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Program Details

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Quantam 

Quantam GSA Multistrategy x1

Manager: Max Dupont

Address: 45 rue du Cardinal Lemoine, Paris, 75005, France

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Aug 13, 2004
AUM:N/A
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:1%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:20.20%120.13%
Annual ROR:2.43%10.84%
YTD:0.00%8.32%
1 Year:0.00%11.57%
Alpha:-0.12
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:0.60%5850.30%
Average Monthly Loss:-0.63%-3.40%
Winning Months:6281
Losing Months:3011
Current DD:5.229.09
Max DD:5.3852.56
Sharpe Ratio (RF 1%):0.53
Annualized Std Dev:2.68

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Quantitative:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2012-0.32-0.160.17-0.31
20110.260.04-1.230.16-0.270.22-0.570.750.11-0.22-0.07-1.12-1.94
20100.62-0.69-0.440.141.060.46-0.840.620.540.180.42-0.801.25
20090.62-0.39-0.52-1.170.17-0.52-0.01-0.51-0.490.15-1.160.22-3.57
20080.300.100.230.730.340.440.130.45-1.480.390.61-0.212.03
20070.840.151.060.800.441.24-0.16-0.591.630.70-0.080.516.72
20061.75-0.962.290.581.041.071.461.110.130.190.550.059.62
20050.420.650.930.640.420.86-2.842.010.660.760.670.705.97
2004-0.170.15-0.08-0.720.39-0.43

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Quantam Global Statistical Arbitrage (GSA) is a highly diversified global futures trading program which aims at producing attractive risk adjusted returns and low correlation to traditional investments.
The GSA program is a composite of the several segments constituting each strategy.
It is built through a quantitative process that sorts through millions of combinations of each individual risk unit to arrive at the best overall forward risk profile based on the historical information available and other factors. The core of the methodology uses multiple layers of a proprietary volatility prediction model based on an advanced technique, along with high dimensional analysis that significantly reduces the uncertainty surrounding correlation prediction. This approach allows Quantam to combine a large number of different strategies, with or without similar characterics, and provide an optimized overall program from a risk perspective.

Company Info

Quantam is a "High Frequency" Investment group, relying on massive technology, operating statistical arbitrages and dynamic hedging through futures & options, providing liquidity to worldwide financial markets.

Manager Info

Maxime DUPONT, 40, MS in civil engineering from ESTP Paris (France). Chairman & CEO, co-founder, main owner of Quantam.
Max started his career at Societe Generale in 1994, working on quantitative modeling and on financial control for various trading desks. In 2002, he started an innovative company dedicated to the R&D of predictive models on financial markets. In 2004, he implemented the strategies he had designed and launched Quantam as an asset management company through a joint-venture with institutional investors. In 2006 after taking the control of the company, Max intensified the development of Quantam's models and structure to make it an innovative short term systematic manager specialized in quantitative trading.