Quantmetrics Capital Management LLP : Directional 10V Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since1/2007 Directional 10V Strategy -3.37 - - - -4.44 -5.83 54.85 124.62 S&P 500 -9.18 - - - 21.41 34.26 174.69 197.05 +/- S&P 500 5.81 - - - -25.85 -40.08 -119.84 -72.42 Strategy Description SummaryQuantmetrics 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% SummaryQuantmetrics 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 StrategyQM 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel