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KeyQuant SAS

Key Trends program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-7.03%11.75%-5.53%2.44%2.63%-13.17%1.79%4.83%-8.59%9.22%  -4.55%
20167.47%2.18%-6.06%-2.69%-0.38%7.11%1.84%-5.57%-0.93%-8.40%0.53%5.19%-1.15%
201515.74%-2.56%4.44%-10.16%-1.70%-4.30%5.68%-5.28%6.91%-1.56%4.88%-4.39%5.16%
2014-5.44%3.46%-4.73%4.92%6.10%-0.59%-6.20%13.24%6.35%5.72%12.38%5.61%46.19%
2013-2.21%5.15%4.78%7.03%-2.53%-6.35%-0.90%-7.35%-1.60%6.20%5.34%-5.09%0.97%
20127.28%1.32%-3.35%1.78%-4.28%-7.73%13.00%-2.99%-3.29%-7.69%2.78%-1.69%-6.62%
2011-1.31%4.53%-2.23%8.57%-2.87%-4.52%10.24%3.29%-4.16%-4.88%-1.88%5.46%9.08%
2010-6.45%4.57%8.94%3.62%-2.86%-1.77%1.99%10.56%8.39%7.71%-3.76%7.74%43.83%

The Key Trends Program (Composite) is defined as the P&L of all fully traded USD based accounts implementing the Key Trends Strategy (with 20% volatility) net of execution costs with a fee structure of 2% - 20% (quarterly crystallised).

Performance statistics — Jan 2010 to Oct 2017

Cumulative total return 114.60%
Annualized compound return 10.24%
Annualized standard deviation 21.09%
Monthly correlation to S&P 500 TRI 0.17
Annualized sharpe ratio (0%) 0.56
Monthly maximum loss (Jun 2017) -13.17%
Maximum drawdown (Apr 2015 - Sep 2017) -19.15%

Annual performance (%) — Jan 2010 to Oct 2017

Year or YTD KeyQuant SAS S&P 500 TRIBTOP50 Index
2017-4.5516.91-1.40
2016-1.1511.96-4.44
20155.161.38-0.92
201446.1913.6912.33
20130.9732.390.74
2012-6.6216.00-1.83
20119.082.11-4.25
201043.8315.066.38

Performance comparison: Growth of $10,000 invested since inception — Jan 2010 to Oct 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Jan 2010 to Oct 2017

Distribution of monthly returns — Jan 2010 to Oct 2017

Underwater curve — Jan 2010 to Oct 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

KeyQuant S.A.S. (“KeyQuant”) is a French company formed in December 2009 to provide investment and advisory services to professional investors. KeyQuant is registered as a portfolio manager and subject to regulation by the Autorité des Marchés Financiers since December 24, 2009 under registration # GP-09000029. KeyQuant is also registered as an investment adviser with the Securities & Exchange Commission under the CRD# 173829. KeyQuant is registered as a CTA and CPO under the Commodity Exchange Act and is a member of the NFA in such capacities with NFA ID# 0426153.

 

Strategy

Key Trends is a medium to long-term fully systematic trend following trading program (“Key Trends program”) investing globally long and short in a large range of exchange traded futures in many markets, allowing both identification and capitalization on major economic cycles. Key Trends program utilizes a proprietary probabilistic model to identify market trends as they are being established, to characterize established market trends and to detect market trend reversals. It also adjusts portfolio exposures based on a proprietary indicator, the Global Economic Factor (“GEF”), that KeyQuant believes reflects the average confidence of market trends and thus the quality of the trends.

Key personnel

Robert Baguenault de Viéville, Co-Founder— Robert Baguenault de Viéville is co-founding partner and CEO of KeyQuant, launched in 2009. He co-developed the Key Trends program and is responsible for portfolio management of all funds and managed accounts advised by KeyQuant. Robert has more than 10 years of experience in systematic trading. He began his career in 2004 as a member of the quantitative research team at Man-Fidex Ltd (formerly a subsidiary of Man Group specializing in Managed Futures). He also held a number of other research and portfolio management positions. He has been listed as a Principal with the NFA since January 18, 2011 and as an Associated Person since March 22, 2011. Robert holds an Engineering Degree specialised in aeronautics from ESTACA-Paris (Aeronautic Aerospace Automotive Railway Engineering School) and a Master Degree in International Finance from HEC Paris.

Raphaël Gelrubin, Co-Founder— Raphaël Gelrubin is co-founding partner and Managing Director of KeyQuant, launched in 2009. He co-developed the Key Trends program and is responsible for portfolio management of all funds and managed accounts advised by KeyQuant. Robert has more than 10 years of experience in systematic trading. He began his career in 2004 as a member of the quantitative research team at Man-Fidex Ltd (formerly a subsidiary of Man Group specializing in Managed Futures). He has been listed as a Principal with the NFA since January 18, 2011 and as an Associated Person since April 4, 2011. Raphaël holds a Master Degree in Statistics and Probabilities from ENSAE ParisTech (National School of Statistics and Economic Administration) and a Degree in applied mathematics from Paris-Dauphine University.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656