Quay Capital Management : Druid Futures 2XL Program

archived programs
Year-to-Date
N / A
Oct Performance
3.73%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
8.08%
Sharpe (RFR=1%)
0.21
CAROR
2.36%
Assets
$ 500k
Worst DD
-11.39
S&P Correlation
-0.12

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2001
Druid Futures 2XL Program 3.73 - - - - - - 12.62
S&P 500 3.15 - - - - - - 205.36
+/- S&P 500 0.58 - - - - - - -192.75

Strategy Description

Summary

-The Druid 2XL trading methodology is identical to the Druid Futures Program with double the leverage. INVESTMENT MANAGER General Quay Capital Management Limited (formerly Druid Futures Limited) is an Irish corporation, formed in February 1999. Quay Capital Management Limited ('Quay'... Read More

Account & Fees

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

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
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 Druid 2XL trading methodology is identical to the Druid Futures Program with double the leverage. INVESTMENT MANAGER General Quay Capital Management Limited (formerly Druid Futures Limited) is an Irish corporation, formed in February 1999. Quay Capital Management Limited ('Quay' or 'the Investment Manager') received its authorisation as an investment intermediary from the Central Bank of Ireland in June 2000. Quay is a member of the National Futures Association ('NFA') and has been registered as a Commodity Trading Advisor ('CTA') with the Commodity Futures Trading Commission ('CFTC') since January 2001. Quay is engaged in the business of managing trading in financial instruments for clients. The directors and principals of the company are Mr Paul Phelan and Mr Padraig O'Sullivan. Quay's books and records are maintained at its office in Dublin. PRINCIPALS Paul Phelan (38) is a former Director of Marketing and Business Development with IIU Asset Strategies (previously known as Gandon Fund Management). He joined Gandon in July 1988 as a trader, and dealt in fixed income and currency markets for over five years before he became head of investment management and business development. Mr. Phelan was instrumental in developing the alternative asset management business and in addition to managing the trading and business development functions he was also responsible for managing a number of successful joint ventures and acquisitions for the firm. Having spent over 12 years with IIU Mr. Phelan left the company and joined Quay in December 2000. Padraig O'Sullivan (37) is also a former Director of Gandon Fund Management having joined the company in July 1988. Having spent 5 years trading currency, equity and fixed income markets Mr. O'Sullivan became chief investment officer in charge of systematic trading for the firm and was responsible for the trading record of the IIU Breakout Program. Mr. O'Sullivan departed from the firm in December 1997 to become a Fixed Income Fund Manager for Hibernian Investment Managers. He left Hibernian in December 1998 in order to develop his own company, Druid Futures Ltd (now Quay Capital Management Limited). The models currently employed by Quay are the result of Mr. O'Sullivan 13 years experience trading and financial modelling. The Quay Druid Futures Program The Managers The principals of Quay Capital Management Limited are Padraig O'Sullivan and Paul Phelan, who are also the managers of the program known as the Quay Druid Futures Program. Trading Methodology The Quay Druid Futures Program is a systematic trading model seeking to achieve consistent rates of return with low drawdowns and efficient use of capital. This efficient use of capital means an average margin to equity ratio of less than 5%. The program also seeks low correlation to traditional investments such as stocks and bonds and to established trend following methodologies. The strategy is also highly disciplined in that each position has a pre-determined exit point and risk is strictly quantified and controlled around these levels. The concept underlying the trading strategy is that certain momentum exists in markets moving away from trading ranges that have existed for a certain time period and with particular volatility levels. The measurement of these so-called momentum indicators is subject to complex scrutiny in the research process to ensure false signals are avoided. Once a trade signal has been generated position sizes are adjusted to allow for the current and historical volatility of the market. A consistent and pre-set portion of equity is then allocated to each trade by the imposition of initial and trailing stop loss levels. Each position is then managed on a real time basis and is monitored as a function of both price and time. It is part of the philosophy of the program that the momentum indicators have a limited return expectancy in terms of duration and capturing this duration leads to strong returns with low volatility. Once a trade is exited either in profit or loss it is not re-entered until a completely new signal is generated. The program only traded CFTC approved markets and where the liquidity of the contract is deemed sufficient to enable easy position entry and exit for the program. The current portfolio trades the following markets: Interest rate futures in US Bonds, UK Gilts, Euro Bonds, and Australian Bonds, and Currencies futures in Euro, US Dollar, Yen, Australian Dollar, Canadian Dollar, Swedish Krona and New Zealand Dollar. Risk Management and Account Size A central element of Quay's trading strategy is the application of various risk management measures that in general seek to limit a client's risk exposure from any one position or instrument. Although the Advisor endeavours to follow such measures, no guarantee is given that they will necessarily be followed at all times; that the Advisor will be successful in limiting the risk exposure of an account to the extent sought; or that the measures will in fact achieve the objective of controlling risk. The Advisor estimates that approximately 3% to 7% of the assets in the account will be committed to margin at any one time, although the percentage may vary, depending upon such factors as market conditions, current margin requirements and changes in account equity, or in the Advisor's discretion. The minimum size necessary to commence trading an account with Quay is $500,000.

   

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
-11.39 28 - 5/1/2004 9/1/2006
-6.74 3 16 9/1/2002 12/1/2002
-3.73 1 1 1/1/2002 2/1/2002
-1.63 1 1 10/1/2001 11/1/2001
-0.22 1 1 7/1/2002 8/1/2002
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Consecutive Gains

Run-up Length (Mos.) Start End
13.61 4 2/1/2004 5/1/2004
12.87 5 3/1/2002 7/1/2002
3.84 1 10/1/2001 10/1/2001
3.82 4 5/1/2005 8/1/2005
3.73 1 10/1/2006 10/1/2006
3.61 3 8/1/2003 10/1/2003
3.49 2 12/1/2001 1/1/2002
3.01 2 10/1/2004 11/1/2004
2.82 1 1/1/2003 1/1/2003
2.68 1 10/1/2005 10/1/2005
2.29 2 1/1/2005 2/1/2005
1.69 1 4/1/2003 4/1/2003
1.40 1 8/1/2006 8/1/2006
0.63 1 2/1/2006 2/1/2006
0.54 1 12/1/2003 12/1/2003
0.54 1 6/1/2003 6/1/2003
0.50 1 12/1/2005 12/1/2005
0.39 1 5/1/2006 5/1/2006
0.33 1 9/1/2002 9/1/2002
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.74 3 10/1/2002 12/1/2002
-5.44 2 6/1/2006 7/1/2006
-4.94 4 6/1/2004 9/1/2004
-4.15 2 3/1/2006 4/1/2006
-3.73 1 2/1/2002 2/1/2002
-3.52 1 9/1/2006 9/1/2006
-2.99 1 9/1/2005 9/1/2005
-2.98 2 3/1/2005 4/1/2005
-2.71 1 11/1/2003 11/1/2003
-2.70 1 7/1/2003 7/1/2003
-1.63 1 11/1/2001 11/1/2001
-1.54 1 1/1/2004 1/1/2004
-1.46 2 2/1/2003 3/1/2003
-1.14 1 12/1/2004 12/1/2004
-0.50 1 1/1/2006 1/1/2006
-0.42 1 11/1/2005 11/1/2005
-0.22 1 8/1/2002 8/1/2002
-0.02 1 5/1/2003 5/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable55.7454.2457.1470.0072.7381.5896.1571.43
Average Period Return0.220.521.112.183.845.808.818.81
Average Gain1.783.194.514.947.048.129.2813.46
Average Loss-1.75-2.65-3.43-4.25-4.69-4.48-2.95-2.79
Best Period7.8412.0812.6214.9913.8912.8819.2119.85
Worst Period-3.99-6.74-10.84-9.03-8.59-6.78-2.95-5.59
Standard Deviation2.334.025.265.576.195.915.459.29
Gain Standard Deviation1.703.203.883.863.563.465.006.26
Loss Standard Deviation1.292.132.893.022.232.092.23
Sharpe Ratio (1%)0.060.070.120.210.380.641.060.51
Average Gain / Average Loss1.021.211.321.161.501.813.154.82
Profit / Loss Ratio1.291.431.752.714.008.0378.6712.04
Downside Deviation (10%)1.662.994.355.686.937.298.7415.57
Downside Deviation (5%)1.482.423.173.293.432.911.273.85
Downside Deviation (0%)1.432.282.912.822.692.090.581.82
Sortino Ratio (10%)-0.11-0.24-0.31-0.50-0.54-0.61-0.80-0.82
Sortino Ratio (5%)0.090.110.190.360.681.304.541.24
Sortino Ratio (0%)0.150.230.380.771.432.7715.234.85

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.