Ramsey Quantitative Systems Inc : RQSI: Relative Value

Year-to-Date
0.86%
May Performance
0.91%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
3.72%
Sharpe (RFR=1%)
1.13
CAROR
-
Assets
$ 25.0M
Worst DD
-0.94
S&P Correlation
0.66

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
10/2020
RQSI: Relative Value 0.91 0.58 0.86 - - - - 3.49
S&P 500 0.55 10.31 15.56 - - - - 32.74
+/- S&P 500 0.36 -9.73 -14.70 - - - - -29.25

Strategy Description

Summary

RQSI's Relative Value Alpha portfolio is intended for investors looking to invest in the Relative Value portfolio of the GAA Program. This portfolio invests on a volatility neutral basis in the relative value of global stocks, bonds and commodities. Our relative value models attempt... 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 Relative Value Alpha portfolio is intended for investors looking to invest in the Relative Value portfolio of the GAA Program. This portfolio invests on a volatility neutral basis in the relative value of global stocks, bonds and commodities. Our relative value models attempt to systematically capture the effect of 4 factors: Carry, Value, Dispersion and Seasonality.

   

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
-0.94 1 1 1/1/0001 10/1/2020
-0.82 1 2 2/1/2021 3/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
3.87 4 11/1/2020 2/1/2021
1.41 2 4/1/2021 5/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.94 1 10/1/2020 10/1/2020
-0.82 1 3/1/2021 3/1/2021
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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.