Quest Partners LLC : AlphaQuest Short Term Program

archived programs
Year-to-Date
N / A
Mar Performance
-3.24%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
18.04%
Sharpe (RFR=0.50%)
0.46
CAROR
7.48%
Assets
$ 102.0M
Worst DD
-22.89
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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
8/2001
AlphaQuest Short Term Program -3.24 -5.86 - 10.20 6.43 4.47 86.58 149.33
S&P 500 0.69 1.30 - 19.32 41.19 134.63 66.22 65.14
+/- S&P 500 -3.93 -7.16 - -9.12 -34.76 -130.16 20.36 84.19

Strategy Description

Summary

AlphaQuest Short Term Program is a systematic program trading in over 50 liquid global markets (foreign exchange, fixed income, equity indices and commodities). The AQ Short Term Program targets to deliver positive Alpha with low correlation to benchmarks indices. Trading timeframes... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.50%
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
3500 RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
-22.90%
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
15.00%
Momentum
50.00%
Pattern Recognition
10.00%
Seasonal/cyclical
25.00%
Strategy Pie Chart

Composition

Stock Indices
28.00%
Currency FX
27.00%
Interest Rates
20.00%
Energy
13.00%
Precious Metals
9.00%
Grains
2.00%
Industrial Metals
1.00%
Composition Pie Chart

Summary

AlphaQuest Short Term Program is a systematic program trading in over 50 liquid global markets (foreign exchange, fixed income, equity indices and commodities). The AQ Short Term Program targets to deliver positive Alpha with low correlation to benchmarks indices. Trading timeframes are between a few hours to over ten days. The average trade length is 3 days. Over ten trading systems are implemented. Correlation to S&P500 is less than 0.1. Correlation to other long term trend following CTAs is approximately 0.3 (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=0.50%)
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=0.50%)
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
-22.89 4 - 9/1/2009 1/1/2010
-22.62 16 15 9/1/2003 1/1/2005
-15.71 4 3 3/1/2008 7/1/2008
-14.00 3 3 1/1/2009 4/1/2009
-12.78 1 1 1/1/2002 2/1/2002
-12.31 2 3 6/1/2006 8/1/2006
-11.81 4 4 1/1/2007 5/1/2007
-7.67 1 1 3/1/2003 4/1/2003
-6.34 1 2 12/1/2002 1/1/2003
-4.52 1 1 1/1/0001 8/1/2001
-4.08 1 3 5/1/2003 6/1/2003
-3.72 4 1 7/1/2002 11/1/2002
-1.90 1 1 7/1/2009 8/1/2009
-1.81 2 1 3/1/2002 5/1/2002
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Consecutive Gains

Run-up Length (Mos.) Start End
48.16 7 9/1/2007 3/1/2008
30.87 6 8/1/2008 1/1/2009
28.34 7 12/1/2005 6/1/2006
27.77 5 9/1/2001 1/1/2002
17.14 5 9/1/2006 1/1/2007
17.08 1 3/1/2002 3/1/2002
16.38 3 5/1/2009 7/1/2009
15.68 5 2/1/2005 6/1/2005
14.79 2 7/1/2011 8/1/2011
13.22 1 4/1/2013 4/1/2013
11.77 3 8/1/2010 10/1/2010
11.57 2 6/1/2007 7/1/2007
11.41 1 12/1/2002 12/1/2002
10.52 2 2/1/2003 3/1/2003
9.62 1 4/1/2011 4/1/2011
8.86 3 6/1/2013 8/1/2013
8.56 1 5/1/2003 5/1/2003
8.48 3 5/1/2012 7/1/2012
8.38 1 12/1/2010 12/1/2010
7.74 3 7/1/2003 9/1/2003
7.16 2 6/1/2002 7/1/2002
7.03 3 12/1/2011 2/1/2012
6.16 4 2/1/2010 5/1/2010
5.17 1 2/1/2011 2/1/2011
4.78 2 12/1/2013 1/1/2014
4.75 2 7/1/2004 8/1/2004
2.98 1 9/1/2009 9/1/2009
2.13 1 10/1/2012 10/1/2012
2.03 1 10/1/2004 10/1/2004
1.86 2 4/1/2004 5/1/2004
1.48 1 8/1/2005 8/1/2005
1.43 1 9/1/2002 9/1/2002
1.30 1 2/1/2013 2/1/2013
1.07 1 10/1/2013 10/1/2013
0.18 1 3/1/2007 3/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.89 4 10/1/2009 1/1/2010
-15.71 4 4/1/2008 7/1/2008
-14.00 3 2/1/2009 4/1/2009
-13.05 2 8/1/2012 9/1/2012
-12.78 1 2/1/2002 2/1/2002
-12.31 2 7/1/2006 8/1/2006
-11.56 2 4/1/2007 5/1/2007
-11.36 6 10/1/2003 3/1/2004
-10.55 2 5/1/2011 6/1/2011
-9.51 1 6/1/2004 6/1/2004
-7.83 1 11/1/2010 11/1/2010
-7.81 3 9/1/2011 11/1/2011
-7.67 1 4/1/2003 4/1/2003
-7.63 3 11/1/2004 1/1/2005
-6.84 2 2/1/2014 3/1/2014
-6.34 1 1/1/2003 1/1/2003
-6.17 1 3/1/2011 3/1/2011
-5.72 1 5/1/2013 5/1/2013
-5.08 2 3/1/2012 4/1/2012
-4.52 1 7/1/2005 7/1/2005
-4.52 1 8/1/2001 8/1/2001
-4.08 1 6/1/2003 6/1/2003
-4.06 1 9/1/2004 9/1/2004
-3.80 3 11/1/2012 1/1/2013
-3.80 1 9/1/2013 9/1/2013
-2.86 1 8/1/2002 8/1/2002
-2.84 1 1/1/2011 1/1/2011
-2.40 1 3/1/2013 3/1/2013
-2.29 2 10/1/2002 11/1/2002
-2.16 2 6/1/2010 7/1/2010
-1.90 1 8/1/2009 8/1/2009
-1.81 2 4/1/2002 5/1/2002
-1.53 1 8/1/2007 8/1/2007
-1.01 3 9/1/2005 11/1/2005
-0.46 1 2/1/2007 2/1/2007
-0.08 1 11/1/2013 11/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods152.00150.00147.00141.00135.00129.00117.00105.0093.00
Percent Profitable56.5862.6762.5968.0970.3762.7983.7688.5794.62
Average Period Return0.742.254.368.3212.0616.2926.1639.2654.11
Average Gain4.147.0510.6016.3620.7729.5032.0145.1457.32
Average Loss-3.71-5.81-6.09-8.81-8.61-6.00-4.02-6.31-2.43
Best Period17.0822.1443.1156.2370.6671.5698.64131.65120.75
Worst Period-12.78-19.31-22.10-22.03-19.01-15.26-14.75-15.31-7.64
Standard Deviation5.218.1311.2615.1719.7523.6830.0634.6230.59
Gain Standard Deviation3.735.659.0311.0616.8920.3029.4232.3628.20
Loss Standard Deviation3.074.455.295.215.514.193.474.142.96
Sharpe Ratio (1%)0.130.250.340.480.530.600.771.021.60
Average Gain / Average Loss1.121.211.741.862.414.927.977.1623.61
Profit / Loss Ratio1.462.042.913.965.738.3041.0955.48415.51
Downside Deviation (10%)3.375.076.158.379.5310.459.7310.869.84
Downside Deviation (5%)3.204.585.156.266.255.503.163.771.93
Downside Deviation (0%)3.164.454.915.775.554.452.112.520.83
Sortino Ratio (10%)0.100.200.310.400.470.581.071.632.69
Sortino Ratio (5%)0.200.440.751.171.692.597.339.3325.42
Sortino Ratio (0%)0.230.510.891.442.183.6612.3715.6064.92

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.