Quest Partners LLC : AlphaQuest Original program (AQO)

Year-to-Date: 4.80%
Jan Performance: -4.80%

Min Investment: $ 250k
Mgmt. Fee: 1.50%
Perf. Fee: 20.00%

Annualized Vol: 19.71%
Sharpe (RFR=1%): 0.51
CAROR: 9.57%

Assets: $ 1,433.0M
Worst DD: -29.39
S&P Correlation: -0.12

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Growth of 1,000 - VAMI

Monthly Performance

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	Jan	Qtr	YTD	1yr	3yr	5yr	10yr	Since 5/1999
AlphaQuest Original program (AQO)	-4.80	-7.57	-4.80	-8.57	-5.09	-9.92	49.10	630.55
S&P 500	-1.11	13.59	-1.11	15.15	31.52	89.48	185.82	182.36
+/- S&P 500	-3.69	-21.16	-3.69	-23.72	-36.61	-99.41	-136.72	448.19

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%

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%

Summary

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.

Compare to:

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Index: Chart Type:

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:

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
-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

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
25.12	4	5/1/2019	8/1/2019
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
17.45	3	1/1/2020	3/1/2020
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
6.26	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
5.35	1	7/1/2020	7/1/2020
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
1.44	1	12/1/2020	12/1/2020
1.36	1	7/1/2004	7/1/2004
1.36	1	8/1/2008	8/1/2008
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
0.17	1	10/1/2020	10/1/2020

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
-9.89	2	8/1/2020	9/1/2020
-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
-7.36	4	9/1/2019	12/1/2019
-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
-4.94	3	4/1/2020	6/1/2020
-4.91	1	1/1/2011	1/1/2011
-4.80	1	1/1/2021	1/1/2021
-4.52	1	8/1/2001	8/1/2001
-4.29	1	11/1/2020	11/1/2020
-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
-1.54	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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	261.00	259.00	256.00	250.00	244.00	238.00	226.00	214.00	202.00
Percent Profitable	53.26	60.23	66.02	74.00	77.46	81.09	88.94	96.26	99.50
Average Period Return	0.92	2.75	5.68	12.07	18.62	24.96	39.26	51.51	64.35
Average Gain	4.91	8.22	12.47	19.93	26.89	32.87	45.27	53.85	64.72
Average Loss	-3.62	-5.53	-7.51	-10.28	-9.81	-8.97	-9.03	-8.61	-9.92
Best Period	20.59	39.38	42.75	62.43	85.84	92.34	141.33	162.73	148.23
Worst Period	-13.71	-17.16	-18.79	-25.99	-29.39	-23.48	-29.15	-13.70	-9.92
Standard Deviation	5.69	8.89	12.31	17.78	22.97	28.36	39.02	43.00	37.18
Gain Standard Deviation	4.42	6.68	8.95	13.11	19.00	25.56	37.11	42.12	36.90
Loss Standard Deviation	2.87	4.13	5.13	7.09	7.42	5.40	7.83	4.94
Sharpe Ratio (1%)	0.15	0.28	0.42	0.62	0.75	0.81	0.93	1.10	1.59
Average Gain / Average Loss	1.36	1.49	1.66	1.94	2.74	3.66	5.02	6.25	6.52
Profit / Loss Ratio	1.54	2.25	3.23	5.52	9.42	15.71	40.32	161.05	1311.24
Downside Deviation (10%)	3.38	4.99	6.54	8.62	9.07	9.04	9.61	8.54	5.64
Downside Deviation (5%)	3.20	4.47	5.53	6.78	6.41	5.32	4.76	2.64	1.10
Downside Deviation (0%)	3.15	4.35	5.29	6.35	5.82	4.54	3.94	1.89	0.70
Sortino Ratio (10%)	0.15	0.30	0.49	0.82	1.22	1.63	2.45	3.51	6.52
Sortino Ratio (5%)	0.26	0.56	0.94	1.63	2.67	4.32	7.61	17.99	53.76
Sortino Ratio (0%)	0.29	0.63	1.07	1.90	3.20	5.50	9.97	27.27	92.19

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.

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More Programs by Quest Partners LLC

Program Name	CAROR
AlphaQuest Original program (AQO)	9.57%
Quest Tracker Index program (QTI)	2.43%
Quest Fixed Income Hedge program (QFIT)	-0.75%
AlphaQuest Short Bias (AQSB)	-3.91%

IASG Activity

Blends 140
Portfolios 32
Watchlists 92

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Quest Partners LLC : AlphaQuest Original program (AQO)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

Quest Partners LLC : AlphaQuest Original program (AQO)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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