Quay Capital Management : Quay Forex Futures Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Oct Performance -0.01% Min Investment $ 0k Mgmt. Fee 0% Perf. Fee 0% Annualized Vol 6.48% Sharpe (RFR=1%) -0.39 CAROR -1.72% Assets $ 2.0M Worst DD -15.32 S&P Correlation -0.13 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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since1/2003 Quay Forex Futures Program -0.01 - - - - - - -6.43 S&P 500 3.15 - - - - - - 304.83 +/- S&P 500 -3.16 - - - - - - -311.26 Strategy Description Summary-Trading Strategy The Quay Forex Program is a short-term systematic trading model, which exploits the intra-day movements between the US Dollar and the Swiss Franc, Japanese Yen, Sterling and the Euro. The model assesses each currency pair on the European market opening at approximately... 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-Trading Strategy The Quay Forex Program is a short-term systematic trading model, which exploits the intra-day movements between the US Dollar and the Swiss Franc, Japanese Yen, Sterling and the Euro. The model assesses each currency pair on the European market opening at approximately 6am GMT. It then forecasts the initial price direction for that day. Each position is controlled with a stop loss and a partial profit target. Any further gains in a position are held to the market close or the following days opening. Trailing stops are also employed to enhance the risk profile. The model updates continuously throughout the day and signals are generated and adjusted in each currency pair almost hourly. The strategy also adjusts its methodology slightly throughout the day to account for different features of markets in time zones. Approximately 90% of positions are exited the same day as they are initiated. This means that investors have minimal overnight exposure to markets and as a consequence risk is minimised and controlled. The average risk per trade is 0.2%. 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 -15.32 38 - 6/1/2003 8/1/2006 Show More Consecutive Gains Run-up Length (Mos.) Start End 10.43 6 1/1/2003 6/1/2003 4.03 2 1/1/2004 2/1/2004 3.75 2 8/1/2003 9/1/2003 1.97 1 4/1/2004 4/1/2004 1.46 1 2/1/2006 2/1/2006 1.28 1 6/1/2004 6/1/2004 1.27 1 11/1/2003 11/1/2003 0.92 3 11/1/2004 1/1/2005 0.92 1 5/1/2006 5/1/2006 0.82 1 12/1/2005 12/1/2005 0.76 2 3/1/2005 4/1/2005 0.69 1 8/1/2005 8/1/2005 0.44 1 10/1/2005 10/1/2005 0.22 1 6/1/2005 6/1/2005 0.07 1 9/1/2006 9/1/2006 0.07 1 9/1/2004 9/1/2004 Show More Consecutive Losses Run-up Length (Mos.) Start End -5.84 1 7/1/2003 7/1/2003 -5.06 3 6/1/2006 8/1/2006 -3.86 2 3/1/2006 4/1/2006 -3.26 2 7/1/2004 8/1/2004 -2.84 1 12/1/2003 12/1/2003 -2.74 1 2/1/2005 2/1/2005 -2.50 1 10/1/2003 10/1/2003 -2.10 1 7/1/2005 7/1/2005 -1.47 1 1/1/2006 1/1/2006 -1.22 1 9/1/2005 9/1/2005 -1.22 1 5/1/2005 5/1/2005 -0.79 1 5/1/2004 5/1/2004 -0.63 1 10/1/2004 10/1/2004 -0.61 1 3/1/2004 3/1/2004 -0.27 1 11/1/2005 11/1/2005 -0.01 1 10/1/2006 10/1/2006 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods46.0044.0041.0035.0029.0023.00 Percent Profitable56.5229.5524.3925.7117.2417.39 Average Period Return-0.13-0.45-1.05-2.28-3.61-4.98 Average Gain1.103.024.023.175.353.68 Average Loss-1.82-1.91-2.68-4.16-5.48-6.81 Best Period3.776.8910.435.929.646.29 Worst Period-5.84-5.06-7.88-8.14-10.30-11.83 Standard Deviation1.872.833.633.815.115.23 Gain Standard Deviation1.012.382.951.503.242.79 Loss Standard Deviation1.461.321.902.162.993.46 Sharpe Ratio (1%)-0.11-0.25-0.43-0.86-1.00-1.34 Average Gain / Average Loss0.611.581.500.760.980.54 Profit / Loss Ratio0.830.660.480.260.200.11 Downside Deviation (10%)1.702.864.798.1912.2816.07 Downside Deviation (5%)1.532.123.214.816.898.58 Downside Deviation (0%)1.481.942.854.025.656.90 Sortino Ratio (10%)-0.31-0.59-0.73-0.89-0.91-0.95 Sortino Ratio (5%)-0.14-0.33-0.48-0.68-0.74-0.81 Sortino Ratio (0%)-0.09-0.23-0.37-0.57-0.64-0.72 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. x {{title}} x {{title}} Add Cancel