Quantmetrics Capital Management LLP : Quantmetrics Multi Strategy Fund

archived programs
Year-to-Date
N / A
Dec Performance
-1.60%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
8.63%
Sharpe (RFR=1%)
0.83
CAROR
8.12%
Assets
$ 21.0M
Worst DD
-20.07
S&P Correlation
-0.17

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
5/2006
Quantmetrics Multi Strategy Fund -1.60 -1.59 - -2.68 -12.13 -2.09 23.13 168.97
S&P 500 -9.18 -13.97 - -6.24 21.41 34.26 174.69 95.35
+/- S&P 500 7.58 12.38 - 3.56 -33.54 -36.34 -151.56 73.62

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 (QM Premier and QM Directional) as well as a multi... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
20.00%
Intraday
80.00%

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 (QM Premier and QM 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

The Quantmetrics Multi Strategy Fund has exposure to the 2 managed futures strategies offered by Quantmetrics;
QM Premier: a market neutral strategy that seeks to identify and capture short term liquidity imbalances in pairs of equity index futures. The strategy employs a number of market neutral trading systems with time horizons ranging from 20 minutes to 1 day, with a target volatility of 8%.
QM Directional: a directional strategy that aims to generate returns through its predictive (anticipating flow) and reactive (liquidity provision) investment strategies, with time horizons ranging from 5 minutes to 5 days. The strategy is unhedged but we believe it benefits from cross market diversification, targeting a volatility of 7.5%. QM Premier and QM Directional together create a target volatility of 10% for the QM Multi Strategy Fund.

Risk Management

The performance on page 1 reflects the following:

Managed Account:
May 2006 – October 2007 are the net returns of a managed account over which Dr. Mushtaq Shah and James Fowler had discretion.  The investment strategy of this account was substantially similar to that of the QM Multi Strategy Fund. Note on fees: From May 2006 - October 2007, performance fees were charged on individual strategy accounts rather than on the commingled gross return, therefore net returns were understated during that period.

Lehman Brothers:
November 2007 – September 2008 reflects the net returns of the QM Multi-Strategy Fund Class B USD share class. October 2008 – June 2013 reflects the net returns of the Class B-2 USD share class. The Class B share class had a significant position in the Lehman bankruptcy claim; in June 2009 a -9.28% write down was taken which was recovered in May 2013 (+11%). The class B-2 share class was formed for subsequent investors who had no claim on Lehman assets. In July 2013 the Class B and Class B-2 shares were merged following the recovery. The net returns from July 2013 forward demonstrate the returns of the QM Multi Strategy Fund Class B USD share class, which is the only share class available to USD investors in the QM Multi Strategy Fund at this time.

   

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:
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Average Gain:
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Risk
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-20.07 46 - 2/1/2015 12/1/2018
-11.61 17 2 1/1/2010 6/1/2011
-7.85 2 3 11/1/2012 1/1/2013
-6.98 1 6 4/1/2013 5/1/2013
-6.47 1 1 8/1/2011 9/1/2011
-4.03 2 5 3/1/2009 5/1/2009
-3.20 3 3 11/1/2011 2/1/2012
-1.75 1 2 8/1/2012 9/1/2012
-0.97 1 1 12/1/2013 1/1/2014
-0.96 1 1 8/1/2014 9/1/2014
-0.82 1 1 5/1/2012 6/1/2012
-0.74 1 1 3/1/2014 4/1/2014
-0.17 1 1 2/1/2008 3/1/2008
-0.11 1 1 11/1/2007 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
56.65 19 5/1/2006 11/1/2007
30.89 12 4/1/2008 3/1/2009
13.29 2 7/1/2011 8/1/2011
12.68 5 10/1/2014 2/1/2015
12.64 7 6/1/2013 12/1/2013
12.07 3 2/1/2013 4/1/2013
11.24 2 1/1/2008 2/1/2008
11.21 2 10/1/2011 11/1/2011
5.70 4 5/1/2014 8/1/2014
5.66 2 2/1/2014 3/1/2014
4.59 3 5/1/2010 7/1/2010
4.40 3 3/1/2012 5/1/2012
3.96 4 2/1/2017 5/1/2017
3.90 2 7/1/2012 8/1/2012
3.26 2 10/1/2012 11/1/2012
3.10 5 9/1/2009 1/1/2010
2.92 2 6/1/2009 7/1/2009
2.37 1 2/1/2018 2/1/2018
2.34 1 5/1/2015 5/1/2015
1.48 1 7/1/2015 7/1/2015
1.29 1 4/1/2011 4/1/2011
1.06 3 8/1/2018 10/1/2018
0.59 1 3/1/2016 3/1/2016
0.46 2 11/1/2016 12/1/2016
0.33 1 11/1/2017 11/1/2017
0.22 1 12/1/2010 12/1/2010
0.22 1 8/1/2017 8/1/2017
0.19 1 5/1/2016 5/1/2016
0.13 1 1/1/2016 1/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.85 2 12/1/2012 1/1/2013
-7.54 5 8/1/2015 12/1/2015
-6.98 1 5/1/2013 5/1/2013
-6.75 4 8/1/2010 11/1/2010
-6.47 1 9/1/2011 9/1/2011
-4.58 5 6/1/2016 10/1/2016
-4.55 2 3/1/2015 4/1/2015
-4.54 3 2/1/2010 4/1/2010
-4.20 3 1/1/2011 3/1/2011
-4.03 2 4/1/2009 5/1/2009
-3.74 5 3/1/2018 7/1/2018
-3.48 1 2/1/2016 2/1/2016
-3.20 3 12/1/2011 2/1/2012
-2.88 2 6/1/2017 7/1/2017
-2.37 2 5/1/2011 6/1/2011
-2.34 2 9/1/2017 10/1/2017
-1.86 2 11/1/2018 12/1/2018
-1.75 1 9/1/2012 9/1/2012
-1.28 1 4/1/2016 4/1/2016
-1.22 2 12/1/2017 1/1/2018
-0.97 1 1/1/2014 1/1/2014
-0.96 1 9/1/2014 9/1/2014
-0.82 1 6/1/2012 6/1/2012
-0.75 1 6/1/2015 6/1/2015
-0.74 1 4/1/2014 4/1/2014
-0.43 1 1/1/2017 1/1/2017
-0.39 1 8/1/2009 8/1/2009
-0.17 1 3/1/2008 3/1/2008
-0.11 1 12/1/2007 12/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods152.00150.00147.00141.00135.00129.00117.00105.0093.00
Percent Profitable61.8461.3362.5963.8365.1968.2282.9190.4898.92
Average Period Return0.682.054.098.4812.9617.3224.1031.3740.20
Average Gain2.044.898.7016.2923.3228.8431.4035.5740.66
Average Loss-1.51-2.46-3.61-5.30-6.43-7.40-11.33-8.53-2.09
Best Period12.1012.7520.6439.6056.8080.80119.56121.65108.86
Worst Period-7.24-7.21-9.94-14.03-15.73-15.30-18.10-16.14-2.09
Standard Deviation2.494.597.7214.0420.2525.7530.7829.0526.85
Gain Standard Deviation1.903.415.8811.4617.6123.3828.7127.3026.63
Loss Standard Deviation1.621.642.493.824.303.755.143.59
Sharpe Ratio (1%)0.240.390.470.530.570.590.680.941.31
Average Gain / Average Loss1.351.982.413.073.633.902.774.1719.50
Profit / Loss Ratio2.193.154.035.426.798.3613.4539.641793.94
Downside Deviation (10%)1.552.524.056.698.7610.4012.3611.188.57
Downside Deviation (5%)1.401.972.934.425.315.706.304.060.77
Downside Deviation (0%)1.361.842.673.924.554.675.122.830.22
Sortino Ratio (10%)0.180.330.400.520.610.680.670.881.47
Sortino Ratio (5%)0.430.911.231.692.162.683.356.7245.46
Sortino Ratio (0%)0.501.111.532.162.853.714.7111.07185.92

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 5 7.28 10/2011
Diversified Trader Index Month 6 7.28 10/2011
IASG CTA Index Sharpe 6 4.65 2007 - 2008
IASG CTA Index Sharpe 4 5.04 2006 - 2007
Diversified Trader Index Month 8 2.97 3/2007
Systematic Trader Index Month 10 2.97 3/2007
IASG CTA Index Sharpe 2 4.98 2005 - 2006
Systematic Trader Index Month 2 4.11 7/2006
Diversified Trader Index Month 4 4.11 7/2006
IASG CTA Index Month 8 4.11 7/2006
Diversified Trader Index Month 2 4.63 6/2006
Systematic Trader Index Month 3 4.63 6/2006
IASG CTA Index Month 4 4.63 6/2006

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