SCT Capital Management : The Adaptive Quant Trading (AQT) Program

Year-to-Date
2.99%
Mar Performance
0.14%
Min Investment
$ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.42%
Sharpe (RFR=1%)
0.47
CAROR
3.86%
Assets
$ 226.2M
Worst DD
-6.67
S&P Correlation
0.17

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
8/2009
The Adaptive Quant Trading (AQT) Program 0.14 2.99 2.99 1.50 19.20 20.72 - 33.72
S&P 500 -0.04 5.53 5.53 14.71 26.19 67.75 - 131.55
+/- S&P 500 0.18 -2.55 -2.55 -13.21 -6.99 -47.03 - -97.83

Strategy Description

Summary

The AQT Program employs a mix of short term asset -class specific and universal strategies based on volatility, momentum, and counter-trend patterns on 40+ of the most liquid futures contracts globally. The program is based on a blend of market knowledge/theory and advanced quantitative... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
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
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
N/A
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
0%

Strategy

Composition

Summary

The AQT Program employs a mix of short term asset -class specific and universal strategies based on volatility, momentum, and counter-trend patterns on 40+ of the most liquid futures contracts globally. The program is based on a blend of market knowledge/theory and advanced quantitative analysis that includes machine learning. The program is 100% systematic. The strategies in the program grew out of 16 years of trading at Morgan Stanley and Deutsche Bank.

Investment Strategy

AQT’s underlying philosophy is that that markets are complex and computers are able to extract hidden emerging patterns based on powerful statistical methods that are not easily recognized by humans  Strategies are based on a periodic automated statistical learning theory procedure that takes as input our database of market indicators and produces as output many simple uncorrelated agents that are assembled into a well calibrated trading strategy The AQT program makes systematic allocations with no human bias.  A large number of non-correlated trading agents are assembled automatically and updated at regular intervals, based on an accumulating market history thereby giving the program an adaptive ability Risk capital is allocated among models in a systematic manner  Short holding period (1 to 5 days) strategies based on volatility, momentum, and meanreversion patterns on 40+ of the most liquid futures contracts globally. Very low liquidity risk: portfolio consists entirely of highly liquid, exchange traded contracts Simple execution mostly around market open.

Risk Management

Risk is managed at several levels:
1. Individual position sizes are based on historical volatility to equalize dollar risk across contracts
2. Concentration limits are imposed on every instrument/position in every model.
3. There is an upper bound on the risk allocated to every model.
4. There is a maximum risk limit allocated to each model that is monitored constantly and existing positions are cut proportionally when the projected risk exceeds the limit.
The projected risk is calculated on the basis of a simulation that has been very accurate. 5. At the portfolio level, risk is budgeted roughly equally across asset classes.

   

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
-6.67 20 3 7/1/2012 3/1/2014
-6.21 6 7 2/1/2015 8/1/2015
-4.74 4 3 9/1/2009 1/1/2010
-4.71 2 6 4/1/2010 6/1/2010
-3.80 4 3 7/1/2016 11/1/2016
-3.02 3 2 12/1/2011 3/1/2012
-2.33 3 1 12/1/2010 3/1/2011
-1.22 1 2 9/1/2011 10/1/2011
-1.13 2 2 3/1/2016 5/1/2016
-0.98 1 1 6/1/2014 7/1/2014
-0.47 1 1 7/1/2011 8/1/2011
-0.06 1 1 5/1/2012 6/1/2012
-0.04 1 1 4/1/2011 5/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
9.75 7 8/1/2014 2/1/2015
7.46 3 4/1/2014 6/1/2014
6.99 2 4/1/2012 5/1/2012
4.99 3 1/1/2016 3/1/2016
4.96 3 9/1/2015 11/1/2015
4.96 3 10/1/2010 12/1/2010
4.88 1 2/1/2010 2/1/2010
4.01 2 3/1/2013 4/1/2013
3.68 1 9/1/2011 9/1/2011
3.21 2 2/1/2017 3/1/2017
3.20 1 4/1/2011 4/1/2011
2.71 1 4/1/2010 4/1/2010
2.62 2 11/1/2011 12/1/2011
2.57 2 8/1/2009 9/1/2009
2.50 3 9/1/2013 11/1/2013
2.21 2 6/1/2011 7/1/2011
2.04 2 7/1/2010 8/1/2010
2.02 2 6/1/2016 7/1/2016
1.56 1 11/1/2009 11/1/2009
1.56 1 12/1/2016 12/1/2016
1.48 1 7/1/2012 7/1/2012
1.17 1 7/1/2015 7/1/2015
1.16 1 1/1/2013 1/1/2013
0.67 1 2/1/2014 2/1/2014
0.39 1 2/1/2011 2/1/2011
0.30 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.47 5 8/1/2012 12/1/2012
-4.71 2 5/1/2010 6/1/2010
-4.61 2 12/1/2009 1/1/2010
-3.84 4 5/1/2013 8/1/2013
-3.80 4 8/1/2016 11/1/2016
-3.07 1 8/1/2015 8/1/2015
-3.02 3 1/1/2012 3/1/2012
-2.81 1 6/1/2015 6/1/2015
-2.70 1 12/1/2015 12/1/2015
-2.26 1 3/1/2014 3/1/2014
-1.88 2 3/1/2015 4/1/2015
-1.67 1 10/1/2009 10/1/2009
-1.60 1 1/1/2011 1/1/2011
-1.40 2 12/1/2013 1/1/2014
-1.22 1 10/1/2011 10/1/2011
-1.17 1 9/1/2010 9/1/2010
-1.13 1 3/1/2011 3/1/2011
-1.13 2 4/1/2016 5/1/2016
-0.98 1 7/1/2014 7/1/2014
-0.82 1 2/1/2013 2/1/2013
-0.47 1 8/1/2011 8/1/2011
-0.22 1 1/1/2017 1/1/2017
-0.12 1 3/1/2010 3/1/2010
-0.06 1 6/1/2012 6/1/2012
-0.04 1 5/1/2011 5/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods92.0090.0087.0081.0075.0069.0057.0045.0033.00
Percent Profitable54.3562.2266.6780.2589.3395.65100.00100.00100.00
Average Period Return0.330.941.823.966.148.3612.2915.7522.04
Average Gain1.642.713.795.357.118.7612.2915.7522.04
Average Loss-1.26-1.97-2.14-1.70-1.93-0.42
Best Period5.527.5910.3116.1116.1318.2220.1925.7733.36
Worst Period-3.79-6.00-6.21-4.44-5.14-0.695.478.1113.63
Standard Deviation1.852.873.564.604.805.033.164.504.42
Gain Standard Deviation1.241.932.444.014.084.773.164.504.42
Loss Standard Deviation1.091.441.561.261.640.37
Sharpe Ratio (1%)0.130.240.370.640.971.262.922.603.83
Average Gain / Average Loss1.311.381.773.143.6720.70
Profit / Loss Ratio1.602.273.5512.7530.76455.35
Downside Deviation (10%)1.332.162.893.644.254.774.617.247.01
Downside Deviation (5%)1.151.621.761.321.250.67
Downside Deviation (0%)1.111.491.520.930.810.11
Sortino Ratio (10%)-0.06-0.13-0.23-0.29-0.34-0.40-0.75-0.80-0.80
Sortino Ratio (5%)0.220.430.752.243.729.53
Sortino Ratio (0%)0.300.631.204.257.6177.32

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 10 0.13 6/2011

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