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120 Capital Management

Quantamental Global Macro Prop. QEP only

Investment Strategy

120 Capital’s Quantamental Global Macro program seeks to capitalize on long term, cross asset and cross geographic opportunities that exist due to the prevalence of passive investing and the sluggish asset re-allocation behavior of most institutional investors.
120 Capital utilizes a hybrid discretionary and quantitative approach to portfolio management, with a core focus on the economic trends that drive global asset prices. The framework was developed by portfolio manager Christopher Xu.

Performance (VAMI)

Monthly Returns

Fund Manager

Prior to starting CXX, Chris worked for over a decade as a global macro portfolio manager and chief investment officer at a multi-billion dollar single family office in NYC. Chris was previously a portfolio strategist at Bridgewater Associates, statistical arbitrage trader at Sempra Commodities, and Equity Derivatives Strategist at Lehman Brothers. He graduated from the University of Chicago with honors in 2003, with degrees in Economics and Computer Science.

General Information

Inception DateSep 2015
Minimum Investment250,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
Phone203-900-7802
E-mail[email protected]
Websitehttp://www.120capm.com

Statistics

Total Return Cumulative 207.06%
Sharpe Ratio 0.74
Sortino Ratio 1.08
Winning Months (%) 61.96%
Correlation vs. S&P 500 TR 0.41

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2023 -2.80 -5.80 -0.10 0.10 -8.44
2022 -15.60 -9.10 -3.70 0.70 -0.90 -0.10 0.10 -0.90 9.50 0.40 -4.80 2.70 -21.46
2021 -1.10 1.90 0.00 4.20 -1.80 9.20 13.30 4.80 -10.50 13.37 1.10 12.30 54.03
2020 3.30 -11.40 -7.80 -4.90 2.70 2.00 11.40 11.10 -8.40 -7.70 16.70 3.20 5.94
2019 7.97 1.41 1.12 1.45 -2.78 3.95 -1.64 11.76 -2.32 2.36 3.06 2.10 31.28
2018 4.79 -2.94 -3.29 1.04 -17.16 11.94 1.52 3.89 -0.26 -3.81 5.68 -8.73 -10.05
2017 0.24 3.61 0.47 2.92 2.28 -0.67 0.56 1.16 -0.87 6.62 10.83 2.69 33.51
2016 2.16 -2.10 -9.92 2.19 4.30 -3.88 20.31 2.54 -2.94 2.27 8.10 1.29 23.75
2015 8.66 22.54 0.79 -0.06 34.12
Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

AUM

Volatility (12 Months Rolling)

Risk/Return Comparison

Drawdown

Instruments

No data filled

Return Statistics

Last Month -
Year To Date -8.44%
3 Month ROR -5.80%
12 Months ROR -3.35%
36 Month ROR 46.22%
Total Return Cumulative 207.06%
Total Return Annualized 15.76%
Best Month 22.54%
Winning Months (%) 61.96%
Gain Deviation 5.24

Risk Statistics

Standard Deviation Annualized 23.62%
Max Drawdown (Monthly) -28.16%
Max Drawdown Length 15
Worst Month -17.16%
Losing Months (%) 36.96%
Average Losing Month -4.73%
Loss Deviation 4.38
Correlation vs S&P 500 0.41
Correlation vs DJ/CS MF 0.10

Risk/Reward Statistics

Sharpe Ratio 0.74
Sortino Ratio 1.08
Omega Ratio 1.29
Skewness 0.29
Kurtosis 1.37

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -28.16% 15 0 01/2022 -
2 -22.31% 3 4 02/2020 08/2020
3 -21.43% 4 15 02/2018 08/2019
4 -15.45% 2 2 09/2020 12/2020
5 -11.81% 2 4 02/2016 07/2016

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 22.54%-17.16%1.46%1.14%0.10%61.96%
3 Months 34.21%-26.12%3.99%2.97%-5.80%62.22%
6 Months 36.79%-26.35%7.68%9.11%-10.48%68.97%
1 Year 63.39%-21.46%16.20%15.46%-3.35%80.25%
2 Years 84.23%-4.66%34.60%31.34%5.48%98.55%
3 Years 115.42%17.80%49.88%47.78%46.22%100.00%
5 Years 172.25%36.23%98.51%100.10%39.42%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg15.76%49.09%118.52%421.47%3021.99%11104.91%
% Positive61.96%62.22%68.97%80.25%98.55%100.00%
Avg. Pos. Period5.17%10.37%15.35%22.21%35.18%49.88%
Avg. Neg. Period-4.73%-6.52%-9.35%-8.19%-4.66% -
Sharpe Ratio0.741.231.883.056.107.46
Sortino Ratio1.082.083.7711.78205.270.00
Standard Deviation6.82%11.20%14.17%18.38%19.65%23.17%
Downside Deviation3.92%5.65%6.19%4.34%0.56%0.00%
No data filled

Company Information

Minimum Investment250,000 USD (notional funding: 50.00%)
AUM10,000,000 USD
Management Fee2.00%
Performance Fee20.00%
Highwater MarkYes
RT per Million50
Margin to Equity20.00%
Legal StructureManaged Account
Investment RestrictionOnly for Qualified Eligible Persons

Company Information

Company120 Capital Management
PrincipalChristopher Xu
Phone203-900-7802
E-mail[email protected]
License NumberNFA 525276
Location -
Performance Compiled byTurnkey Trading Partners

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2023 -2.80 -5.80 -0.10 0.10 -8.44
2022 -15.60 -9.10 -3.70 0.70 -0.90 -0.10 0.10 -0.90 9.50 0.40 -4.80 2.70 -21.46
2021 -1.10 1.90 0.00 4.20 -1.80 9.20 13.30 4.80 -10.50 13.37 1.10 12.30 54.03
2020 3.30 -11.40 -7.80 -4.90 2.70 2.00 11.40 11.10 -8.40 -7.70 16.70 3.20 5.94
2019 7.97 1.41 1.12 1.45 -2.78 3.95 -1.64 11.76 -2.32 2.36 3.06 2.10 31.28
2018 4.79 -2.94 -3.29 1.04 -17.16 11.94 1.52 3.89 -0.26 -3.81 5.68 -8.73 -10.05
2017 0.24 3.61 0.47 2.92 2.28 -0.67 0.56 1.16 -0.87 6.62 10.83 2.69 33.51
2016 2.16 -2.10 -9.92 2.19 4.30 -3.88 20.31 2.54 -2.94 2.27 8.10 1.29 23.75
2015 8.66 22.54 0.79 -0.06 34.12
Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion.
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Strategy Description

120 Capital’s Quantamental Global Macro program seeks to capitalize on long term, cross asset and cross geographic opportunities that exist due to the prevalence of passive investing and the sluggish asset re-allocation behavior of most institutional investors.
120 Capital utilizes a hybrid discretionary and quantitative approach to portfolio management, with a core focus on the economic trends that drive global asset prices. The framework was developed by portfolio manager Christopher Xu.

Return Statistics

Last Month -
Year To Date -8.44%
3 Month ROR -5.80%
12 Months ROR -3.35%
36 Month ROR 46.22%
Total Return Cumulative 207.06%
Total Return Annualized 15.76%
Best Month 22.54%
Winning Months (%) 61.96%
Gain Deviation 5.24

Risk Statistics

Standard Deviation Annualized 23.62%
Max Drawdown (Monthly) -28.16%
Max Drawdown Length 15
Worst Month -17.16%
Losing Months (%) 36.96%
Average Losing Month -4.73%
Loss Deviation 4.38
Correlation vs S&P 500 0.41
Correlation vs DJ/CS MF 0.10

Risk/Reward Statistics

Sharpe Ratio 0.74
Sortino Ratio 1.08
Omega Ratio 1.29
Skewness 0.29
Kurtosis 1.37

Performance (VAMI)

Fund Manager

Prior to starting CXX, Chris worked for over a decade as a global macro portfolio manager and chief investment officer at a multi-billion dollar single family office in NYC. Chris was previously a portfolio strategist at Bridgewater Associates, statistical arbitrage trader at Sempra Commodities, and Equity Derivatives Strategist at Lehman Brothers. He graduated from the University of Chicago with honors in 2003, with degrees in Economics and Computer Science.

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -28.16% 15 0 01/2022 -
2 -22.31% 3 4 02/2020 08/2020
3 -21.43% 4 15 02/2018 08/2019
4 -15.45% 2 2 09/2020 12/2020
5 -11.81% 2 4 02/2016 07/2016

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 22.54%-17.16%1.46%1.14%0.10%61.96%
3 Months 34.21%-26.12%3.99%2.97%-5.80%62.22%
6 Months 36.79%-26.35%7.68%9.11%-10.48%68.97%
1 Year 63.39%-21.46%16.20%15.46%-3.35%80.25%
2 Years 84.23%-4.66%34.60%31.34%5.48%98.55%
3 Years 115.42%17.80%49.88%47.78%46.22%100.00%
5 Years 172.25%36.23%98.51%100.10%39.42%100.00%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg15.76%49.09%118.52%421.47%3021.99%11104.91%
% Positive61.96%62.22%68.97%80.25%98.55%100.00%
Avg. Pos. Period5.17%10.37%15.35%22.21%35.18%49.88%
Avg. Neg. Period-4.73%-6.52%-9.35%-8.19%-4.66% -
Sharpe Ratio0.741.231.883.056.107.46
Sortino Ratio1.082.083.7711.78205.270.00
Standard Deviation6.82%11.20%14.17%18.38%19.65%23.17%
Downside Deviation3.92%5.65%6.19%4.34%0.56%0.00%

Up Capture vs. S&P 500 TR

Down Capture vs. S&P 500 TR

Drawdown

Volatility (12 Months Rolling)

Instruments

AUM

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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.