Ramsey Quantitative Systems Inc : RQSI Systematic Global Macro Fund

Year-to-Date
16.41%
Jun Performance
6.10%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
13.26%
Sharpe (RFR=1%)
0.68
CAROR
9.61%
Assets
$ 545.0M
Worst DD
-17.90
S&P Correlation
0.12

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2012
RQSI Systematic Global Macro Fund 6.10 9.84 16.41 16.32 15.44 43.31 - 84.37
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 105.61
+/- S&P 500 -0.79 6.06 -0.93 8.11 -23.30 -5.24 - -21.24

Strategy Description

Summary

RQSI has been developing investment strategies based on econometric, quantitative and technical trading factors for over 30 years. The RQSI GAA Systematic Global Macro program leverages our expertise and experience into a single investment product that combines a strong econometric-based... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
0 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
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Summary

RQSI has been developing investment strategies based on econometric, quantitative and technical trading factors for over 30 years. The RQSI GAA Systematic Global Macro program leverages our expertise and experience into a single investment product that combines a strong econometric-based asset allocation process with proven quantitative and technical inputs. The RQSI GAA Systematic Global Macro program is a global futures based purely systematic strategy designed to provide attractive risk-adjusted returns with little or no correlation to traditional asset classes. At its core, this program seeks to take advantage of multiple levels of diversification through an understanding of how markets and sectors interrelate and the optimal frequencies of basic market anomalies. We identify and diversify unique sources of return across Style, Asset Class, Timeframe and Strategy. The Fund applies portfolio management techniques to capture the diversifying nature of these return drivers to take into account that the four asset classes (Equities, Fixed Income, Commodities and Currencies) provide differing return streams under different economic scenarios. Furthermore, the Fund only trades highly liquid global futures to reduce execution issues and provide for scalable program growth. The RQSI GAA Systematic Global Macro program is available in an offshore fund or separately managed account for larger investors.

   

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
-17.90 8 9 1/1/2018 9/1/2018
-13.09 8 2 4/1/2015 12/1/2015
-6.60 2 3 4/1/2013 6/1/2013
-5.12 3 4 7/1/2016 10/1/2016
-5.00 1 1 11/1/2014 12/1/2014
-4.04 2 2 2/1/2016 4/1/2016
-3.53 1 2 1/1/2013 2/1/2013
-3.13 1 1 6/1/2014 7/1/2014
-2.44 1 1 8/1/2014 9/1/2014
-2.17 1 1 12/1/2013 1/1/2014
-2.07 2 3 5/1/2017 7/1/2017
-1.61 1 1 10/1/2017 11/1/2017
-0.79 1 1 2/1/2014 3/1/2014
-0.68 1 1 2/1/2015 3/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
17.74 2 1/1/2016 2/1/2016
16.25 3 2/1/2019 4/1/2019
15.23 6 7/1/2013 12/1/2013
13.36 2 1/1/2015 2/1/2015
13.31 7 11/1/2016 5/1/2017
10.18 3 4/1/2014 6/1/2014
7.10 2 10/1/2014 11/1/2014
6.11 3 11/1/2012 1/1/2013
6.10 1 6/1/2019 6/1/2019
5.99 1 12/1/2018 12/1/2018
5.79 1 4/1/2015 4/1/2015
5.67 1 8/1/2014 8/1/2014
5.57 3 5/1/2016 7/1/2016
5.16 2 3/1/2013 4/1/2013
4.62 3 8/1/2017 10/1/2017
4.06 1 7/1/2015 7/1/2015
3.84 1 2/1/2014 2/1/2014
3.18 2 12/1/2017 1/1/2018
2.87 1 10/1/2018 10/1/2018
2.74 1 9/1/2015 9/1/2015
2.47 1 3/1/2018 3/1/2018
0.99 1 11/1/2015 11/1/2015
0.64 1 9/1/2016 9/1/2016
0.43 1 7/1/2018 7/1/2018
0.16 1 5/1/2018 5/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.22 1 2/1/2018 2/1/2018
-7.98 1 8/1/2015 8/1/2015
-6.91 2 8/1/2018 9/1/2018
-6.60 2 5/1/2013 6/1/2013
-5.86 2 5/1/2015 6/1/2015
-5.00 1 12/1/2014 12/1/2014
-4.72 1 8/1/2016 8/1/2016
-4.04 2 3/1/2016 4/1/2016
-3.70 1 10/1/2015 10/1/2015
-3.53 1 2/1/2013 2/1/2013
-3.51 1 12/1/2015 12/1/2015
-3.13 1 7/1/2014 7/1/2014
-3.01 1 1/1/2019 1/1/2019
-2.69 1 5/1/2019 5/1/2019
-2.44 1 9/1/2014 9/1/2014
-2.17 1 1/1/2014 1/1/2014
-2.07 2 6/1/2017 7/1/2017
-1.97 1 11/1/2018 11/1/2018
-1.97 1 4/1/2018 4/1/2018
-1.69 1 6/1/2018 6/1/2018
-1.61 1 11/1/2017 11/1/2017
-1.05 1 10/1/2016 10/1/2016
-0.79 1 3/1/2014 3/1/2014
-0.68 1 3/1/2015 3/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods25.0080.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable100.0063.7567.9568.0081.1682.5485.9697.78100.00
Average Period Return37.050.842.374.418.4413.2618.7128.0038.92
Average Gain37.053.065.309.0312.4317.4622.1428.6638.92
Average Loss-3.06-3.86-5.40-8.77-6.55-2.30-0.91
Best Period55.3414.5616.2518.1730.7939.4445.7958.8570.82
Worst Period20.77-11.22-10.82-11.88-14.89-13.89-4.26-0.918.60
Standard Deviation9.853.835.688.0210.7913.5815.0417.1720.71
Gain Standard Deviation9.852.553.924.567.2210.8313.3416.7820.71
Loss Standard Deviation2.263.263.785.134.641.38
Sharpe Ratio (1%)3.030.200.370.490.690.871.111.451.68
Average Gain / Average Loss1.001.371.671.422.669.6431.60
Profit / Loss Ratio1.762.913.556.1112.5959.051390.32
Downside Deviation (10%)8.872.483.414.936.416.465.515.674.89
Downside Deviation (5%)2.312.953.944.753.841.720.66
Downside Deviation (0%)2.272.843.704.363.300.990.14
Sortino Ratio (10%)-0.410.170.330.390.540.881.532.163.56
Sortino Ratio (5%)0.330.720.991.573.069.7237.98
Sortino Ratio (0%)0.370.831.191.934.0118.96207.11

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 4 6.37 4/2019
Systematic Trader Index Month 4 6.37 4/2019
Diversified Trader Index Month 4 6.37 4/2019
IASG CTA Index Month 9 4.82 2/2019
IASG CTA Index Month 9 4.82 2/2019
IASG CTA Index Month 9 4.82 2/2019
Diversified Trader Index Month 10 4.82 2/2019
Diversified Trader Index Month 10 4.82 2/2019
Diversified Trader Index Month 10 4.82 2/2019
IASG CTA Index Month 9 4.82 2/2019
Diversified Trader Index Month 10 4.82 2/2019
IASG CTA Index Month 9 5.99 12/2018
Diversified Trader Index Month 9 2.87 10/2018
Diversified Trader Index Month 7 2.47 3/2018
Diversified Trader Index Month 10 2.93 1/2017
Systematic Trader Index Month 10 5.77 5/2014

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.