Trium Investment Management LLP : QLO Capital

archived programs
Year-to-Date
N / A
Mar Performance
-1.90%
Min Investment
$ 1,500k
Mgmt. Fee
1.80%
Perf. Fee
15.00%
Annualized Vol
11.03%
Sharpe (RFR=1%)
0.25
CAROR
3.20%
Assets
$ 4.3M
Worst DD
-15.90
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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
QLO Capital -1.90 - - - - -4.45 - 10.80
S&P 500 6.60 - - - - 55.32 - 131.27
+/- S&P 500 -8.50 - - - - -59.77 - -120.48

Strategy Description

Summary

QLO Capital runs a global systematic strategy with 80% of its risk allocated to a quantitative framework of 9 strategies and 20% to a negatively correlated, discretionary, global macro overlay. This approach ensures a consistently well diversified portfolio. Both books utilize liquid... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,500k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 3.00
Management Fee 1.80%
Performance Fee 15.00%
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 270 RT/YR/$M
Avg. Margin-to-Equity 18%
Targeted Worst DD -18.00%
Worst Peak-to-Trough -11.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 5.00%
4-12 Months 5.00%
1-3 Months 10.00%
1-30 Days 78.00%
Intraday 2.00%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Counter-trend
10.00%
Fundamental
10.00%
Momentum
30.00%
Spreading/hedging
15.00%
Trend-following
35.00%
Strategy Pie Chart

Composition

Interest Rates
34.00%
Stock Indices
30.00%
Energy
21.00%
Currency FX
6.00%
Grains
3.00%
Industrial Metals
2.00%
Softs
2.00%
Precious Metals
1.00%
Livestock
1.00%
Composition Pie Chart

Summary

QLO Capital runs a global systematic strategy with 80% of its risk allocated to a quantitative framework of 9 strategies and 20% to a negatively correlated, discretionary, global macro overlay. This approach ensures a consistently well diversified portfolio. Both books utilize liquid products, predominantly futures across all asset classes; fixed income, equities, currencies, and commodities, encompassing approximately 90-100 different contracts.

Investment Strategy

At its core are 9 quantitative strategies, 8 trend following, 1 mean reversion. Within the quant book momentum strategies feature both 'pure' CTA strategies and conditional strategies. Signals are produced based solely on price and price related data to generate buy and sell signals and the system produces approximately 1.400 trades per annum with an average holding period of around 18 days. At the core of the value proposition ,however, is the discretionary overlay approach. QLO analyses the markets from a fundamental point of view and uses the input to gain exposure to investments that are not reflected in the quant book and are negatively correlated to it. This can either be in the form of positions in single futures where the quant book has no position, or it may result in a contrarian market view from what is reflected in the quant book. The discretionary book portfolio optimisation therefore includes adjusting risk in relation to the quant book and the approach ensures diversification between the two methods.

Risk Management

Each strategy has a pre-defined risk reduction and stop loss rule assigned to it. Each model will have 33% of its risk reduced if its drawdown reaches 66% of the stop loss. If the stop is reached then that strategy is shut down and re-evaluated. At the Quant book level, covering all the quantitative strategies, a separate risk reduction rule is assigned. Risk will be reduced by 25% if losses exceed pre-defined levels.Risk reduction continues and accelerates by a further 25% on each additional 1% of drawdowns.The discretionary book has similar targeted drawdown limits assigned. Finally at the top level, the entire portfolio will be shut down if the draw exceeds 1.5X the targeted volatility level over a 6 month 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.

Reward
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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
-15.90 10 - 2/1/2015 12/1/2015
-11.29 4 6 4/1/2013 8/1/2013
-2.10 1 2 8/1/2014 9/1/2014
-0.62 2 1 1/1/0001 2/1/2013
-0.33 1 1 6/1/2014 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
20.36 6 1/1/2014 6/1/2014
11.26 2 9/1/2013 10/1/2013
10.63 5 10/1/2014 2/1/2015
6.68 2 3/1/2013 4/1/2013
2.51 1 8/1/2014 8/1/2014
2.11 2 1/1/2016 2/1/2016
1.18 1 9/1/2015 9/1/2015
0.40 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.84 6 3/1/2015 8/1/2015
-8.97 2 5/1/2013 6/1/2013
-5.73 3 10/1/2015 12/1/2015
-5.62 2 11/1/2013 12/1/2013
-2.93 1 8/1/2013 8/1/2013
-2.10 1 9/1/2014 9/1/2014
-1.90 1 3/1/2016 3/1/2016
-0.62 2 1/1/2013 2/1/2013
-0.33 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable51.2859.4652.9467.8677.2793.75
Average Period Return0.311.102.428.1114.8619.42
Average Gain2.655.029.6315.9120.8920.81
Average Loss-2.15-4.63-5.69-8.38-5.64-1.43
Best Period9.1213.8820.3630.5339.8432.34
Worst Period-6.12-8.61-11.84-15.52-7.00-1.43
Standard Deviation3.185.989.1014.1215.0410.59
Gain Standard Deviation2.364.355.649.0311.209.32
Loss Standard Deviation1.732.073.696.252.28
Sharpe Ratio (1%)0.070.140.210.500.891.64
Average Gain / Average Loss1.231.081.691.903.7014.52
Profit / Loss Ratio1.301.591.904.0112.59217.79
Downside Deviation (10%)2.143.966.118.336.663.69
Downside Deviation (5%)1.963.364.906.283.550.88
Downside Deviation (0%)1.913.214.615.812.860.36
Sortino Ratio (10%)-0.04-0.03-0.010.371.092.49
Sortino Ratio (5%)0.120.250.391.133.7619.80
Sortino Ratio (0%)0.160.340.531.405.2054.20

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.