Quantum Capital Investments LLC : QCI - Quad R&S Program

archived programs
Year-to-Date
N / A
Apr Performance
-3.63%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
25.88%
Sharpe (RFR=1%)
1.27
CAROR
-
Assets
$ 1.0M
Worst DD
-10.75
S&P Correlation
-0.25

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
3/2008
QCI - Quad R&S Program -3.63 - - - - - - 42.97
S&P 500 9.39 - - - - - - 170.98
+/- S&P 500 -13.02 - - - - - - -128.01

Strategy Description

Summary

-The Quad R&S Program trades futures contracts such as the E-mini Russell 2000, E-mini S&P, E-mini NASDAQ and the CBOT Mini Dow. Other futures markets such as gold, silver and crude oil, interest rates, and currencies may be traded under this same program and strategy as an attempt... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
Available to US Investors Request Information

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The Quad R&S Program trades futures contracts such as the E-mini Russell 2000, E-mini S&P, E-mini NASDAQ and the CBOT Mini Dow. Other futures markets such as gold, silver and crude oil, interest rates, and currencies may be traded under this same program and strategy as an attempt to reduce portfolio volatility via speculation in uncorrelated markets in comparison to equity index futures markets. The strategy attempts to scale into a position at determined short term to medium term support or resistance levels as identified by the proprietary indicators. The position is maintained until the predefined intraday or multiple day support or resistance levels are reached and the position is stopped out via the dynamic trailing stops, a dynamic profit target is reached or the position is reversed.

Investment Strategy

The exact nature of QCI’s trading strategy is proprietary and confidential. The following description is of necessity general and is not intended to be all-inclusive. QCI’s trading strategy is strictly technical in nature. No fundamental analysis is used. The strategy was developed from analysis of price patterns and statistical price and volume distributions in order to project price direction, support, resistance, price breakout and recognize the trend. QCI has conducted analysis of these price patterns and statistical price and volume distributions to determine procedures for initiating and liquidating positions in the markets in which it trades. The strategies are also based on general economic factors, or world events that have an impact on supply and demand and thus may represent an opportunity to initiate a position in the direction of our forecast. The general trading strategy is a combination of both trend following and swing trading. Most, but not all, trade initiations and liquidations are in the direction of the trend. QCI employs techniques that utilize a number of trading models acting independently. Each model generates it own entry and exit signals and trades both sides of the market (long and short). QCI reserves the right to make adjustments in the exact entry or exit price a model uses for the CTA program, or to delay entry or exit on any order, in order to attempt to reduce the impact of slippage from large block orders being executed at the same or similar prices. QCI may also scale into and out of a position in order to get a better average price. This scaling in and out of a position results in more trades and higher trading activity when compared to entering all positions at a single price without attempting to scale into and out of a position in order to achieve a better average price. The models vary from short term intraday trading to intermediate term multiple day positions and potentially long-term week long positions. Market Sectors: Currency 25%, Interest Rates 25%, Stock Index 25%, Softs 10%, Grains 10%, Energies 5%.

   

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
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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
-10.75 5 - 11/1/2008 4/1/2009
-2.37 1 1 7/1/2008 8/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
39.61 5 3/1/2008 7/1/2008
17.53 3 9/1/2008 11/1/2008
3.95 1 1/1/2009 1/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.35 3 2/1/2009 4/1/2009
-4.23 1 12/1/2008 12/1/2008
-2.37 1 8/1/2008 8/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable64.2975.0088.89
Average Period Return2.8210.4225.45
Average Gain6.3115.7929.31
Average Loss-3.47-5.69-5.45
Best Period25.0933.2746.28
Worst Period-4.23-10.35-5.45
Standard Deviation7.4713.3719.22
Gain Standard Deviation7.2110.5816.39
Loss Standard Deviation0.794.04
Sharpe Ratio (1%)0.370.761.30
Average Gain / Average Loss1.822.785.37
Profit / Loss Ratio3.288.3343.00
Downside Deviation (10%)2.353.832.64
Downside Deviation (5%)2.163.401.98
Downside Deviation (0%)2.113.291.82
Sortino Ratio (10%)1.032.408.70
Sortino Ratio (5%)1.273.0012.58
Sortino Ratio (0%)1.333.1714.00

Top Performer Badges

Index Award Type Rank Performance Period

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