Degraves Capital Management
Degraves Global Diversified Program
Methodology: Systematic
Strategy: Other Technical
Sub-Strategy: Ultra Short Term
Market Focus: Diversified
Strategy Description
The Degraves Global Diversified Program employs an ultra short-term pattern recognition strategy, designed to capture intra-day momentum moves across a diversified group of markets. The manager utilizes multiple trend following and mean reversion models to identify trade entry points, and typically exits all positions before the market close. The strategy trades a broad and diverse group of markets, including equity indices, interest rates, currencies, and commodities.
Risk Management
Risk is managed primarily via a combination of volatility targeting, position sizing, and stops. The strategy targets a long term volatility level of 10%, with position sizes weighted based upon a combination of individual market volatility and liquidity. Additionally, the manager utilizes a variety of stops, including both static and trailing stop loss limits, as well as time stops which trigger exits before the market close. Under normal circumstances, the program is expected to have 0% margin-to-equity overnight.
General Information
Management Fee: 2.00% Typical Trade Duration: 4 Hours
Performance Fee: 20.00% Round Turns per Million: 8,500
Manager Assets: $52,000,000 Typical Margin‐to‐Equity: 0%
Strategy Assets: $52,000,000 Managed Account Minimum: $1,000,000
Performance Statistics
Date Range: 01/13 – 04/18 Maximum Drawdown: -15.94%
Annualized ROR: 3.93% Sharpe Ratio (0% RFR): 0.43
Standard Deviation: 9.05% Correlation to S&P 500: 0.01
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.
Coquest Strategy Summary · Degraves Capital Management
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.
