Quest Partners LLC : AlphaQuest Original program (AQO)

Year-to-Date
1.91%
May Performance
6.57%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
20.00%
Sharpe (RFR=1%)
0.53
CAROR
10.05%
Assets
$ 1,335.8M
Worst DD
-29.39
S&P Correlation
-0.11

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
5/1999
AlphaQuest Original program (AQO) 6.57 8.99 -1.91 -14.87 -13.61 24.65 40.43 583.79
S&P 500 -6.58 -1.17 9.77 1.72 29.91 41.62 196.32 112.03
+/- S&P 500 13.15 10.16 -11.68 -16.59 -43.52 -16.97 -155.89 471.77

Strategy Description

Summary

Quest’s models use technical and fundamental inputs to identify trading opportunities and manage risk allocations on a continuous basis. The models exploit market inefficiencies using trend following, mean reversion, carry and periodicity strategies.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.50%
Performance Fee
20.00%
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
2700 RT/YR/$M
Avg. Margin-to-Equity
17%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
-25.00%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
5.00%
Momentum
20.00%
Pattern Recognition
5.00%
Seasonal/cyclical
10.00%
Trend-following
50.00%
Other
10.00%
Strategy Pie Chart

Composition

Currency FX
31.00%
Interest Rates
21.00%
Stock Indices
19.00%
Energy
14.00%
Precious Metals
9.00%
Grains
3.00%
Softs
2.00%
Industrial Metals
1.00%
Composition Pie Chart

Summary

Quest’s models use technical and fundamental inputs to identify trading opportunities and manage risk allocations on a continuous basis. The models exploit market inefficiencies using trend following, mean reversion, carry and periodicity strategies.

Investment Strategy

AlphaQuest Original Program (AQO) is a multi-time frame systematic futures/fx trading program that targets to deliver positive Alpha with positive skew. AQO has fixed risk allocations to the AlphaQuest Short Term Program (45%) and to the AlphaQuest Long Term Program (55%), Trading timeframes are between a few hours to over one year with average trade length of 7 days. Correlation to the S&P500 is less than 0.1. Correlation to other long term trend following CTA’s is approximately 0.6 (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
-29.39 18 - 2/1/2016 8/1/2017
-24.60 23 19 5/1/2003 4/1/2005
-20.20 4 9 9/1/2009 1/1/2010
-14.76 2 22 4/1/2011 6/1/2011
-13.71 1 1 1/1/2002 2/1/2002
-13.55 1 3 6/1/2008 7/1/2008
-12.17 2 5 4/1/2015 6/1/2015
-11.91 3 2 1/1/2009 4/1/2009
-11.84 1 1 7/1/2007 8/1/2007
-10.37 2 1 12/1/2000 2/1/2001
-9.62 2 5 2/1/2014 4/1/2014
-7.90 1 1 3/1/2003 4/1/2003
-7.52 4 3 6/1/1999 10/1/1999
-6.82 1 1 10/1/2010 11/1/2010
-6.62 2 4 5/1/2000 7/1/2000
-6.53 1 1 2/1/2011 3/1/2011
-5.59 1 5 3/1/2001 4/1/2001
-5.47 1 1 11/1/2015 12/1/2015
-4.91 1 1 12/1/2010 1/1/2011
-4.19 3 1 12/1/2006 3/1/2007
-4.10 6 2 4/1/2013 10/1/2013
-3.89 2 1 3/1/2002 5/1/2002
-3.71 1 1 10/1/2007 11/1/2007
-3.50 1 1 10/1/2002 11/1/2002
-2.85 1 1 3/1/2000 4/1/2000
-2.66 1 1 1/1/0001 5/1/1999
-1.84 1 1 12/1/2002 1/1/2003
-1.73 1 1 7/1/2009 8/1/2009
-1.54 1 1 1/1/2000 2/1/2000
-0.79 1 1 4/1/2007 5/1/2007
-0.68 1 1 1/1/2015 2/1/2015
-0.53 1 1 2/1/2008 3/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
39.91 4 10/1/2008 1/1/2009
33.64 3 10/1/2000 12/1/2000
32.90 6 8/1/2014 1/1/2015
27.77 5 9/1/2001 1/1/2002
24.65 2 1/1/2016 2/1/2016
23.36 5 6/1/2002 10/1/2002
22.08 3 8/1/2010 10/1/2010
22.06 3 12/1/2007 2/1/2008
21.46 2 9/1/2007 10/1/2007
17.48 5 8/1/2006 12/1/2006
16.92 1 12/1/2002 12/1/2002
16.53 1 3/1/2002 3/1/2002
16.42 1 4/1/2011 4/1/2011
16.30 3 3/1/2006 5/1/2006
16.28 1 1/1/2018 1/1/2018
14.36 1 5/1/2003 5/1/2003
14.36 3 5/1/2009 7/1/2009
12.46 2 7/1/2011 8/1/2011
12.11 1 3/1/2001 3/1/2001
11.08 2 10/1/2015 11/1/2015
10.68 3 4/1/2008 6/1/2008
10.10 1 12/1/2010 12/1/2010
10.07 4 8/1/2005 11/1/2005
9.82 3 11/1/1999 1/1/2000
9.07 1 4/1/2013 4/1/2013
9.02 2 6/1/2007 7/1/2007
8.90 2 6/1/2016 7/1/2016
8.66 1 5/1/2012 5/1/2012
8.43 4 11/1/2013 2/1/2014
8.24 3 12/1/2012 2/1/2013
8.03 1 5/1/2000 5/1/2000
7.68 3 12/1/2011 2/1/2012
7.46 2 9/1/2017 10/1/2017
7.39 1 7/1/2015 7/1/2015
7.15 2 2/1/2003 3/1/2003
7.14 1 3/1/2000 3/1/2000
7.03 4 2/1/2010 5/1/2010
6.71 2 5/1/2005 6/1/2005
6.57 1 5/1/2019 5/1/2019
6.26 1 4/1/2007 4/1/2007
6.23 1 10/1/2004 10/1/2004
6.16 2 8/1/2003 9/1/2003
5.84 1 2/1/2011 2/1/2011
5.75 1 7/1/2012 7/1/2012
5.15 2 5/1/2014 6/1/2014
4.72 2 11/1/2016 12/1/2016
4.54 2 4/1/2018 5/1/2018
4.34 1 1/1/2006 1/1/2006
3.98 1 3/1/2019 3/1/2019
3.93 1 2/1/2004 2/1/2004
3.89 1 5/1/2001 5/1/2001
3.68 1 7/1/2001 7/1/2001
3.60 1 9/1/2009 9/1/2009
3.24 2 3/1/2015 4/1/2015
3.17 1 8/1/2000 8/1/2000
3.00 2 2/1/2005 3/1/2005
2.81 1 6/1/1999 6/1/1999
2.74 2 6/1/2013 7/1/2013
2.51 2 8/1/2018 9/1/2018
1.77 1 11/1/2009 11/1/2009
1.36 1 8/1/2008 8/1/2008
1.36 1 7/1/2004 7/1/2004
1.30 1 5/1/2004 5/1/2004
1.13 1 12/1/2003 12/1/2003
1.12 1 9/1/1999 9/1/1999
0.92 1 12/1/2018 12/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.78 8 1/1/2017 8/1/2017
-17.32 2 12/1/2009 1/1/2010
-15.75 3 8/1/2016 10/1/2016
-14.76 2 5/1/2011 6/1/2011
-13.71 1 2/1/2002 2/1/2002
-13.55 1 7/1/2008 7/1/2008
-12.17 2 5/1/2015 6/1/2015
-11.91 3 2/1/2009 4/1/2009
-11.84 1 8/1/2007 8/1/2007
-10.86 2 10/1/2018 11/1/2018
-10.62 3 3/1/2016 5/1/2016
-10.48 3 9/1/2011 11/1/2011
-10.37 2 1/1/2001 2/1/2001
-10.31 4 8/1/2012 11/1/2012
-10.00 2 1/1/2019 2/1/2019
-9.98 1 6/1/2004 6/1/2004
-9.62 2 3/1/2014 4/1/2014
-9.44 3 11/1/2004 1/1/2005
-9.07 2 6/1/2006 7/1/2006
-7.90 1 4/1/2003 4/1/2003
-7.75 2 10/1/2003 11/1/2003
-7.27 2 3/1/2012 4/1/2012
-6.90 2 3/1/2004 4/1/2004
-6.82 1 11/1/2010 11/1/2010
-6.62 2 6/1/2000 7/1/2000
-6.53 1 3/1/2011 3/1/2011
-6.36 2 6/1/2003 7/1/2003
-5.89 2 6/1/2018 7/1/2018
-5.59 1 4/1/2001 4/1/2001
-5.47 1 12/1/2015 12/1/2015
-5.26 1 10/1/1999 10/1/1999
-5.17 1 10/1/2009 10/1/2009
-4.91 1 1/1/2011 1/1/2011
-4.52 1 8/1/2001 8/1/2001
-4.19 3 1/1/2007 3/1/2007
-4.02 1 7/1/2005 7/1/2005
-3.89 2 4/1/2002 5/1/2002
-3.73 2 6/1/2010 7/1/2010
-3.71 1 11/1/2007 11/1/2007
-3.62 2 8/1/2015 9/1/2015
-3.50 1 11/1/2002 11/1/2002
-3.47 2 7/1/1999 8/1/1999
-3.46 1 5/1/2013 5/1/2013
-3.46 1 4/1/2005 4/1/2005
-3.35 1 12/1/2005 12/1/2005
-3.34 1 6/1/2012 6/1/2012
-3.31 3 8/1/2013 10/1/2013
-3.02 1 2/1/2006 2/1/2006
-2.85 1 4/1/2000 4/1/2000
-2.83 1 9/1/2000 9/1/2000
-2.80 1 1/1/2004 1/1/2004
-2.66 1 5/1/1999 5/1/1999
-2.29 1 7/1/2014 7/1/2014
-2.23 2 8/1/2004 9/1/2004
-2.20 1 6/1/2001 6/1/2001
-1.84 1 1/1/2003 1/1/2003
-1.73 1 8/1/2009 8/1/2009
-1.64 1 4/1/2019 4/1/2019
-1.54 1 2/1/2000 2/1/2000
-1.48 2 11/1/2017 12/1/2017
-1.26 1 9/1/2008 9/1/2008
-0.79 1 5/1/2007 5/1/2007
-0.68 1 2/1/2015 2/1/2015
-0.53 1 3/1/2013 3/1/2013
-0.53 1 3/1/2008 3/1/2008
-0.18 2 2/1/2018 3/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods241.00239.00236.00230.00224.00218.00206.00194.00182.00
Percent Profitable53.9460.2565.2573.9178.1379.3690.2997.42100.00
Average Period Return0.962.785.6612.2819.3726.2241.8056.3369.45
Average Gain4.948.2312.5820.4227.7635.3847.3158.1269.45
Average Loss-3.69-5.48-7.32-10.79-10.57-8.98-9.50-11.36
Best Period20.5939.3842.7562.4385.8492.34141.33162.73148.23
Worst Period-13.71-17.16-18.79-25.99-29.39-23.48-29.15-13.796.67
Standard Deviation5.778.9212.3918.1223.5429.2539.6942.2935.45
Gain Standard Deviation4.496.749.1113.1219.2825.7537.7341.3635.45
Loss Standard Deviation2.924.225.177.067.485.408.222.82
Sharpe Ratio (1%)0.150.280.420.620.760.830.981.241.82
Average Gain / Average Loss1.341.501.721.892.633.944.985.12
Profit / Loss Ratio1.572.283.235.369.3815.1546.31193.41
Downside Deviation (10%)3.414.996.538.869.279.399.256.963.46
Downside Deviation (5%)3.244.485.527.006.625.554.642.51
Downside Deviation (0%)3.194.355.276.576.034.743.871.87
Sortino Ratio (10%)0.160.310.490.821.271.702.815.0012.08
Sortino Ratio (5%)0.270.570.941.612.704.368.3520.79
Sortino Ratio (0%)0.300.641.071.873.215.5310.8030.15

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.