Praus Capital Management LLC

PCM Quantitative Strategies I


Monthly Performance (%)

Date Range: 10/18 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 1.40 3.55 -0.84 -0.12 1.61 -1.26 0.88 0.03 0.76 0.38 1.22   7.79 
2019 -2.18 0.42 -1.49 0.95 -0.08 -0.27 -0.78 -1.23 -2.15 1.36 1.25 -0.53  -4.71 
2018 -0.47 -0.65  -1.12 

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

Strategy Description

PCM Quantitative Strategies I (the “Program”) is Praus Capital Management, LLC’s flagship product. Seeks to capitalize on long and short opportunities producing profit potential in all market environments. Strategies provide the potential for diversification duringmarket corrections and high volatility environments. Executes trades across a wide range of domestic futures markets including equity indices, financials, commodities, and currencies. Intraday trading – low margin usage and limited exposure to overnight or weekend price gaps resulting from major news events. Low correlation with equities, hedge funds, and CTAs. Target annualized return of 10%. Target annualized standard deviation and target maximum drawdown of < 10%. (1) The first client account began trading on November 20, 2018, resulting in a difference between Proprietary and Client performance.

Performance Statistics

Date Range: 10/18 - 10/20
  Program S&P 500 Coquest 40 
Total Return 0.34% 16.87% 0.36% 
Annualized Return 0.17% 7.77% 0.17% 
Annualized Std. Deviation 4.48% 20.23% 6.64% 
Correlation -0.13 -0.08 
Sharpe Ratio (rf=2.5%) -0.52 0.26 -0.35 
Worst Month -2.18% -12.35% -2.77% 
Date of Worst Month 01/2019 03/2020 09/2019 
Worst Drawdown -7.70% -19.60% -7.96% 
Date of Worst Drawdown 10/18 - 9/19 12/19 - 3/20 8/19 - 10/20 

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

Annual Performance (%)

Date Range: 10/18 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 7.79 2.77 -3.54 
2019 -4.71 31.50 7.53 
2018 -1.12 -7.17 -0.79 

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

Performance Comparison

Date Range: 10/18 - 10/20
Date: 10/31/2020
Perf: $1,029.06 Date: 9/30/2020
Perf: $1,032.36 Date: 8/31/2020
Perf: $1,047.66 Date: 7/31/2020
Perf: $1,059.63 Date: 6/30/2020
Perf: $1,039.77 Date: 5/31/2020
Perf: $1,053.26 Date: 4/30/2020
Perf: $1,065.73 Date: 3/31/2020
Perf: $1,062.22 Date: 2/29/2020
Perf: $1,061.58 Date: 1/31/2020
Perf: $1,077.64 Date: 12/31/2019
Perf: $1,066.86 Date: 11/30/2019
Perf: $1,073.52 Date: 10/31/2019
Perf: $1,063.10 Date: 9/30/2019
Perf: $1,087.13 Date: 8/31/2019
Perf: $1,118.10 Date: 7/31/2019
Perf: $1,079.04 Date: 6/30/2019
Perf: $1,043.46 Date: 5/31/2019
Perf: $1,023.00 Date: 4/30/2019
Perf: $1,043.45 Date: 3/31/2019
Perf: $1,015.52 Date: 2/28/2019
Perf: $980.33 Date: 1/31/2019
Perf: $974.09 Date: 12/31/2018
Perf: $992.15 Date: 11/30/2018
Perf: $988.00 Date: 10/31/2018
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,254.50 Date: 9/30/2020
Perf: $1,288.79 Date: 8/31/2020
Perf: $1,339.69 Date: 7/31/2020
Perf: $1,249.83 Date: 6/30/2020
Perf: $1,183.10 Date: 5/31/2020
Perf: $1,160.02 Date: 4/30/2020
Perf: $1,107.31 Date: 3/31/2020
Perf: $981.49 Date: 2/29/2020
Perf: $1,119.78 Date: 1/31/2020
Perf: $1,220.20 Date: 12/31/2019
Perf: $1,220.69 Date: 11/30/2019
Perf: $1,184.90 Date: 10/31/2019
Perf: $1,143.40 Date: 9/30/2019
Perf: $1,119.11 Date: 8/31/2019
Perf: $1,098.57 Date: 7/31/2019
Perf: $1,116.21 Date: 6/30/2019
Perf: $1,100.36 Date: 5/31/2019
Perf: $1,027.90 Date: 4/30/2019
Perf: $1,097.59 Date: 3/31/2019
Perf: $1,054.87 Date: 2/28/2019
Perf: $1,034.80 Date: 1/31/2019
Perf: $1,002.61 Date: 12/31/2018
Perf: $928.26 Date: 11/30/2018
Perf: $1,020.40 Date: 10/31/2018
Perf: $1,000.00 Date: 11/30/2020
Perf: $1,015.65 Date: 10/31/2020
Perf: $1,003.41 Date: 9/30/2020
Perf: $999.61 Date: 8/31/2020
Perf: $992.07 Date: 7/31/2020
Perf: $991.77 Date: 6/30/2020
Perf: $983.12 Date: 5/31/2020
Perf: $995.66 Date: 4/30/2020
Perf: $979.89 Date: 3/31/2020
Perf: $981.07 Date: 2/29/2020
Perf: $989.38 Date: 1/31/2020
Perf: $955.46 Date: 12/31/2019
Perf: $942.27 Date: 11/30/2019
Perf: $947.29 Date: 10/31/2019
Perf: $935.59 Date: 9/30/2019
Perf: $923.04 Date: 8/31/2019
Perf: $943.32 Date: 7/31/2019
Perf: $955.07 Date: 6/30/2019
Perf: $962.58 Date: 5/31/2019
Perf: $965.18 Date: 4/30/2019
Perf: $965.95 Date: 3/31/2019
Perf: $956.86 Date: 2/28/2019
Perf: $971.34 Date: 1/31/2019
Perf: $967.27 Date: 12/31/2018
Perf: $988.83 Date: 11/30/2018
Perf: $995.30 Date: 10/31/2018
Perf: $1,000.00

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

Monthly Returns

Date Range: 10/18 - 10/20
Date: 11/30/2020
Return: 1.22 % Date: 10/31/2020
Return: 0.38 % Date: 9/30/2020
Return: 0.76 % Date: 8/31/2020
Return: 0.03 % Date: 7/31/2020
Return: 0.88 % Date: 6/30/2020
Return: -1.26 % Date: 5/31/2020
Return: 1.61 % Date: 4/30/2020
Return: -0.12 % Date: 3/31/2020
Return: -0.84 % Date: 2/29/2020
Return: 3.55 % Date: 1/31/2020
Return: 1.40 % Date: 12/31/2019
Return: -0.53 % Date: 11/30/2019
Return: 1.25 % Date: 10/31/2019
Return: 1.36 % Date: 9/30/2019
Return: -2.15 % Date: 8/31/2019
Return: -1.23 % Date: 7/31/2019
Return: -0.78 % Date: 6/30/2019
Return: -0.27 % Date: 5/31/2019
Return: -0.08 % Date: 4/30/2019
Return: 0.95 % Date: 3/31/2019
Return: -1.49 % Date: 2/28/2019
Return: 0.42 % Date: 1/31/2019
Return: -2.18 % Date: 12/31/2018
Return: -0.65 % Date: 11/30/2018
Return: -0.47 % Date: 10/31/2018
Return: 0.00 %

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

Distribution of Monthly Returns

Date Range: 10/18 - 10/20
Return: 2.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: 1.00 %
Count: 7 Return: -2.00 %
Count: 2 Return: -1.00 %
Count: 7 Return: 0.00 %
Count: 8

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

Underwater Curve

Date Range: 10/18 - 10/20
Date: 11/30/2020
Drawdown: 0.00 % Date: 10/31/2020
Drawdown: 0.00 % Date: 9/30/2020
Drawdown: -0.04 % Date: 8/31/2020
Drawdown: -0.79 % Date: 7/31/2020
Drawdown: -0.82 % Date: 6/30/2020
Drawdown: -1.69 % Date: 5/31/2020
Drawdown: -0.43 % Date: 4/30/2020
Drawdown: -2.01 % Date: 3/31/2020
Drawdown: -1.89 % Date: 2/29/2020
Drawdown: -1.06 % Date: 1/31/2020
Drawdown: -4.45 % Date: 12/31/2019
Drawdown: -5.77 % Date: 11/30/2019
Drawdown: -5.27 % Date: 10/31/2019
Drawdown: -6.44 % Date: 9/30/2019
Drawdown: -7.70 % Date: 8/31/2019
Drawdown: -5.67 % Date: 7/31/2019
Drawdown: -4.49 % Date: 6/30/2019
Drawdown: -3.74 % Date: 5/31/2019
Drawdown: -3.48 % Date: 4/30/2019
Drawdown: -3.40 % Date: 3/31/2019
Drawdown: -4.31 % Date: 2/28/2019
Drawdown: -2.87 % Date: 1/31/2019
Drawdown: -3.27 % Date: 12/31/2018
Drawdown: -1.12 % Date: 11/30/2018
Drawdown: -0.47 %

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

Manager Information

Manager Name:  Praus Capital Management LLC
Address: 2700 Post Oak Blvd
City: Houston
State: TX
Zip: 77056
Country: US

Key People

Key People

Employee information is not available.

Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Investment Methodology
 Systematic Yes 
 Diversified Yes 
 Pattern Recognition Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Intra-Day Yes 
 Investment Terms & Information
 Managed Account Minimum: $200,000 
 Margin / Equity Ratio: 10% 
 Managed Account Availability: Open 
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