Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
RQSI's Equity Macro Hedge provides a short-only Equity return stream using Futures that can be paired with a long-only cash Equity portfolio. This hedge provides attractive drawdown protection and is based on the short signals of a diversified subset of factors from the GAA program, including Short and Medium-Term Growth, Inflation and Mean Reversion.
AUM & Cumulative Returns
Distribution
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
Ramsey Quantitative Systems Inc RQSI: Equity Hedge
Average RoR
-0.49%
Max Gain
3.44%
Gain Frequency
31.03%
Average Gain
1.89%
Gain Deviation
1.17%
Risk
Standard Deviation
2.34%
Worst Loss
-6.36%
Loss Frequency
68.97%
Average Loss
-1.57%
Loss Deviation
1.90%
Reward/Risk
Sharpe (RFR=1%)
-0.25
Skewness
-0.66
Kurtosis
0.81
Reward
Ramsey Quantitative Systems Inc RQSI: Equity Hedge
Compound RoR
-6.08%
Average RoR
-6.11%
Max Gain
-0.25%
Gain Frequency
0.00%
Average Gain
Gain Deviation
Risk
Standard Deviation
8.10%
Worst Loss
-6.14%
Loss Frequency
100.00%
Average Loss
-6.11%
Loss Deviation
6.57%
Reward/Risk
Sharpe (RFR=1%)
-0.85
Skewness
Kurtosis
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 (Months)
Recovery (Months)
Peak
Valley
-17.48
25
—
10/2020
11/2022
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
4.58
3
4/2022
6/2022
4.28
2
8/2022
9/2022
3.12
1
11/2021
11/2021
2.47
1
10/2020
10/2020
1.89
1
12/2022
12/2022
0.71
1
1/2022
1/2022
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-11.99
12
11/2020
10/2021
-6.94
2
10/2022
11/2022
-6.36
1
7/2022
7/2022
-3.10
1
12/2021
12/2021
-1.95
2
2/2022
3/2022
-0.25
2
1/2023
2/2023
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
