Quantmetrics Capital Management LLP : Premier 12V Strategy

archived programs
Year-to-Date
N / A
Dec Performance
0.70%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
9.61%
Sharpe (RFR=1%)
1.00
CAROR
10.62%
Assets
$ 1k
Worst DD
-19.24
S&P Correlation
-0.22

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
4/2003
Premier 12V Strategy 0.70 0.69 - -1.33 -11.00 -11.16 -10.55 390.19
S&P 500 -9.18 -13.97 - -6.24 21.41 34.26 174.69 170.59
+/- S&P 500 9.88 14.66 - 4.90 -32.41 -45.41 -185.23 219.59

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
3000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
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 Premier Strategy is a quantitative market neutral futures strategy, seeking to profit from short term liquidity imbalances in pairs of equity index futures. Time horizons range from 20 minutes to 1 day and the target volatility is 12% (for 12V). 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
-19.24 106 - 1/1/2010 11/1/2018
-3.15 2 2 4/1/2005 6/1/2005
-2.41 2 2 2/1/2008 4/1/2008
-1.84 1 2 10/1/2007 11/1/2007
-1.51 1 1 5/1/2004 6/1/2004
-1.04 2 3 11/1/2005 1/1/2006
-0.98 1 1 1/1/2005 2/1/2005
-0.92 2 1 11/1/2006 1/1/2007
-0.84 1 1 7/1/2008 8/1/2008
-0.67 1 2 10/1/2004 11/1/2004
-0.44 2 1 3/1/2009 5/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
127.62 14 4/1/2003 5/1/2004
26.23 9 2/1/2007 10/1/2007
24.52 7 9/1/2008 3/1/2009
13.89 8 4/1/2006 11/1/2006
12.38 5 7/1/2005 11/1/2005
12.17 4 7/1/2004 10/1/2004
9.12 5 3/1/2013 7/1/2013
8.01 3 12/1/2007 2/1/2008
7.95 4 5/1/2010 8/1/2010
7.42 8 6/1/2009 1/1/2010
7.27 3 5/1/2008 7/1/2008
7.10 2 10/1/2011 11/1/2011
6.39 1 8/1/2011 8/1/2011
5.48 2 3/1/2005 4/1/2005
2.72 4 12/1/2014 3/1/2015
2.65 1 2/1/2018 2/1/2018
2.55 4 12/1/2013 3/1/2014
2.46 2 12/1/2004 1/1/2005
1.77 2 5/1/2012 6/1/2012
1.74 1 10/1/2018 10/1/2018
1.68 1 1/1/2016 1/1/2016
1.19 1 3/1/2016 3/1/2016
1.07 1 9/1/2015 9/1/2015
0.97 2 5/1/2015 6/1/2015
0.72 2 9/1/2013 10/1/2013
0.70 1 12/1/2018 12/1/2018
0.66 1 6/1/2011 6/1/2011
0.66 1 10/1/2012 10/1/2012
0.63 1 5/1/2016 5/1/2016
0.39 1 11/1/2016 11/1/2016
0.35 1 2/1/2006 2/1/2006
0.30 1 1/1/2012 1/1/2012
0.27 1 12/1/2010 12/1/2010
0.24 1 5/1/2018 5/1/2018
0.10 1 11/1/2015 11/1/2015
0.01 1 9/1/2014 9/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.80 4 11/1/2012 2/1/2013
-8.55 3 2/1/2010 4/1/2010
-6.75 3 9/1/2010 11/1/2010
-5.53 5 6/1/2016 10/1/2016
-4.96 1 2/1/2016 2/1/2016
-4.89 5 1/1/2011 5/1/2011
-4.15 2 3/1/2018 4/1/2018
-3.63 1 9/1/2011 9/1/2011
-3.15 2 5/1/2005 6/1/2005
-2.41 2 3/1/2008 4/1/2008
-2.25 5 4/1/2014 8/1/2014
-2.12 3 7/1/2012 9/1/2012
-1.98 14 12/1/2016 1/1/2018
-1.84 1 11/1/2007 11/1/2007
-1.72 1 11/1/2018 11/1/2018
-1.58 1 10/1/2015 10/1/2015
-1.51 1 6/1/2004 6/1/2004
-1.45 1 4/1/2016 4/1/2016
-1.43 3 2/1/2012 4/1/2012
-1.27 2 10/1/2014 11/1/2014
-1.04 2 12/1/2005 1/1/2006
-0.98 1 2/1/2005 2/1/2005
-0.92 2 12/1/2006 1/1/2007
-0.86 1 11/1/2013 11/1/2013
-0.84 1 8/1/2008 8/1/2008
-0.82 1 8/1/2013 8/1/2013
-0.81 1 12/1/2015 12/1/2015
-0.81 1 12/1/2011 12/1/2011
-0.67 1 11/1/2004 11/1/2004
-0.61 2 7/1/2015 8/1/2015
-0.58 4 6/1/2018 9/1/2018
-0.44 2 4/1/2009 5/1/2009
-0.30 1 4/1/2015 4/1/2015
-0.09 1 3/1/2006 3/1/2006
-0.03 1 7/1/2011 7/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods189.00187.00184.00178.00172.00166.00154.00142.00130.00
Percent Profitable56.6158.8261.9660.1158.1454.8258.4455.6359.23
Average Period Return0.882.695.3610.1514.5318.9429.0841.6354.31
Average Gain2.345.9210.6119.9328.6538.9754.8780.6896.88
Average Loss-1.02-1.91-3.19-4.59-5.08-5.37-7.20-7.33-7.54
Best Period14.7033.0663.13112.44146.53161.76188.67241.64326.03
Worst Period-6.45-10.46-11.91-12.32-11.65-11.60-13.62-12.29-14.31
Standard Deviation2.776.5311.9820.6327.1432.6145.0161.1379.45
Gain Standard Deviation2.746.6212.4321.4827.9732.3243.0557.1478.72
Loss Standard Deviation1.242.252.893.293.492.933.733.344.61
Sharpe Ratio (1%)0.290.370.410.440.480.520.580.610.62
Average Gain / Average Loss2.293.103.334.345.647.267.6311.0012.85
Profit / Loss Ratio2.994.435.426.547.838.8110.7213.8018.67
Downside Deviation (10%)1.252.483.946.508.7411.0615.6920.0423.88
Downside Deviation (5%)1.091.992.884.094.825.347.027.918.65
Downside Deviation (0%)1.061.892.653.563.984.105.225.365.63
Sortino Ratio (10%)0.380.590.730.790.790.790.851.001.12
Sortino Ratio (5%)0.731.231.692.232.703.173.714.755.69
Sortino Ratio (0%)0.831.432.032.853.654.615.577.779.65

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 7 2.13 8/2011
Stock Index Trader Index Month 10 -0.01 7/2011
Stock Index Trader Index Month 8 0.42 10/2009
Stock Index Trader Index Month 10 0.63 7/2009
Stock Index Trader Index Month 8 0.53 3/2009
IASG CTA Index 5 Year Rolling 9 192.60 2003 - 2008
Stock Index Trader Index Month 8 1.02 11/2008
Stock Index Trader Index Month 3 3.66 10/2008
Stock Index Trader Index Month 7 1.70 9/2008
Stock Index Trader Index Month 8 1.09 6/2008
Stock Index Trader Index Month 2 1.59 1/2008
Stock Index Trader Index Month 9 1.11 8/2007
Stock Index Trader Index Month 4 1.65 7/2007
Stock Index Trader Index Month 6 0.23 4/2007
Stock Index Trader Index Month 6 0.28 3/2007
Stock Index Trader Index Month 6 1.33 2/2007
IASG CTA Index 3 Year Rolling 10 75.24 2003 - 2006
Stock Index Trader Index Month 10 -0.06 12/2006
IASG CTA Index Sharpe 9 2.51 2005 - 2006
Stock Index Trader Index Month 9 0.53 11/2006
Stock Index Trader Index Month 9 0.26 10/2006
Stock Index Trader Index Month 10 0.22 9/2006
Stock Index Trader Index Month 5 1.00 7/2006
Stock Index Trader Index Month 8 0.64 6/2006
Stock Index Trader Index Month 3 1.08 5/2006
Stock Index Trader Index Month 10 -0.03 3/2006
Stock Index Trader Index Month 10 -0.31 1/2006
Stock Index Trader Index Month 8 -0.04 12/2005
IASG CTA Index Sharpe 7 2.80 2004 - 2005
Stock Index Trader Index Month 5 0.36 11/2005
Stock Index Trader Index Month 7 0.35 10/2005
Stock Index Trader Index Month 8 0.50 9/2005
Stock Index Trader Index Month 6 1.73 8/2005
Stock Index Trader Index Month 1 1.01 7/2005
Stock Index Trader Index Month 9 -0.73 6/2005
Stock Index Trader Index Month 10 -0.33 5/2005
Stock Index Trader Index Month 5 1.48 4/2005
Stock Index Trader Index Month 6 0.33 3/2005
Stock Index Trader Index Month 10 -0.33 2/2005
Stock Index Trader Index Month 6 0.64 1/2005
IASG CTA Index Sharpe 3 3.53 2003 - 2004
Stock Index Trader Index Month 7 0.18 12/2004
IASG CTA Index Year Rolling 9 34.08 2003 - 2004
Stock Index Trader Index Month 7 -0.22 11/2004
Stock Index Trader Index Month 7 0.67 10/2004
Stock Index Trader Index Month 5 1.25 9/2004
Stock Index Trader Index Month 8 0.60 8/2004
Stock Index Trader Index Month 7 1.38 7/2004
Stock Index Trader Index Month 10 -0.50 6/2004
Stock Index Trader Index Month 5 1.64 5/2004
Stock Index Trader Index Month 8 0.91 4/2004
Stock Index Trader Index Month 6 2.58 3/2004
Stock Index Trader Index Month 8 0.88 2/2004
Stock Index Trader Index Month 7 0.65 1/2004
IASG CTA Index Sharpe 2 5.03 2002 - 2003
Stock Index Trader Index Month 1 1.88 12/2003
Stock Index Trader Index Month 3 2.14 11/2003
Systematic Trader Index Month 4 2.14 11/2003
IASG CTA Index Month 9 2.14 11/2003
Stock Index Trader Index Month 6 2.08 10/2003
Stock Index Trader Index Month 1 4.90 9/2003
Stock Index Trader Index Month 6 0.20 8/2003
Systematic Trader Index Month 6 4.62 7/2003
Stock Index Trader Index Month 2 4.62 7/2003
Stock Index Trader Index Month 4 1.59 6/2003
Systematic Trader Index Month 6 1.59 6/2003
IASG CTA Index Month 10 1.59 6/2003
Stock Index Trader Index Month 3 3.85 5/2003
Stock Index Trader Index Month 6 0.00 4/2003

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