	4/1/2015
-3.37	1	12/1/2018	12/1/2018
-3.33	2	12/1/2011	1/1/2012
-3.23	2	12/1/2012	1/1/2013
-2.54	2	7/1/2007	8/1/2007
-2.29	2	12/1/2009	1/1/2010
-2.22	1	6/1/2012	6/1/2012
-2.13	4	4/1/2018	7/1/2018
-1.96	2	12/1/2017	1/1/2018
-1.75	2	9/1/2009	10/1/2009
-1.74	1	10/1/2018	10/1/2018
-1.54	1	10/1/2007	10/1/2007
-1.43	1	6/1/2015	6/1/2015
-1.32	1	2/1/2011	2/1/2011
-1.32	1	7/1/2008	7/1/2008
-1.29	2	4/1/2010	5/1/2010
-1.18	1	4/1/2009	4/1/2009
-1.16	1	9/1/2014	9/1/2014
-1.13	1	1/1/2014	1/1/2014
-0.61	1	4/1/2007	4/1/2007
-0.56	1	3/1/2008	3/1/2008
-0.55	1	1/1/2009	1/1/2009
-0.36	1	10/1/2012	10/1/2012
-0.32	1	1/1/2017	1/1/2017
-0.18	1	11/1/2016	11/1/2016
-0.16	1	6/1/2009	6/1/2009

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	144.00	142.00	139.00	133.00	127.00	121.00	109.00	97.00	85.00
Percent Profitable	53.47	59.15	61.87	63.91	70.08	66.94	83.49	92.78	100.00
Average Period Return	0.60	1.78	3.53	7.43	11.36	15.06	23.23	34.91	48.98
Average Gain	2.41	4.62	7.70	14.27	18.60	24.64	29.46	37.98	48.98
Average Loss	-1.48	-2.32	-3.25	-4.67	-5.60	-4.33	-8.29	-4.58
Best Period	12.48	13.62	20.52	35.28	47.78	49.11	74.13	95.99	79.82
Worst Period	-7.14	-8.21	-9.54	-11.71	-13.93	-11.61	-13.69	-13.12	6.06
Standard Deviation	2.71	4.59	6.90	11.44	15.51	17.62	22.45	23.44	18.26
Gain Standard Deviation	2.13	3.66	5.26	8.31	12.68	13.44	19.08	21.43	18.26
Loss Standard Deviation	1.58	1.90	2.32	3.22	3.95	3.00	3.90	4.21
Sharpe Ratio (1%)	0.19	0.33	0.44	0.56	0.64	0.74	0.90	1.32	2.40
Average Gain / Average Loss	1.63	1.99	2.37	3.05	3.32	5.69	3.56	8.29
Profit / Loss Ratio	1.87	2.88	3.84	5.41	7.79	11.53	17.97	106.55
Downside Deviation (10%)	1.67	2.58	3.85	6.20	7.92	8.89	10.66	8.04	3.89
Downside Deviation (5%)	1.51	2.04	2.72	3.91	4.44	4.03	4.86	2.55
Downside Deviation (0%)	1.47	1.91	2.46	3.40	3.73	3.02	3.70	1.62
Sortino Ratio (10%)	0.11	0.22	0.27	0.39	0.48	0.54	0.70	1.66	5.49
Sortino Ratio (5%)	0.34	0.75	1.11	1.65	2.22	3.24	4.16	12.10
Sortino Ratio (0%)	0.41	0.93	1.43	2.19	3.05	5.00	6.27	21.60

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	9	2.89	3/2007

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#9

Top Performer

DIVERSIFIED TRADER INDEX

MARCH
2007

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Portfolios 14
Watchlists 34

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Quantmetrics Capital Management LLP : Directional 10V Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Quantmetrics Capital Management LLP : Directional 10V Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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