Independent View : IV Quantitative Futures Fund

Year-to-Date
2.10%
Jun Performance
4.10%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.87%
Sharpe (RFR=1%)
0.41
CAROR
4.28%
Assets
$ 138.1M
Worst DD
-20.15
S&P Correlation
0.04

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2012
IV Quantitative Futures Fund 4.10 4.06 2.10 1.22 -7.94 5.45 - 32.27
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 92.35
+/- S&P 500 -2.79 0.28 -15.24 -6.99 -46.68 -43.09 - -60.09

Strategy Description

Summary

Independent View is an Investment management company founded in 2012 and based in the Netherlands. The two managing partners have worked together for over 18 years, building a large global trading firm. After a successful career they had the ambition to start their own firm, launching... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1600 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
40.00%
Other
60.00%
Strategy Pie Chart

Composition

Summary

Independent View is an Investment management company founded in 2012 and based in the Netherlands. The two managing partners have worked together for over 18 years, building a large global trading firm. After a successful career they had the ambition to start their own firm, launching a superior quantitative investment fund. The investment objective of the Fund is to generate positive absolute returns in most market scenarios. The Investment Manager will implement the investment objective by allocating to a long/short portfolio of exchange-traded futures on several underlying asset classes.

Investment Strategy

The investment policy set for the Fund is to simultaneously hold long and short positions in a diversified portfolio of exchange-traded futures. The positions in these futures are provided by systematic strategies based on the Investment Manager’s quantitative analysis of historical market data. The Investment Manager does not employ fundamental or global macro interpretation of the markets it invests in, and therefore minimizes discretionary contributions. The overall strategy is made up of three main sub-strategies, which are uncorrelated to each other. Equal risk is allocated to each; Trend, Term Structure and Volatility. The portfolio construction starts from the calculation of price signals that include short-, medium- and long- term trend-following indicators and a number of short- and medium-term volatility indicators. The trend- following indicators are based upon the presence of longer-term trends and are less sensitive to short-term market volatility. In contrast, the volatility indicators are derived from the term structure and the volatility premium of several volatility derivatives and those indicators are created to adapt more quickly to fast market changes. These three groups of indicators are complementary to one another and cover different market time frames and regimes.

Risk Management

• Strategy has fully systematic, integrated risk control and human oversight. • Diversified portfolio of >75 markets across all major asset classes. • Overall fund volatility target of 9-12% annualized. • Portfolio construction takes into account historical and implied volatilities correlations and stress scenarios. • Maximum risk limits on individual instruments and risk range limits per asset class. • Daily volatility is closely monitored and portfolio is rebalanced daily to stay close to targeted volatility. • Intervention policy in extreme scenarios following a predefined action plan (always to decrease risk, never to increase it).

   

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:
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Average Gain:
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Worst Loss:
Loss Frequency:
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-20.15 27 - 3/1/2015 6/1/2017
-3.57 3 2 5/1/2013 8/1/2013
-3.53 1 1 4/1/2014 5/1/2014
-0.82 1 1 2/1/2014 3/1/2014
-0.25 1 1 9/1/2014 10/1/2014
-0.05 1 1 12/1/2012 1/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
15.84 5 11/1/2014 3/1/2015
15.42 6 9/1/2013 2/1/2014
9.55 4 2/1/2013 5/1/2013
9.24 4 6/1/2014 9/1/2014
8.78 2 7/1/2015 8/1/2015
6.83 4 1/1/2018 4/1/2018
4.19 2 11/1/2015 12/1/2015
4.10 1 6/1/2019 6/1/2019
4.04 1 4/1/2019 4/1/2019
4.02 2 7/1/2018 8/1/2018
3.44 1 1/1/2017 1/1/2017
2.90 2 7/1/2017 8/1/2017
2.87 1 7/1/2016 7/1/2016
2.80 2 10/1/2017 11/1/2017
2.66 1 2/1/2016 2/1/2016
2.16 1 10/1/2018 10/1/2018
1.76 1 4/1/2014 4/1/2014
1.43 2 11/1/2012 12/1/2012
0.58 1 5/1/2016 5/1/2016
0.46 1 11/1/2016 11/1/2016
0.23 1 1/1/2019 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.99 5 2/1/2017 6/1/2017
-8.63 3 4/1/2015 6/1/2015
-6.35 3 8/1/2016 10/1/2016
-6.13 2 11/1/2018 12/1/2018
-5.29 2 9/1/2015 10/1/2015
-4.14 2 3/1/2016 4/1/2016
-3.92 1 5/1/2019 5/1/2019
-3.57 3 6/1/2013 8/1/2013
-3.53 1 5/1/2014 5/1/2014
-3.19 2 5/1/2018 6/1/2018
-3.06 1 12/1/2016 12/1/2016
-2.11 2 2/1/2019 3/1/2019
-1.46 1 6/1/2016 6/1/2016
-1.14 1 1/1/2016 1/1/2016
-0.98 1 12/1/2017 12/1/2017
-0.82 1 3/1/2014 3/1/2014
-0.61 1 9/1/2018 9/1/2018
-0.56 1 9/1/2017 9/1/2017
-0.25 1 10/1/2014 10/1/2014
-0.05 1 1/1/2013 1/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable56.2556.4165.3362.3258.7350.8844.4475.76
Average Period Return0.381.112.144.536.517.677.849.51
Average Gain2.244.395.9511.6217.0624.2328.6715.77
Average Loss-2.00-3.15-5.04-7.20-8.50-9.48-8.83-10.04
Best Period5.7311.1315.6423.9241.2545.2246.9038.42
Worst Period-4.70-9.87-12.32-17.29-18.59-17.34-15.93-16.34
Standard Deviation2.564.556.7511.1115.5719.8021.3015.28
Gain Standard Deviation1.482.544.787.1610.9613.6314.4711.75
Loss Standard Deviation1.422.622.954.475.444.553.894.23
Sharpe Ratio (1%)0.120.190.240.320.320.290.230.36
Average Gain / Average Loss1.121.391.181.612.012.563.251.57
Profit / Loss Ratio1.441.802.222.672.862.652.604.91
Downside Deviation (10%)1.843.364.798.0511.0514.3618.7218.36
Downside Deviation (5%)1.662.823.685.717.288.659.297.21
Downside Deviation (0%)1.612.693.425.176.447.357.175.31
Sortino Ratio (10%)-0.01-0.04-0.07-0.06-0.10-0.18-0.42-0.66
Sortino Ratio (5%)0.180.300.440.620.690.650.520.76
Sortino Ratio (0%)0.240.410.620.881.011.041.091.79

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 10 0.85 7/2018
Trend Following Strategy Index Month 1 3.46 1/2017
Diversified Trader Index Month 7 3.46 1/2017
Systematic Trader Index Month 9 3.46 1/2017

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