Quay Capital Management : Quay Forex Futures Program

archived programs
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

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
1/2003
Quay Forex Futures Program -0.01 - - - - - - -6.43
S&P 500 3.15 - - - - - - 278.19
+/- S&P 500 -3.16 - - - - - - -284.62

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%.

   

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:
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
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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
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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
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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.