2020 CTA Challenge Top 5

Discretionary Global Macro Program

Methodology: Systematic
Strategy: Macro / Fundamental
Sub-Strategy: Short Term (days-wks)
Market Focus: Diversified

Strategy Description

The strategy encompasses highly liquid futures only, providing transparency and scalability through a small team of individuals. The combination of a macro/fundamental approached combined with trend following and price statistics to trigger trades, expressed entirely through a systematic fund, gives a robust return profile that differs from the majority of CTA’s. While price is always the final arbiter, we believe the unique mix of our approach to the analysis of the market, predominantly from a fundamental focus provides diversification and less concentration risk than the traditional CTA model. We deploy a combination of 7 or more strategies, employing numerous individual macro/fundamental models, the combination and weightings of which will be monitored dynamically and maybe adjusted periodically according to the market shifts in sentiment. Account minimums and actual fees may be higher or lower for specific accounts as may be individually negotiated between the CTA and each account holder.

General Information

Management Fee: 1.50%
Incentive Fee: 20.00%
Strategy AUM: $172,000,000
Firm AUM: $172,000,000
Typical Trade Duration:  
Round Turns per Million:  1,600
Typical Margin-to-Equity: 6
Managed Account Minimum: $3,000,000

Performance Statistics

Date Range: 07/10 – 01/21
Annualized ROR: 2.15%
Standard Deviation: 7.35%
Maximum Drawdown: -17.17%
Sharpe Ratio (0% RFR): 0.29
Correlation to S&P 500: -0.07

Performance Comparison

Date Range: 07/10 – 01/21

performance chart 45855

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

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Disclosures

This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.