Quest Partners LLC : AlphaQuest Short Bias (AQSB)

Year-to-Date
8.26%
Oct Performance
3.15%
Min Investment
$ 20,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
18.34%
Sharpe (RFR=1%)
-0.03
CAROR
-1.18%
Assets
$ 20.3M
Worst DD
-38.90
S&P Correlation
-0.61

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
5/2013
AlphaQuest Short Bias (AQSB) 3.15 -3.24 8.26 1.93 12.57 -3.63 - -8.50
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 98.48
+/- S&P 500 5.92 -3.21 7.05 -5.72 -14.39 -59.29 - -106.98

Strategy Description

Summary

AQSB is a dedicated short bias program. It targets Beta between a maximum of -30% and a minimum of -180% to the SP500. Long term target Beta to SP500 is -90% and correlation target is -70%. AQSB is designed to hedge equity and hedge fund portfolios. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 20,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
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 1500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
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

Counter-trend
16.00%
Momentum
40.00%
Seasonal/cyclical
2.00%
Trend-following
42.00%
Strategy Pie Chart

Composition

Stock Indices
27.00%
Currency Futures
24.00%
Interest Rates
24.00%
Energy
12.00%
Industrial Metals
9.00%
Other
4.00%
Composition Pie Chart

Summary

AQSB is a dedicated short bias program. It targets Beta between a maximum of -30% and a minimum of -180% to the SP500. Long term target Beta to SP500 is -90% and correlation target is -70%. AQSB is designed to hedge equity and hedge fund portfolios.

Investment Strategy

AQSB follows a quantitative trading process in over 60 liquid global markets including commodities, currencies, equity indices and fixed income.

   

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
-38.90 22 - 2/1/2016 12/1/2017
-15.28 14 6 5/1/2013 7/1/2014
-9.79 5 7 1/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
37.12 3 1/1/2020 3/1/2020
29.86 2 1/1/2016 2/1/2016
18.01 4 10/1/2014 1/1/2015
14.04 1 12/1/2018 12/1/2018
10.08 2 7/1/2019 8/1/2019
9.79 2 1/1/2018 2/1/2018
9.40 1 5/1/2019 5/1/2019
9.36 1 6/1/2016 6/1/2016
9.15 3 7/1/2015 9/1/2015
6.37 1 10/1/2018 10/1/2018
6.24 1 11/1/2015 11/1/2015
5.10 1 8/1/2014 8/1/2014
4.61 3 11/1/2013 1/1/2014
3.58 1 3/1/2019 3/1/2019
3.28 2 9/1/2020 10/1/2020
2.79 1 5/1/2018 5/1/2018
1.71 1 8/1/2018 8/1/2018
1.51 1 3/1/2015 3/1/2015
0.58 1 10/1/2017 10/1/2017
0.38 1 8/1/2017 8/1/2017
0.26 1 5/1/2013 5/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.42 13 7/1/2016 7/1/2017
-23.55 5 4/1/2020 8/1/2020
-14.73 4 9/1/2019 12/1/2019
-14.54 3 3/1/2016 5/1/2016
-13.65 2 1/1/2019 2/1/2019
-11.77 6 2/1/2014 7/1/2014
-8.66 3 4/1/2015 6/1/2015
-8.21 5 6/1/2013 10/1/2013
-5.61 1 9/1/2017 9/1/2017
-5.19 1 10/1/2015 10/1/2015
-4.28 1 11/1/2018 11/1/2018
-4.14 1 4/1/2019 4/1/2019
-3.48 2 3/1/2018 4/1/2018
-3.45 1 9/1/2014 9/1/2014
-3.45 2 6/1/2018 7/1/2018
-2.80 2 11/1/2017 12/1/2017
-2.70 1 2/1/2015 2/1/2015
-1.95 1 9/1/2018 9/1/2018
-1.29 1 12/1/2015 12/1/2015
-0.22 1 6/1/2019 6/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods90.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable37.7837.5041.1856.9658.9052.2434.554.6535.48
Average Period Return0.030.020.280.971.730.98-3.94-10.44-3.97
Average Gain5.199.1311.1110.9912.8215.4813.421.475.91
Average Loss-3.09-5.44-7.30-12.29-14.16-14.88-13.11-11.02-9.41
Best Period18.9537.1231.6734.6744.8541.9129.432.0115.36
Worst Period-9.76-16.86-23.46-29.24-34.63-32.92-35.75-24.65-16.28
Standard Deviation5.309.2811.2114.7417.2718.3615.036.538.75
Gain Standard Deviation4.758.217.518.8311.0410.927.120.765.04
Loss Standard Deviation2.344.205.839.5610.999.468.526.114.45
Sharpe Ratio (1%)-0.01-0.02-0.020.000.01-0.06-0.46-2.22-1.04
Average Gain / Average Loss1.681.681.520.890.911.041.020.130.63
Profit / Loss Ratio1.021.011.071.181.301.140.540.010.35
Downside Deviation (10%)3.316.218.7012.9615.6818.6724.5832.6332.75
Downside Deviation (5%)3.105.577.4410.6912.2013.3314.7215.8712.26
Downside Deviation (0%)3.055.417.1410.1611.4212.1312.5912.278.32
Sortino Ratio (10%)-0.11-0.19-0.25-0.31-0.37-0.50-0.80-0.98-0.96
Sortino Ratio (5%)-0.02-0.04-0.030.000.02-0.08-0.47-0.91-0.74
Sortino Ratio (0%)0.010.000.040.100.150.08-0.31-0.85-0.48

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 3 7.53 1/2020
IASG CTA Index Month 4 7.53 1/2020
Systematic Trader Index Month 4 7.53 1/2020
Diversified Trader Index Month 4 7.85 5/2019
IASG CTA Index Month 6 7.85 5/2019
Systematic Trader Index Month 5 7.85 5/2019
IASG CTA Index Annual 6 21.78 2018
Diversified Trader Index Month 2 14.15 12/2018
IASG CTA Index Month 1 14.15 12/2018
Systematic Trader Index Month 2 14.15 12/2018
Diversified Trader Index Month 4 6.34 10/2018
Systematic Trader Index Month 5 6.34 10/2018
IASG CTA Index Month 8 6.34 10/2018
Diversified Trader Index Month 9 2.79 5/2018
Systematic Trader Index Month 5 10.53 2/2016
Diversified Trader Index Month 5 10.53 2/2016
IASG CTA Index Month 3 10.53 2/2016
Diversified Trader Index Month 2 17.49 1/2016
Systematic Trader Index Month 2 17.49 1/2016
IASG CTA Index Month 2 17.49 1/2016

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.