Quantmetrics Capital Management LLP : Premier 12V Strategy

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

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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	2019	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

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%

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.

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Index: Chart Type:

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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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:
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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	189.00	187.00	184.00	178.00	172.00	166.00	154.00	142.00	130.00
Percent Profitable	56.61	58.82	61.96	60.11	58.14	54.82	58.44	55.63	59.23
Average Period Return	0.88	2.69	5.36	10.15	14.53	18.94	29.08	41.63	54.31
Average Gain	2.34	5.92	10.61	19.93	28.65	38.97	54.87	80.68	96.88
Average Loss	-1.02	-1.91	-3.19	-4.59	-5.08	-5.37	-7.20	-7.33	-7.54
Best Period	14.70	33.06	63.13	112.44	146.53	161.76	188.67	241.64	326.03
Worst Period	-6.45	-10.46	-11.91	-12.32	-11.65	-11.60	-13.62	-12.29	-14.31
Standard Deviation	2.77	6.53	11.98	20.63	27.14	32.61	45.01	61.13	79.45
Gain Standard Deviation	2.74	6.62	12.43	21.48	27.97	32.32	43.05	57.14	78.72
Loss Standard Deviation	1.24	2.25	2.89	3.29	3.49	2.93	3.73	3.34	4.61
Sharpe Ratio (1%)	0.29	0.37	0.41	0.44	0.48	0.52	0.58	0.61	0.62
Average Gain / Average Loss	2.29	3.10	3.33	4.34	5.64	7.26	7.63	11.00	12.85
Profit / Loss Ratio	2.99	4.43	5.42	6.54	7.83	8.81	10.72	13.80	18.67
Downside Deviation (10%)	1.25	2.48	3.94	6.50	8.74	11.06	15.69	20.04	23.88
Downside Deviation (5%)	1.09	1.99	2.88	4.09	4.82	5.34	7.02	7.91	8.65
Downside Deviation (0%)	1.06	1.89	2.65	3.56	3.98	4.10	5.22	5.36	5.63
Sortino Ratio (10%)	0.38	0.59	0.73	0.79	0.79	0.79	0.85	1.00	1.12
Sortino Ratio (5%)	0.73	1.23	1.69	2.23	2.70	3.17	3.71	4.75	5.69
Sortino Ratio (0%)	0.83	1.43	2.03	2.85	3.65	4.61	5.57	7.77	9.65

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.

^#7

Top Performer

STOCK INDEX TRADER INDEX

AUGUST
2011

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Quantmetrics Capital Management LLP : Premier 12V 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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