Bifrost Quest Capital LLC : IndexQuest (Client)

archived programs
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

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 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

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... 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%
Strategy Pie Chart

Composition

Stock Indices
90.00%
Interest Rates
10.00%
Composition Pie Chart

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.

   

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

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
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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
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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
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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.