Ramsey Quantitative Systems Inc : RQSI: Macro Hedge

Year-to-Date
3.87%
Aug Performance
0.80%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
8.31%
Sharpe (RFR=1%)
-1.28
CAROR
-
Assets
$ 18.0M
Worst DD
-10.69
S&P Correlation
-0.67

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: Macro Hedge 0.80 -1.71 -3.87 - - - - -8.74
S&P 500 3.04 7.72 24.49 - - - - 42.99
+/- S&P 500 -2.24 -9.44 -28.36 - - - - -51.74

Strategy Description

Summary

The Macro Hedge portfolio is designed to capture periods of fear and uncertainty in global markets by selectively utilizing relevant signals from our core GAA product. Not all market stress periods behave the same or manifest themselves in the same manner. This portfolio is meant... 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

The Macro Hedge portfolio is designed to capture periods of fear and uncertainty in global markets by selectively utilizing relevant signals from our core GAA product. Not all market stress periods behave the same or manifest themselves in the same manner. This portfolio is meant to capture extreme periods of Fear that can be driven by general risk aversion or extreme periods of inflation or disinflation. It is also meant to produce positive returns with global unrest or fiat currency concerns. The portfolio will only short Global Equities and Global Commodities, aside from Gold; the portfolio can only be long Gold. While US Treasury Bonds have historically performed well in these aforementioned stress periods, this Macro Hedge portfolio does not invest long in fixed income due to the expectation that rising interest rates could in fact be a primary driver of future market dislocations.

   

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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Sharpe Ratio: (RF=1%)
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Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-10.69 6 - 10/1/2020 4/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
3.62 1 5/1/2021 5/1/2021
0.80 1 8/1/2021 8/1/2021
0.79 1 12/1/2020 12/1/2020
0.33 1 10/1/2020 10/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.12 1 11/1/2020 11/1/2020
-5.61 4 1/1/2021 4/1/2021
-2.49 2 6/1/2021 7/1/2021
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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.