SinoPac Asset Management : SinoPac Multi Strategy Quant Fund

Year-to-Date
0.44%
Aug Performance
0.15%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.36%
Sharpe (RFR=1%)
0.65
CAROR
7.41%
Assets
$ 35.2M
Worst DD
-14.68
S&P Correlation
-0.22

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
10/2009
SinoPac Multi Strategy Quant Fund 0.15 -0.63 -0.44 13.52 53.34 52.27 - 103.26
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 179.51
+/- S&P 500 1.96 -6.97 -17.17 12.67 19.91 7.68 - -76.25

Strategy Description

Summary

The SinoPac Multi Strategy Quant Fund employs multiple proprietary quantitative models to execute a frequent trading strategy in highly liquid investment instruments. The fund is managed by Gladys Lang. She has over 19 years of experience in the financial industry specializing in... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
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
QEP
Lock-up Period
0

Trading

Trading Frequency
12750 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
6.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
5.00%
Intraday
95.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
10.00%
Trend-following
50.00%
Other
40.00%
Strategy Pie Chart

Composition

Stock Indices
80.00%
Currency FX
5.00%
Precious Metals
5.00%
Energy
5.00%
Grains
5.00%
Composition Pie Chart

Summary

The SinoPac Multi Strategy Quant Fund employs multiple proprietary quantitative models to execute a frequent trading strategy in highly liquid investment instruments. The fund is managed by Gladys Lang. She has over 19 years of experience in the financial industry specializing in the areas of derivatives, quantitative trading and risk management. She started her career in 1993 as a Market Risk Analyst with Citibank. She was then Head of Quantitative Research in equity derivatives between 1995 and 1997. She joined ING Barings as a Senior Risk Manager in 1997 and was promoted to Regional Head of Market Risk Asia in 1999. Before she joined Sinopac Asset Management, she worked for KGI as the Director of Equity Proprietary Trading from 2003 to 2009. Gladys received her Bachelor of Law Degree from the London University, a Bachelor of Science Degree from the Chinese University of Hong Kong and a Doctorate Degree in Physics from the California Institute of Technology. Gladys’s team comprises of four investment professionals, all with (under)graduate and post-graduate degrees from The Chinese University of Hong Kong. Michael Wong, Ph.D., is the assistant fund manager. Brian Tsue is a trader responsible for conducting research and trading. Frank Wong is a research analyst and Lok Cheung is the dedicated risk manager. The team has been working together at SinoPac Asset Management for the past three years. Previously, the team worked at KGI Securities where they managed an internal hedge fund for three years.

Investment Strategy

The Fund aims to deliver a positive total return over the medium to long term with low volatility, low downside risk and low correlation to other asset classes. The Fund trades mainly equity index futures, commodity futures and FX but may also invest in other asset classes. The portfolio management team has been together for many years and uses their market insights and the ability to perform large scale historical analysis to establish an Asian focused investment strategy centered on Mean Reversion, Market Reaction and Momentum

Risk Management

The SinoPac Multi Strategy Quant Fund has defined a policy in credit and market risk exposure (see the Quant Fund Risk Policy). In summary, there is a daily VAR limit, a MTD, Quarter-to-Date and YTD stop-loss limit, a liquidity limit in individual positions and issuer limits. There is a daily report showing positions, daily P/L, daily VAR and usage in various limits. It has to be signed by Fund Manager and is reported to the Legal and Compliance Officer and the Managing Director. On a monthly basis, a review report will be produced detailing the usage of VAR limits and stop-loss limits and stress testing results which will be reported to the Regional Risk Management Department. On the Fund management side, risk is managed by diversification in strategies across different strategies and products. Strategy performances are reviewed on a weekly basis by the investment team consisting of the Fund Manager and the traders.

   

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
-14.68 12 17 8/1/2015 8/1/2016
-13.95 19 9 4/1/2013 11/1/2014
-6.29 5 12 11/1/2009 4/1/2010
-2.67 2 2 7/1/2012 9/1/2012
-2.29 1 1 8/1/2018 9/1/2018
-2.00 4 1 11/1/2012 3/1/2013
-1.96 3 - 4/1/2019 7/1/2019
-1.30 1 1 6/1/2011 7/1/2011
-1.11 2 2 11/1/2011 1/1/2012
-0.86 1 1 6/1/2018 7/1/2018
-0.68 1 2 1/1/2019 2/1/2019
-0.15 1 1 3/1/2012 4/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
26.61 4 8/1/2011 11/1/2011
22.38 6 10/1/2017 3/1/2018
17.77 4 10/1/2018 1/1/2019
15.79 3 6/1/2015 8/1/2015
11.08 7 12/1/2010 6/1/2011
9.87 3 5/1/2012 7/1/2012
5.75 4 9/1/2016 12/1/2016
5.70 2 10/1/2015 11/1/2015
5.17 1 5/1/2010 5/1/2010
4.63 3 6/1/2017 8/1/2017
3.30 2 10/1/2009 11/1/2009
2.99 2 3/1/2015 4/1/2015
2.82 2 10/1/2012 11/1/2012
2.32 1 4/1/2013 4/1/2013
2.17 1 8/1/2018 8/1/2018
1.92 2 5/1/2018 6/1/2018
1.87 2 2/1/2012 3/1/2012
1.81 1 6/1/2013 6/1/2013
1.79 2 12/1/2014 1/1/2015
1.57 1 4/1/2017 4/1/2017
1.44 1 10/1/2010 10/1/2010
1.25 1 4/1/2014 4/1/2014
1.16 2 3/1/2019 4/1/2019
1.12 1 9/1/2014 9/1/2014
0.61 1 7/1/2010 7/1/2010
0.59 1 1/1/2014 1/1/2014
0.40 1 6/1/2016 6/1/2016
0.24 1 6/1/2019 6/1/2019
0.15 1 8/1/2019 8/1/2019
0.07 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.22 6 12/1/2015 5/1/2016
-7.46 1 9/1/2015 9/1/2015
-6.76 6 7/1/2013 12/1/2013
-6.29 5 12/1/2009 4/1/2010
-4.52 2 10/1/2014 11/1/2014
-4.14 1 5/1/2013 5/1/2013
-3.05 1 6/1/2010 6/1/2010
-2.99 4 5/1/2014 8/1/2014
-2.67 2 8/1/2012 9/1/2012
-2.29 3 1/1/2017 3/1/2017
-2.29 1 9/1/2018 9/1/2018
-2.14 2 7/1/2016 8/1/2016
-2.12 2 8/1/2010 9/1/2010
-2.02 1 9/1/2017 9/1/2017
-1.32 1 11/1/2010 11/1/2010
-1.30 1 7/1/2011 7/1/2011
-1.20 1 12/1/2012 12/1/2012
-1.19 1 5/1/2019 5/1/2019
-1.11 2 12/1/2011 1/1/2012
-1.02 1 7/1/2019 7/1/2019
-0.88 2 2/1/2013 3/1/2013
-0.87 2 2/1/2014 3/1/2014
-0.86 1 7/1/2018 7/1/2018
-0.69 1 2/1/2015 2/1/2015
-0.68 1 2/1/2019 2/1/2019
-0.63 1 5/1/2017 5/1/2017
-0.15 1 4/1/2012 4/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods119.00117.00114.00108.00102.0096.0084.0072.0060.00
Percent Profitable53.7856.4158.7764.8172.5575.0076.1979.1788.33
Average Period Return0.641.944.159.0213.8617.4119.9422.4326.70
Average Gain2.335.069.3316.7421.5925.2627.4129.8830.50
Average Loss-1.37-2.10-3.24-5.20-6.56-6.17-3.94-5.86-2.03
Best Period17.0625.9529.0940.3550.7853.5154.7257.6758.53
Worst Period-7.46-7.98-11.22-14.68-11.81-13.71-7.43-9.84-4.03
Standard Deviation2.995.548.7614.3118.8021.3421.0120.4019.94
Gain Standard Deviation3.015.457.7311.8916.2718.7918.4915.9718.03
Loss Standard Deviation1.291.762.802.843.194.272.372.431.29
Sharpe Ratio (1%)0.190.310.420.560.660.720.810.901.08
Average Gain / Average Loss1.692.412.883.223.294.106.955.1015.00
Profit / Loss Ratio2.053.124.115.938.6912.2922.2519.37113.56
Downside Deviation (10%)1.462.494.106.347.849.1811.4514.2014.90
Downside Deviation (5%)1.291.932.994.044.534.603.674.692.65
Downside Deviation (0%)1.251.802.743.503.813.732.232.880.81
Sortino Ratio (10%)0.160.290.410.630.800.780.370.06-0.06
Sortino Ratio (5%)0.430.881.221.992.733.354.613.928.14
Sortino Ratio (0%)0.511.081.522.573.644.678.947.7833.13

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Year Rolling 2 34.98 2017 - 2018
Stock Index Trader Index Month 10 0.54 12/2018
Trend Following Strategy Index Month 1 14.13 10/2018
Systematic Trader Index Month 1 14.13 10/2018
Stock Index Trader Index Month 1 14.13 10/2018
IASG CTA Index Month 2 14.13 10/2018
Stock Index Trader Index Month 5 2.17 8/2018
Trend Following Strategy Index Month 10 1.07 5/2018
Stock Index Trader Index Month 3 6.45 3/2018
IASG CTA Index Month 4 6.45 3/2018
Trend Following Strategy Index Month 1 6.45 3/2018
Systematic Trader Index Month 2 6.45 3/2018
Trend Following Strategy Index Month 2 4.61 2/2018
Stock Index Trader Index Month 6 4.61 2/2018
Stock Index Trader Index Month 8 2.97 1/2018
Stock Index Trader Index Month 3 2.39 12/2017
Stock Index Trader Index Month 2 3.84 11/2017
Trend Following Strategy Index Month 3 3.84 11/2017
IASG CTA Index Month 5 3.84 11/2017
Systematic Trader Index Month 5 3.84 11/2017
Stock Index Trader Index Month 9 0.99 8/2017
Systematic Trader Index Month 10 2.35 6/2017
Stock Index Trader Index Month 5 2.35 6/2017
Trend Following Strategy Index Month 3 2.35 6/2017
Stock Index Trader Index Month 9 1.57 4/2017
Trend Following Strategy Index Month 10 1.57 4/2017
Stock Index Trader Index Month 5 1.05 12/2016
Stock Index Trader Index Month 4 3.59 10/2016
Systematic Trader Index Month 3 3.59 10/2016
Trend Following Strategy Index Month 2 3.59 10/2016
IASG CTA Index Month 9 3.59 10/2016
Stock Index Trader Index Month 6 2.76 11/2015
Trend Following Strategy Index Month 5 2.95 10/2015
Stock Index Trader Index Month 4 2.95 10/2015
Stock Index Trader Index Month 4 4.65 8/2015
Trend Following Strategy Index Month 8 4.65 8/2015
Trend Following Strategy Index Month 8 10.57 7/2015
IASG CTA Index Month 9 10.57 7/2015
Systematic Trader Index Month 7 10.57 7/2015
Stock Index Trader Index Month 3 10.57 7/2015
Trend Following Strategy Index Month 10 0.07 6/2015
Stock Index Trader Index Month 6 2.89 3/2015
Trend Following Strategy Index Month 7 1.07 10/2012
Stock Index Trader Index Month 5 4.70 7/2012
Stock Index Trader Index Month 5 3.68 5/2012
Trend Following Strategy Index Month 8 3.94 10/2011
Stock Index Trader Index Month 10 3.94 10/2011
Stock Index Trader Index Month 10 3.52 9/2011
Systematic Trader Index Month 5 17.06 8/2011
Stock Index Trader Index Month 3 17.06 8/2011
IASG CTA Index Month 5 17.06 8/2011
Trend Following Strategy Index Month 3 17.06 8/2011
Trend Following Strategy Index Month 5 1.12 6/2011
Trend Following Strategy Index Month 7 2.69 5/2011
Stock Index Trader Index Month 3 2.46 4/2011
Stock Index Trader Index Month 2 5.17 5/2010

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