Quantmetrics Capital Management LLP : Directional 10V Strategy

archived programs
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

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 -3.33 - -4.22 -8.88 6.06 50.64 124.62
S&P 500 -9.18 -13.97 - -6.24 21.41 34.26 174.69 72.51
+/- S&P 500 5.81 10.64 - 2.02 -30.29 -28.20 -124.05 52.11

Strategy Description

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... Read More

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%
Composition Pie Chart

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.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods144.00142.00139.00133.00127.00121.00109.0097.0085.00
Percent Profitable53.4759.1561.8763.9170.0866.9483.4992.78100.00
Average Period Return0.601.783.537.4311.3615.0623.2334.9148.98
Average Gain2.414.627.7014.2718.6024.6429.4637.9848.98
Average Loss-1.48-2.32-3.25-4.67-5.60-4.33-8.29-4.58
Best Period12.4813.6220.5235.2847.7849.1174.1395.9979.82
Worst Period-7.14-8.21-9.54-11.71-13.93-11.61-13.69-13.126.06
Standard Deviation2.714.596.9011.4415.5117.6222.4523.4418.26
Gain Standard Deviation2.133.665.268.3112.6813.4419.0821.4318.26
Loss Standard Deviation1.581.902.323.223.953.003.904.21
Sharpe Ratio (1%)0.190.330.440.560.640.740.901.322.40
Average Gain / Average Loss1.631.992.373.053.325.693.568.29
Profit / Loss Ratio1.872.883.845.417.7911.5317.97106.55
Downside Deviation (10%)1.672.583.856.207.928.8910.668.043.89
Downside Deviation (5%)1.512.042.723.914.444.034.862.55
Downside Deviation (0%)1.471.912.463.403.733.023.701.62
Sortino Ratio (10%)0.110.220.270.390.480.540.701.665.49
Sortino Ratio (5%)0.340.751.111.652.223.244.1612.10
Sortino Ratio (0%)0.410.931.432.193.055.006.2721.60

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.