Quest Partners LLC : AlphaQuest Long Term Program

archived programs
Year-to-Date
N / A
Mar Performance
-4.34%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
22.86%
Sharpe (RFR=1%)
0.56
CAROR
11.97%
Assets
$ 28.0M
Worst DD
-20.92
S&P Correlation
-0.16

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
7/2006
AlphaQuest Long Term Program -4.34 - - - - - 20.15 140.16
S&P 500 0.69 - - - - - 66.22 160.70
+/- S&P 500 -5.03 - - - - - -46.08 -20.54

Strategy Description

Summary

AlphaQuest Long Term Program is a systematic program trading in over 50 liquid global markets (foreign exchange, fixed income, equity indices and commodities). The AQ Long Term Program aims to deliver positive Alpha Trading time frames are between several hours to over one year. The... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 15.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1400 RT/YR/$M
Avg. Margin-to-Equity 14%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 20.90%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
15.00%
Trend-following
85.00%
Strategy Pie Chart

Composition

Currency FX
33.00%
Interest Rates
20.00%
Energy
15.00%
Stock Indices
14.00%
Precious Metals
9.00%
Grains
4.00%
Softs
3.00%
Industrial Metals
1.00%
Livestock
1.00%
Composition Pie Chart

Summary

AlphaQuest Long Term Program is a systematic program trading in over 50 liquid global markets (foreign exchange, fixed income, equity indices and commodities). The AQ Long Term Program aims to deliver positive Alpha Trading time frames are between several hours to over one year. The average trade length is 16 days. Over ten trading systems are implemented. Correlation to other long term trend following CTAs is approximately 0.8 (monthly versus BTOP 50 CTA Index)

Risk Management

Integrated risk models manage portfolio risks by monitoring volatility metrics, market liquidity and sector exposure limits.

   

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
-20.92 14 8 12/1/2008 2/1/2010
-20.88 2 3 6/1/2008 8/1/2008
-19.42 12 21 4/1/2011 4/1/2012
-13.05 2 2 6/1/2007 8/1/2007
-9.84 3 2 12/1/2006 3/1/2007
-7.62 1 3 10/1/2007 11/1/2007
-5.95 3 1 12/1/2010 3/1/2011
-5.15 1 2 2/1/2008 3/1/2008
-4.34 1 - 2/1/2014 3/1/2014
-4.05 3 1 1/1/0001 9/1/2006
-3.08 1 1 10/1/2010 11/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
53.93 4 9/1/2008 12/1/2008
24.48 2 9/1/2007 10/1/2007
24.32 3 4/1/2008 6/1/2008
22.49 3 8/1/2010 10/1/2010
20.60 3 4/1/2007 6/1/2007
18.54 1 2/1/2008 2/1/2008
16.38 6 12/1/2012 5/1/2013
15.57 1 4/1/2011 4/1/2011
15.24 1 5/1/2012 5/1/2012
15.15 3 10/1/2006 12/1/2006
11.69 4 11/1/2013 2/1/2014
8.34 1 5/1/2009 5/1/2009
8.07 2 7/1/2011 8/1/2011
7.19 2 5/1/2010 6/1/2010
6.91 1 12/1/2010 12/1/2010
5.37 1 11/1/2009 11/1/2009
4.76 1 2/1/2011 2/1/2011
4.17 2 7/1/2012 8/1/2012
3.59 2 1/1/2012 2/1/2012
3.29 1 12/1/2007 12/1/2007
1.76 1 8/1/2006 8/1/2006
1.73 1 3/1/2010 3/1/2010
1.21 1 7/1/2013 7/1/2013
0.90 1 9/1/2013 9/1/2013
0.85 1 9/1/2009 9/1/2009
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-20.88 2 7/1/2008 8/1/2008
-14.30 3 12/1/2009 2/1/2010
-14.09 2 5/1/2011 6/1/2011
-13.05 2 7/1/2007 8/1/2007
-10.99 4 9/1/2011 12/1/2011
-10.43 4 1/1/2009 4/1/2009
-9.84 3 1/1/2007 3/1/2007
-8.19 1 6/1/2012 6/1/2012
-7.62 1 11/1/2007 11/1/2007
-6.79 3 9/1/2012 11/1/2012
-5.98 3 6/1/2009 8/1/2009
-5.87 2 3/1/2012 4/1/2012
-5.53 1 3/1/2011 3/1/2011
-5.15 1 3/1/2008 3/1/2008
-4.97 1 1/1/2011 1/1/2011
-4.83 1 10/1/2009 10/1/2009
-4.34 1 3/1/2014 3/1/2014
-4.05 1 7/1/2006 7/1/2006
-3.38 1 8/1/2013 8/1/2013
-3.08 1 11/1/2010 11/1/2010
-2.42 1 7/1/2010 7/1/2010
-1.73 1 9/1/2006 9/1/2006
-1.19 1 6/1/2013 6/1/2013
-1.12 1 10/1/2013 10/1/2013
-0.78 1 4/1/2010 4/1/2010
-0.52 1 1/1/2008 1/1/2008
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods93.0091.0088.0082.0076.0070.0058.0046.0034.00
Percent Profitable52.6960.4470.4573.1782.8994.2998.28100.00100.00
Average Period Return1.163.616.8814.2021.2028.0339.6955.4271.34
Average Gain5.759.7712.6322.2827.0830.0240.4755.4271.34
Average Loss-3.96-5.81-6.84-7.86-7.29-4.82-4.81
Best Period24.3152.2047.5869.3492.8594.48102.07119.98130.12
Worst Period-19.53-19.98-14.03-19.42-16.26-5.69-4.810.0314.37
Standard Deviation6.6010.9713.2619.2023.5827.5330.3735.9731.95
Gain Standard Deviation5.219.5411.3815.6821.5027.1030.0535.9731.95
Loss Standard Deviation3.464.224.265.945.170.97
Sharpe Ratio (1%)0.160.310.480.690.840.951.211.432.07
Average Gain / Average Loss1.451.681.852.833.726.238.41
Profit / Loss Ratio1.622.574.407.7318.01102.81479.15
Downside Deviation (10%)3.825.155.567.346.724.615.735.322.90
Downside Deviation (5%)3.644.634.595.494.181.681.090.59
Downside Deviation (0%)3.604.504.355.063.651.170.63
Sortino Ratio (10%)0.200.460.791.252.033.864.176.3615.09
Sortino Ratio (5%)0.290.731.392.404.7215.5133.5786.34
Sortino Ratio (0%)0.320.801.582.805.8123.9862.78

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.