Ramsey Quantitative Systems Inc : RQSI: Equity Hedge

Year-to-Date
4.85%
Aug Performance
-0.24%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
6.53%
Sharpe (RFR=1%)
-1.63
CAROR
-
Assets
$ 15.0M
Worst DD
-10.84
S&P Correlation
-0.87

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
10/2020
RQSI: Equity Hedge -0.24 -0.91 -4.85 - - - - -8.64
S&P 500 3.04 7.72 24.49 - - - - 42.99
+/- S&P 500 -3.28 -8.63 -29.33 - - - - -51.63

Strategy Description

Summary

RQSI's Equity Macro Hedge provides a short-only Equity return stream using Futures that can be paired with a long-only cash Equity portfolio. This hedge provides attractive drawdown protection and is based on the short signals of a diversified subset of factors from the GAA program,... Read More

Account & Fees

Type Fund
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
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

Composition

Summary

RQSI's Equity Macro Hedge provides a short-only Equity return stream using Futures that can be paired with a long-only cash Equity portfolio. This hedge provides attractive drawdown protection and is based on the short signals of a diversified subset of factors from the GAA program, including Short and Medium-Term Growth, Inflation and Mean Reversion.

   

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
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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
-10.84 10 - 10/1/2020 8/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
2.47 1 10/1/2020 10/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.84 10 11/1/2020 8/1/2021
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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.