Bifrost Quest Capital LLC : IndexQuest (Client)

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

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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	2019	1yr	3yr	5yr	10yr	Since 11/2011
IndexQuest (Client)	1.91	3.44	-	1.10	-11.09	-	-	-0.75
S&P 500	1.97	0.88	-	8.97	52.53	-	-	68.71
+/- S&P 500	-0.06	2.56	-	-7.86	-63.62	-	-	-69.46

Strategy Description

Summary

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%

Summary

IndexQuest (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 Strategy

Data 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 Management

Overall 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.

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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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Index:

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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	45.00	43.00	40.00	34.00	28.00	22.00
Percent Profitable	55.56	44.19	42.50	50.00	32.14	9.09
Average Period Return	0.04	0.16	0.02	-1.69	-4.24	-5.79
Average Gain	2.41	4.60	6.44	4.74	2.45	3.24
Average Loss	-3.08	-3.36	-4.73	-8.12	-7.41	-6.70
Best Period	9.87	11.88	13.28	10.94	7.21	3.64
Worst Period	-7.31	-9.44	-9.31	-17.35	-21.99	-14.79
Standard Deviation	3.46	4.81	6.62	7.41	6.65	5.37
Gain Standard Deviation	2.41	3.00	4.48	2.70	2.24	0.56
Loss Standard Deviation	1.87	2.43	2.78	4.26	5.58	4.73
Sharpe Ratio (1%)	-0.01	-0.02	-0.07	-0.36	-0.86	-1.45
Average Gain / Average Loss	0.78	1.37	1.36	0.58	0.33	0.48
Profit / Loss Ratio	1.03	1.08	1.01	0.58	0.16	0.05
Downside Deviation (10%)	2.56	3.87	5.85	9.81	13.51	16.88
Downside Deviation (5%)	2.37	3.23	4.47	7.08	8.60	9.39
Downside Deviation (0%)	2.32	3.08	4.14	6.44	7.57	7.75
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%)	0.02	0.05	0.00	-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.

^#9

Top Performer

STOCK INDEX TRADER INDEX

SEPTEMBER
2014

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Bifrost Quest Capital LLC : IndexQuest (Client)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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