Bifrost Quest Capital LLC : IndexQuest (Proprietary)

archived programsClosed to new investments
Year-to-Date
N / A
Jul Performance
2.45%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.39%
Sharpe (RFR=1%)
0.59
CAROR
10.28%
Assets
$ 100k
Worst DD
-23.45
S&P Correlation
-0.25

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
2/2006
IndexQuest (Proprietary) 2.45 - - - - - 3.27 153.32
S&P 500 1.97 - - - - - 70.44 179.87
+/- S&P 500 0.48 - - - - - -67.17 -26.55

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 $0
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 27.10%
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
-23.45 4 4 2/1/2008 6/1/2008
-18.64 12 - 8/1/2012 8/1/2013
-18.53 12 8 3/1/2009 3/1/2010
-8.16 10 3 5/1/2011 3/1/2012
-7.17 1 8 6/1/2006 7/1/2006
-6.78 1 2 10/1/2008 11/1/2008
-6.62 1 5 11/1/2010 12/1/2010
-3.35 3 1 3/1/2007 6/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
65.74 4 12/1/2008 3/1/2009
35.71 4 7/1/2008 10/1/2008
34.46 8 7/1/2007 2/1/2008
21.24 5 4/1/2010 8/1/2010
15.72 5 4/1/2012 8/1/2012
13.13 5 2/1/2006 6/1/2006
10.16 4 6/1/2014 9/1/2014
9.78 2 4/1/2015 5/1/2015
8.08 2 10/1/2010 11/1/2010
7.83 5 11/1/2006 3/1/2007
6.61 2 9/1/2013 10/1/2013
6.50 1 1/1/2011 1/1/2011
6.16 1 5/1/2009 5/1/2009
5.73 1 3/1/2014 3/1/2014
5.13 1 3/1/2011 3/1/2011
4.85 1 8/1/2006 8/1/2006
3.54 2 9/1/2009 10/1/2009
3.32 1 5/1/2011 5/1/2011
2.67 1 11/1/2014 11/1/2014
2.45 1 7/1/2015 7/1/2015
2.33 2 5/1/2013 6/1/2013
1.98 2 1/1/2012 2/1/2012
1.48 3 12/1/2012 2/1/2013
1.28 1 2/1/2015 2/1/2015
0.50 1 2/1/2010 2/1/2010
0.47 1 9/1/2011 9/1/2011
0.22 1 5/1/2007 5/1/2007
0.18 1 1/1/2014 1/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.45 4 3/1/2008 6/1/2008
-10.63 3 9/1/2012 11/1/2012
-10.44 3 6/1/2009 8/1/2009
-10.20 3 11/1/2009 1/1/2010
-7.20 1 4/1/2009 4/1/2009
-7.17 1 7/1/2006 7/1/2006
-7.01 2 3/1/2013 4/1/2013
-6.78 1 11/1/2008 11/1/2008
-6.62 1 12/1/2010 12/1/2010
-5.74 2 7/1/2013 8/1/2013
-5.68 3 10/1/2011 12/1/2011
-5.59 1 2/1/2011 2/1/2011
-4.56 1 9/1/2010 9/1/2010
-3.99 1 6/1/2015 6/1/2015
-3.45 2 11/1/2013 12/1/2013
-2.96 1 2/1/2014 2/1/2014
-2.90 2 12/1/2014 1/1/2015
-2.78 2 9/1/2006 10/1/2006
-2.77 3 6/1/2011 8/1/2011
-2.69 1 6/1/2007 6/1/2007
-2.66 1 10/1/2014 10/1/2014
-2.41 1 3/1/2015 3/1/2015
-2.26 1 3/1/2012 3/1/2012
-1.69 2 4/1/2014 5/1/2014
-1.32 1 4/1/2011 4/1/2011
-1.19 1 3/1/2010 3/1/2010
-0.90 1 4/1/2007 4/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods114.00112.00109.00103.0097.0091.0079.0067.0055.00
Percent Profitable59.6558.9361.4775.7373.2073.6377.2288.0692.73
Average Period Return0.942.835.6111.7017.4624.0940.8651.1465.71
Average Gain3.768.2513.3317.9325.7934.7554.5358.4271.14
Average Loss-3.23-4.94-6.72-7.73-5.27-5.66-5.47-2.54-3.52
Best Period28.1756.3967.02100.5091.46108.59121.12129.13143.96
Worst Period-8.19-19.67-19.66-18.64-18.59-11.37-10.34-4.68-6.40
Standard Deviation5.0210.3516.0822.5524.2532.6243.7547.7246.98
Gain Standard Deviation4.359.9515.9622.4423.1531.7540.6346.2644.38
Loss Standard Deviation2.334.054.305.154.763.923.321.563.22
Sharpe Ratio (1%)0.170.250.320.470.660.680.860.991.29
Average Gain / Average Loss1.161.671.982.324.896.139.9722.9720.20
Profit / Loss Ratio1.722.393.177.2313.3517.1233.79169.39257.49
Downside Deviation (10%)2.744.726.306.907.288.8211.2512.7611.58
Downside Deviation (5%)2.564.205.204.974.264.414.342.542.53
Downside Deviation (0%)2.524.084.934.553.653.513.031.011.21
Sortino Ratio (10%)0.190.340.500.971.361.572.232.323.29
Sortino Ratio (5%)0.330.610.982.153.745.008.7118.5223.91
Sortino Ratio (0%)0.370.691.142.574.796.8513.4850.5154.22

Top Performer Badges

Index Award Type Rank Performance Period

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