Bifrost Quest Capital LLC : IndexQuest (Client) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance 1.91% Min Investment $ 500k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 12.00% Sharpe (RFR=1%) -0.04 CAROR -0.20% Assets $ 100k Worst DD -21.99 S&P Correlation 0.03 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Jul Qtr YTD 1yr 3yr 5yr 10yr Since11/2011 IndexQuest (Client) 1.91 - - - - - - -0.75 S&P 500 1.97 - - - - - - 166.94 +/- S&P 500 -0.06 - - - - - - -167.69 Strategy Description SummaryIndexQuest (IQ) is a managed account program offered by Bifrost Quest Capital LLC, a Commodities Trading Advisor (CTA). IQ uses a quantitative model to forecast short-term movements in the S&P 500, the Russell 2000, and Ten Year Treasuries and tactically trades long, short, and spread... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 250k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $4.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 2700 RT/YR/$M Avg. Margin-to-Equity 12% Targeted Worst DD -15.00% Worst Peak-to-Trough 14.30% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 100.00% Intraday 0% Decision-Making Discretionary 1.00% Systematic 99.00% Strategy Counter-trend 20.00% Fundamental 20.00% Pattern Recognition 20.00% Technical 20.00% Other 20.00% Composition Stock Indices 90.00% Interest Rates 10.00% SummaryIndexQuest (IQ) is a managed account program offered by Bifrost Quest Capital LLC, a Commodities Trading Advisor (CTA). IQ uses a quantitative model to forecast short-term movements in the S&P 500, the Russell 2000, and Ten Year Treasuries and tactically trades long, short, and spread positions using equity and Treasury index futures. IQ’s objective is to produce limited volatility absolute returns with no correlation to traditional asset classes. The core model was developed over 8 years ago. IQ has been managed with proprietary capital since 2006. Investment StrategyData inputs include interest rate, option, price, and other proprietary data which are used in multiple decision trees. Each decision tree has a different index forecast objective. Real time efficacy of each decision tree is calculated and the process switches to the tree that has the best recent performance. The trading signal output is generated from the best performing tree. Risk ManagementOverall Risk Management for notional dollar amount per trade is contingent on cross-sectional volatility of investable universe – the higher the volatility, the lower the capital deployed and vice versa. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) 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 (Mos.) Recovery (Mos.) Peak Valley -21.99 18 - 8/1/2012 2/1/2014 -2.01 1 1 2/1/2012 3/1/2012 -1.78 2 2 1/1/0001 12/1/2011 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.61 5 4/1/2012 8/1/2012 10.54 5 5/1/2014 9/1/2014 9.87 1 3/1/2014 3/1/2014 8.68 2 4/1/2015 5/1/2015 5.53 2 9/1/2013 10/1/2013 2.88 1 11/1/2014 11/1/2014 2.20 1 5/1/2013 5/1/2013 1.96 2 1/1/2012 2/1/2012 1.91 1 7/1/2015 7/1/2015 1.49 1 2/1/2015 2/1/2015 0.82 2 12/1/2012 1/1/2013 0.19 2 12/1/2013 1/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -9.44 3 9/1/2012 11/1/2012 -7.31 1 2/1/2014 2/1/2014 -6.15 3 2/1/2013 4/1/2013 -6.07 1 4/1/2014 4/1/2014 -5.62 3 6/1/2013 8/1/2013 -4.70 2 12/1/2014 1/1/2015 -4.68 1 6/1/2015 6/1/2015 -3.68 1 3/1/2015 3/1/2015 -3.68 1 11/1/2013 11/1/2013 -2.84 1 10/1/2014 10/1/2014 -2.01 1 3/1/2012 3/1/2012 -1.78 2 11/1/2011 12/1/2011 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods45.0043.0040.0034.0028.0022.00 Percent Profitable55.5644.1942.5050.0032.149.09 Average Period Return0.040.160.02-1.69-4.24-5.79 Average Gain2.414.606.444.742.453.24 Average Loss-3.08-3.36-4.73-8.12-7.41-6.70 Best Period9.8711.8813.2810.947.213.64 Worst Period-7.31-9.44-9.31-17.35-21.99-14.79 Standard Deviation3.464.816.627.416.655.37 Gain Standard Deviation2.413.004.482.702.240.56 Loss Standard Deviation1.872.432.784.265.584.73 Sharpe Ratio (1%)-0.01-0.02-0.07-0.36-0.86-1.45 Average Gain / Average Loss0.781.371.360.580.330.48 Profit / Loss Ratio1.031.081.010.580.160.05 Downside Deviation (10%)2.563.875.859.8113.5116.88 Downside Deviation (5%)2.373.234.477.088.609.39 Downside Deviation (0%)2.323.084.146.447.577.75 Sortino Ratio (10%)-0.14-0.28-0.42-0.68-0.88-0.95 Sortino Ratio (5%)-0.02-0.03-0.11-0.38-0.67-0.83 Sortino Ratio (0%)0.020.050.00-0.26-0.56-0.75 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 9 2.54 9/2014 Stock Index Trader Index Month 1 4.93 7/2014 Stock Index Trader Index Month 1 9.88 3/2014 Systematic Trader Index Month 4 9.88 3/2014 Stock Index Trader Index Month 4 3.97 10/2013 Stock Index Trader Index Month 5 2.20 5/2013 Systematic Trader Index Month 7 6.98 4/2012 Stock Index Trader Index Month 4 6.98 4/2012 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel