Quantor Capital LLC

Quantor Core Strategy *QEP*


Monthly Performance (%)

Date Range: 03/17 - 02/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 0.33 -3.17   -2.85 
2019 6.64 0.17 10.62 -0.58 -1.88 10.35 -0.72 10.15 -3.84 -0.52 -1.95 2.59  33.85 
2018 10.01 -10.94 -5.24 0.58 4.95 -6.22 -3.49 -1.59 -5.27 -9.77 2.23 -1.52  -24.89 
2017 0.50 2.50 -3.30 5.70 2.90 -2.54 8.70 0.28 3.92  19.61 

Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The strategy uses market values and volatilities to create an investable market portfolio of virtually every type of publicly available asset in the world, with each asset weighted in proportion to its total presence in the market. The expected return of a global market investment portfolio is similar to the expected return of the market as a whole—i.e., global GDP. The investment strategy’s main objective is to provide investors with market levered returns in a low cost, passive way.

Performance Statistics

Date Range: 03/17 - 02/20
  Program S&P 500 Coquest 40 
Total Return 16.83% 32.65% 2.79% 
Annualized Return 5.48% 9.88% 0.92% 
Annualized Std. Deviation 18.58% 12.98% 7.71% 
Correlation 0.50 0.64 
Sharpe Ratio (rf=2.5%) 0.16 0.57 -0.20 
Worst Month -10.94% -9.03% -6.10% 
Date of Worst Month 02/2018 12/2018 02/2018 
Worst Drawdown -32.18% -13.52% -9.14% 
Date of Worst Drawdown 1/18 - 10/18 9/18 - 12/18 1/18 - 1/19 

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 03/17 - 02/20
Year or YTD Program S&P 500 Coquest 40 
2020 -2.85 -8.27 -0.50 
2019 33.85 31.50 7.53 
2018 -24.89 -4.38 -4.29 
2017 19.61 14.87 1.86 

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 03/17 - 02/20
Date: 2/29/2020
Perf: $1,043.17 Date: 1/31/2020
Perf: $1,058.95 Date: 12/31/2019
Perf: $1,048.36 Date: 11/30/2019
Perf: $1,054.90 Date: 10/31/2019
Perf: $1,044.66 Date: 9/30/2019
Perf: $1,068.27 Date: 8/31/2019
Perf: $1,098.71 Date: 7/31/2019
Perf: $1,060.32 Date: 6/30/2019
Perf: $1,025.36 Date: 5/31/2019
Perf: $1,005.25 Date: 4/30/2019
Perf: $1,025.35 Date: 3/31/2019
Perf: $997.91 Date: 2/28/2019
Perf: $963.32 Date: 1/31/2019
Perf: $957.20 Date: 12/31/2018
Perf: $974.94 Date: 11/30/2018
Perf: $970.86 Date: 10/31/2018
Perf: $982.66 Date: 9/30/2018
Perf: $1,007.54 Date: 8/31/2018
Perf: $1,012.10 Date: 7/31/2018
Perf: $986.93 Date: 6/30/2018
Perf: $994.39 Date: 5/31/2018
Perf: $986.11 Date: 4/30/2018
Perf: $998.99 Date: 3/31/2018
Perf: $988.32 Date: 2/28/2018
Perf: $989.21 Date: 1/31/2018
Perf: $1,053.47 Date: 12/31/2017
Perf: $1,018.63 Date: 11/30/2017
Perf: $1,007.65 Date: 10/31/2017
Perf: $1,006.34 Date: 9/30/2017
Perf: $965.87 Date: 8/31/2017
Perf: $986.69 Date: 7/31/2017
Perf: $970.58 Date: 6/30/2017
Perf: $966.81 Date: 5/31/2017
Perf: $995.89 Date: 4/30/2017
Perf: $994.00 Date: 3/31/2017
Perf: $1,000.00 Date: 2/29/2020
Perf: $1,324.93 Date: 1/31/2020
Perf: $1,443.76 Date: 12/31/2019
Perf: $1,444.33 Date: 11/30/2019
Perf: $1,401.99 Date: 10/31/2019
Perf: $1,352.88 Date: 9/30/2019
Perf: $1,324.15 Date: 8/31/2019
Perf: $1,299.84 Date: 7/31/2019
Perf: $1,320.71 Date: 6/30/2019
Perf: $1,301.96 Date: 5/31/2019
Perf: $1,216.22 Date: 4/30/2019
Perf: $1,298.68 Date: 3/31/2019
Perf: $1,248.14 Date: 2/28/2019
Perf: $1,224.38 Date: 1/31/2019
Perf: $1,186.30 Date: 12/31/2018
Perf: $1,098.33 Date: 11/30/2018
Perf: $1,207.35 Date: 10/31/2018
Perf: $1,183.21 Date: 9/30/2018
Perf: $1,270.09 Date: 8/31/2018
Perf: $1,262.89 Date: 7/31/2018
Perf: $1,223.02 Date: 6/30/2018
Perf: $1,179.15 Date: 5/31/2018
Perf: $1,171.89 Date: 4/30/2018
Perf: $1,144.31 Date: 3/31/2018
Perf: $1,139.98 Date: 2/28/2018
Perf: $1,169.69 Date: 1/31/2018
Perf: $1,214.50 Date: 12/31/2017
Perf: $1,148.68 Date: 11/30/2017
Perf: $1,136.07 Date: 10/31/2017
Perf: $1,102.23 Date: 9/30/2017
Perf: $1,077.14 Date: 8/31/2017
Perf: $1,055.40 Date: 7/31/2017
Perf: $1,052.13 Date: 6/30/2017
Perf: $1,030.90 Date: 5/31/2017
Perf: $1,024.55 Date: 4/30/2017
Perf: $1,010.30 Date: 3/31/2017
Perf: $1,000.00 Date: 2/29/2020
Perf: $1,168.32 Date: 1/31/2020
Perf: $1,206.57 Date: 12/31/2019
Perf: $1,202.60 Date: 11/30/2019
Perf: $1,172.24 Date: 10/31/2019
Perf: $1,195.55 Date: 9/30/2019
Perf: $1,201.80 Date: 8/31/2019
Perf: $1,249.79 Date: 7/31/2019
Perf: $1,134.63 Date: 6/30/2019
Perf: $1,142.86 Date: 5/31/2019
Perf: $1,035.67 Date: 4/30/2019
Perf: $1,055.51 Date: 3/31/2019
Perf: $1,061.67 Date: 2/28/2019
Perf: $959.74 Date: 1/31/2019
Perf: $958.11 Date: 12/31/2018
Perf: $898.46 Date: 11/30/2018
Perf: $912.32 Date: 10/31/2018
Perf: $892.42 Date: 9/30/2018
Perf: $989.05 Date: 8/31/2018
Perf: $1,044.08 Date: 7/31/2018
Perf: $1,060.94 Date: 6/30/2018
Perf: $1,099.31 Date: 5/31/2018
Perf: $1,172.22 Date: 4/30/2018
Perf: $1,116.93 Date: 3/31/2018
Perf: $1,110.49 Date: 2/28/2018
Perf: $1,171.90 Date: 1/31/2018
Perf: $1,315.86 Date: 12/31/2017
Perf: $1,196.12 Date: 11/30/2017
Perf: $1,151.00 Date: 10/31/2017
Perf: $1,147.79 Date: 9/30/2017
Perf: $1,055.93 Date: 8/31/2017
Perf: $1,083.44 Date: 7/31/2017
Perf: $1,052.91 Date: 6/30/2017
Perf: $996.13 Date: 5/31/2017
Perf: $1,030.13 Date: 4/30/2017
Perf: $1,005.00 Date: 3/31/2017
Perf: $1,000.00

Note: All performance data is since program inception.

Monthly Returns

Date Range: 03/17 - 02/20
Date: 2/29/2020
Return: -3.17 % Date: 1/31/2020
Return: 0.33 % Date: 12/31/2019
Return: 2.59 % Date: 11/30/2019
Return: -1.95 % Date: 10/31/2019
Return: -0.52 % Date: 9/30/2019
Return: -3.84 % Date: 8/31/2019
Return: 10.15 % Date: 7/31/2019
Return: -0.72 % Date: 6/30/2019
Return: 10.35 % Date: 5/31/2019
Return: -1.88 % Date: 4/30/2019
Return: -0.58 % Date: 3/31/2019
Return: 10.62 % Date: 2/28/2019
Return: 0.17 % Date: 1/31/2019
Return: 6.64 % Date: 12/31/2018
Return: -1.52 % Date: 11/30/2018
Return: 2.23 % Date: 10/31/2018
Return: -9.77 % Date: 9/30/2018
Return: -5.27 % Date: 8/31/2018
Return: -1.59 % Date: 7/31/2018
Return: -3.49 % Date: 6/30/2018
Return: -6.22 % Date: 5/31/2018
Return: 4.95 % Date: 4/30/2018
Return: 0.58 % Date: 3/31/2018
Return: -5.24 % Date: 2/28/2018
Return: -10.94 % Date: 1/31/2018
Return: 10.01 % Date: 12/31/2017
Return: 3.92 % Date: 11/30/2017
Return: 0.28 % Date: 10/31/2017
Return: 8.70 % Date: 9/30/2017
Return: -2.54 % Date: 8/31/2017
Return: 2.90 % Date: 7/31/2017
Return: 5.70 % Date: 6/30/2017
Return: -3.30 % Date: 5/31/2017
Return: 2.50 % Date: 4/30/2017
Return: 0.50 % Date: 3/31/2017
Return: 0.00 %

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 03/17 - 02/20
Return: -4.00 %
Count: 1 Return: -1.00 %
Count: 3 Return: 11.00 %
Count: 1 Return: 7.00 %
Count: 1 Return: -10.00 %
Count: 1 Return: -2.00 %
Count: 4 Return: -6.00 %
Count: 1 Return: 5.00 %
Count: 1 Return: 1.00 %
Count: 1 Return: -5.00 %
Count: 2 Return: -11.00 %
Count: 1 Return: 10.00 %
Count: 3 Return: 4.00 %
Count: 1 Return: 9.00 %
Count: 1 Return: 3.00 %
Count: 2 Return: 6.00 %
Count: 1 Return: -3.00 %
Count: 4 Return: 2.00 %
Count: 2 Return: 0.00 %
Count: 5

Note: All performance data is since program inception.

Underwater Curve

Date Range: 03/17 - 02/20
Date: 2/29/2020
Drawdown: -11.21 % Date: 1/31/2020
Drawdown: -8.31 % Date: 12/31/2019
Drawdown: -8.61 % Date: 11/30/2019
Drawdown: -10.91 % Date: 10/31/2019
Drawdown: -9.14 % Date: 9/30/2019
Drawdown: -8.67 % Date: 8/31/2019
Drawdown: -5.02 % Date: 7/31/2019
Drawdown: -13.77 % Date: 6/30/2019
Drawdown: -13.15 % Date: 5/31/2019
Drawdown: -21.29 % Date: 4/30/2019
Drawdown: -19.79 % Date: 3/31/2019
Drawdown: -19.32 % Date: 2/28/2019
Drawdown: -27.06 % Date: 1/31/2019
Drawdown: -27.19 % Date: 12/31/2018
Drawdown: -31.72 % Date: 11/30/2018
Drawdown: -30.67 % Date: 10/31/2018
Drawdown: -32.18 % Date: 9/30/2018
Drawdown: -24.84 % Date: 8/31/2018
Drawdown: -20.65 % Date: 7/31/2018
Drawdown: -19.37 % Date: 6/30/2018
Drawdown: -16.46 % Date: 5/31/2018
Drawdown: -10.92 % Date: 4/30/2018
Drawdown: -15.12 % Date: 3/31/2018
Drawdown: -15.61 % Date: 2/28/2018
Drawdown: -10.94 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: -2.54 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: -3.30 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: 0.00 %

Note: All performance data is since program inception.

Manager Information

Manager Name:  Quantor Capital LLC
Address: 1330 Post Oak Blvd, Suite 1200
City: Houston
State: TX
Zip: 77056
Country: US

Key People

Name:  Juan Carlos Herrera
Position:  Portfolio Manager
Biography: 

Juan Carlos is founder, head portfolio manager, and co-founder of Quantor Capital. After graduating from the University of Texas in Austin, Juan Carlos began his financial career in Madrid, Spain working for a boutique consulting firm. In 2006, Juan Carlos came back to the United States and joined Citigroup where he held positions in wealth management and private banking for affluent families. In 2008, Juan Carlos left Citi to start a quantitative hedge fund, QL Capital Management. While at QL Capital Management, Juan Carlos helped design, develop, and trade unique short term trading strategies that invested in over 80 markets. Juan Carlos has a B.A. from the University of Texas at Austin and currently holds a Series 65 and 3 FINRA licenses.


Name:  Julio Cacho
Position:  Chief Investment Officer
Biography: 

Julio is founder and Chief Investment Officer of Quantor Capital. Julio has more than 15 years of combined professional and academic experience in financial statistical research, optimal investment selection, and investment risk management. Previously, Julio was a director of risk and performance at Ziff Brothers Investments, a private multi-billion dollar family office in New York City. At Ziff, Julio developed investment and hedging strategies as a quantitative researcher, and implemented risk management strategies. Julio holds a masters of finance and doctor of philosophy (P.h.D.) in finance and economics from Princeton University. He received a B.SC. in Actuarial Science and an M.A. in economics with highest honors from ITAM University, in Mexico City. Julio is currently a faculty member at Rice University and has taught at Princeton University, ITAM, and the Swiss Finance Institute. Julio has also been a seminar speaker at top universities and financial institutions. Julio won the 2005 Citi-Banamex research in economics prize and has published articles about optimal portfolio selection in peer-reviewed academic journals.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Mini-Futures Yes 
 Investment Methodology
 Systematic Yes 
 Diversified Yes 
 Long Bias Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $7,000,000 
 Margin / Equity Ratio: 10% 
 Managed Account Availability: Open 
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