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QuantMetrics Capital Management, LLP

Quantmetrics Multi Strategy Fund

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-0.43%1.46%0.41%0.37%1.67%-2.78%-0.10%0.22%-1.52%-0.83%  -1.60%
20160.13%-3.48%0.59%-1.28%0.19%-2.34%-0.98%-0.37%-0.67%-0.29%0.09%0.37%-7.83%
20151.42%3.45%-1.13%-3.46%2.34%-0.75%1.48%-4.94%-1.29%-1.11%-0.12%-0.24%-4.56%
2014-0.97%3.01%2.57%-0.74%1.81%1.69%0.10%1.99%-0.97%1.24%2.10%3.99%16.85%
2013-7.24%2.82%2.80%6.03%-6.98%1.39%1.42%0.69%1.47%1.51%1.75%3.80%8.92%
2012-1.40%-0.90%1.06%2.01%1.27%-0.82%2.49%1.38%-1.75%0.56%2.68%-0.66%5.94%
2011-1.93%-2.22%-0.10%1.29%-1.67%-0.71%1.06%12.10%-6.47%7.28%3.66%-0.93%10.59%
20100.42%-2.60%-0.60%-1.40%4.18%0.09%0.30%-0.49%-2.37%-1.96%-2.10%0.22%-6.31%
20091.72%0.86%1.48%-3.46%-0.59%0.65%2.26%-0.39%0.63%1.20%0.31%0.50%5.17%
20087.06%3.90%-0.17%1.74%1.30%5.41%1.79%0.55%1.97%4.99%4.18%1.37%39.60%
20071.10%2.70%2.97%1.50%4.33%3.04%2.54%1.14%0.07%2.09%4.26%-0.11%28.72%
2006    3.51%4.63%4.11%1.05%1.35%0.92%3.75%0.54%21.57%

Performance statistics — May 2006 to Oct 2017

Cumulative total return 177.86%
Annualized compound return 9.29%
Annualized standard deviation 8.93%
Monthly correlation to S&P 500 TRI -0.19
Annualized sharpe ratio (0%) 0.95
Monthly maximum loss (Jan 2013) -7.24%
Maximum drawdown (Mar 2015 - Oct 2017) -16.54%

Annual performance (%) — May 2006 to Oct 2017

Year or YTD QuantMetrics Capital Management LLP S&P 500 TRIBTOP50 Index
2017-1.6016.91-1.40
2016-7.8311.96-4.44
2015-4.561.38-0.92
201416.8513.6912.33
20138.9232.390.74
20125.9416.00-1.83
201110.592.11-4.25
2010-6.3115.066.38
20095.1726.46-4.77
200839.60-37.0013.58
200728.725.497.57
200621.57--

Performance comparison: Growth of $10,000 invested since inception — May 2006 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 — Nov 2007 to Oct 2017

Distribution of monthly returns — May 2006 to Oct 2017

Underwater curve — May 2006 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

QuantMetrics was founded in 2003 by Dr. Mushtaq Shah and James Fowler who have worked together for over 16 years in quantitative investment management.  The firm specializes in short-term systematic strategies, offering two products (one market neutral and one directional) as well as a multi-strategy fund that allocates to both. Each product uses statistical and econometric models to exploit small and temporary pricing discrepancies in futures markets. Products benefit from low correlation and high liquidity. 

Investment goal

The QM Multi Strategy Fund is an offshore hedge fund that trades a combination of two managed futures strategies offered by Quantmetrics – QM Premier and QM Directional weighted for a target volatility of 10%. It is designed to make money in all market environments, albeit more in a crisis, and is an excellent diversifier within a portfolio context.

Markets traded

Financial and commodities futures, and spot FX.

Strategy

The Quantmetrics Multi Strategy Fund employs short term systematic strategies with a typical holding period of a few hours to a few days. The fund aims to return 15% per annum with a target annualised volatility of 10% by capturing price pressure arising from the predictable behavioural biases of certain market agents. The strategy trades in highly liquid financial futures and spot FX across the developed global markets and seeks to provide notable returns in low volatility environments as well as significant downside protection at times of market stress. The trading profile allows for swift reactions to new catalysts, while a short holding period lowers the chance of being caught by idiosyncratic events and profiting from the opportunities they present.

 

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