Quantmetrics Capital Management LLP : Premier 12V Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Since4/2003 Premier 12V Strategy 0.70 - - - 0.35 -7.64 -7.79 390.19 S&P 500 -9.18 - - - 21.41 34.26 174.69 365.93 +/- S&P 500 9.88 - - - -21.06 -41.90 -182.48 24.25 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 $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 3000 RT/YR/$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% Composition Stock Indices 100.00% 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 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. 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 -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 Show More 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 Show More 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 Show More 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 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 10 75.24 2003 - 2006 Stock Index Trader Index Month 10 -0.06 12/2006 IASG CTA Index Sharpe 9 2.51 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 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 2004 Stock Index Trader Index Month 7 0.18 12/2004 IASG CTA Index Annual 9 34.08 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 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. x {{title}} x {{title}} Add Cancel