Quest Partners LLC : Quest Fixed Income Hedge program (QFIT)

Year-to-Date
0.06%
Oct Performance
-0.03%
Min Investment
$ 20,000k
Mgmt. Fee
1.00%
Perf. Fee
0%
Annualized Vol
3.88%
Sharpe (RFR=1%)
-0.43
CAROR
-0.74%
Assets
$ 1.3M
Worst DD
-9.68
S&P Correlation
0.41

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
11/2013
Quest Fixed Income Hedge program (QFIT) -0.03 -0.48 0.06 -2.58 0.46 -5.10 - -4.34
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 66.50
+/- S&P 500 -2.07 -2.40 -21.10 -14.59 -40.95 -54.09 - -70.84

Strategy Description

Summary

Quest Fixed Income Hedge program (QFIT) is designed to hedge fixed income downturns using a similar trade filtering methodology as Quest Equity Hedge in relation to the US 10Y bond contract. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 20,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
0%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
250 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
33.00%
1-3 Months
34.00%
1-30 Days
33.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Interest Rates
29.00%
Currency Futures
20.00%
Stock Indices
20.00%
Energy
14.00%
Grains
4.00%
Livestock
4.00%
Softs
4.00%
Precious Metals
3.00%
Industrial Metals
2.00%
Composition Pie Chart

Summary

Quest Fixed Income Hedge program (QFIT) is designed to hedge fixed income downturns using a similar trade filtering methodology as Quest Equity Hedge in relation to the US 10Y bond contract.

Investment Strategy

QFIT is based on the Quest Tracker Index strategy.

Risk Management

QFIT positions Beta to the US 10Y bond constrained to vary in the 0.0 to -1.5 range.

   

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
-9.68 16 - 5/1/2015 9/1/2016
-5.01 4 7 12/1/2013 4/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
7.76 10 5/1/2014 2/1/2015
6.11 3 10/1/2016 12/1/2016
2.45 1 1/1/2018 1/1/2018
2.44 2 9/1/2017 10/1/2017
1.90 2 11/1/2013 12/1/2013
1.09 1 4/1/2018 4/1/2018
1.05 1 9/1/2018 9/1/2018
1.02 3 2/1/2019 4/1/2019
1.02 1 6/1/2017 6/1/2017
0.94 2 6/1/2018 7/1/2018
0.86 1 11/1/2015 11/1/2015
0.73 2 6/1/2019 7/1/2019
0.39 1 7/1/2016 7/1/2016
0.33 2 4/1/2015 5/1/2015
0.22 1 9/1/2019 9/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.32 4 10/1/2018 1/1/2019
-5.31 7 12/1/2015 6/1/2016
-5.01 4 1/1/2014 4/1/2014
-4.63 5 6/1/2015 10/1/2015
-2.97 2 2/1/2018 3/1/2018
-2.59 5 1/1/2017 5/1/2017
-1.23 2 8/1/2016 9/1/2016
-1.17 1 5/1/2018 5/1/2018
-1.05 2 7/1/2017 8/1/2017
-0.88 1 5/1/2019 5/1/2019
-0.67 1 8/1/2019 8/1/2019
-0.39 1 8/1/2018 8/1/2018
-0.29 2 11/1/2017 12/1/2017
-0.03 1 10/1/2019 10/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods72.0070.0067.0061.0055.0049.0037.0025.00
Percent Profitable45.8337.1438.8152.4638.1826.5329.7336.00
Average Period Return-0.06-0.21-0.35-0.57-1.00-1.46-1.45-2.84
Average Gain0.851.873.022.702.992.930.671.71
Average Loss-0.84-1.44-2.48-4.17-3.47-3.04-2.35-5.40
Best Period4.406.116.157.986.796.501.743.56
Worst Period-2.44-5.02-4.71-8.02-9.39-6.65-5.34-8.81
Standard Deviation1.122.083.104.063.933.171.934.15
Gain Standard Deviation0.891.571.762.101.831.880.491.03
Loss Standard Deviation0.601.151.372.172.611.671.562.74
Sharpe Ratio (1%)-0.12-0.22-0.27-0.39-0.64-1.10-2.33-1.66
Average Gain / Average Loss1.011.301.220.650.860.960.290.32
Profit / Loss Ratio0.880.770.770.710.530.350.120.18
Downside Deviation (10%)1.012.324.066.859.4412.1217.3224.73
Downside Deviation (5%)0.801.612.563.864.414.574.878.01
Downside Deviation (0%)0.751.452.213.233.402.972.354.81
Sortino Ratio (10%)-0.46-0.62-0.69-0.81-0.91-0.97-0.99-0.99
Sortino Ratio (5%)-0.17-0.28-0.33-0.41-0.57-0.76-0.92-0.86
Sortino Ratio (0%)-0.07-0.14-0.16-0.18-0.30-0.49-0.62-0.59

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.