Leibniz Group : GRAB+ Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 4.96% Jan Performance -4.96% Min Investment $ 100k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 17.18% Sharpe (RFR=1%) 1.01 CAROR 18.23% Assets $ 5.0M Worst DD -18.00 S&P Correlation -0.14 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since4/2016 GRAB+ -4.96 -4.96 -4.96 -14.46 46.75 124.63 - 124.63 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 - 96.59 +/- S&P 500 -3.85 -18.55 -3.85 -29.62 15.23 35.15 - 28.05 Strategy Description SummaryLeibniz Group is an independent Asset Management company based in Lucerne/Switzerland. The company was incorporated in 2012 by some very experienced investment specialists with primary activities in Alternative Asset Management. As of today, award winning systematic investment strategies... Read More Account & Fees Type Fund Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 5.00 Management Fee 1.00% Performance Fee 20.00% Average Commission 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 3000 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD -10.00% Worst Peak-to-Trough -4.07% Sector Focus Diversified 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 0% Systematic 100.00% Strategy Pattern Recognition 100.00% Composition Currency Futures 20.00% Softs 20.00% Stock Indices 17.00% Energy 10.00% Grains 10.00% Livestock 10.00% Industrial Metals 5.00% Precious Metals 5.00% Interest Rates 3.00% SummaryLeibniz Group is an independent Asset Management company based in Lucerne/Switzerland. The company was incorporated in 2012 by some very experienced investment specialists with primary activities in Alternative Asset Management. As of today, award winning systematic investment strategies are the core competencies of Leibniz Group. Regulation: Registered with the US Commodity Futures Trading Commission ("CFTC") as a commodity trading advisor and a member of the National Futures Association ("NFA"). Regulated member of the Financial Services Standards Association (VQF), the largest Swiss Self- Regulatory Organization (SRO) recognized by the Swiss Financial Market Supervisory Authority (FINMA).Investment StrategyGRAB utilises a swing and trend focused trading methodology with a focus on elliptical cycles in financial markets. The algorithm detects tradeable patterns across 30 markets and trades them in the most suitable sub-strategy based on daily observations. The strategy makes use of entry and exit algorithms to detect regimes and employs an active drawdown limiting system. The GRAB strategy was developed in 2013 and ongoing research has lead to further improvement implementations as recent as March 2019, leading to GRAB+. 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 -18.00 5 - 8/1/2020 1/1/2021 -8.71 1 2 5/1/2020 6/1/2020 -6.49 2 2 10/1/2016 12/1/2016 -6.09 2 4 6/1/2017 8/1/2017 -5.51 1 5 10/1/2018 11/1/2018 -5.27 3 1 6/1/2018 9/1/2018 -3.55 1 1 8/1/2016 9/1/2016 -2.63 1 1 2/1/2017 3/1/2017 -2.44 1 1 10/1/2019 11/1/2019 -2.14 1 1 2/1/2018 3/1/2018 -0.53 1 1 5/1/2019 6/1/2019 -0.08 1 1 6/1/2016 7/1/2016 Show More Consecutive Gains Run-up Length (Mos.) Start End 28.54 3 12/1/2017 2/1/2018 25.48 6 12/1/2019 5/1/2020 19.68 3 3/1/2019 5/1/2019 15.93 3 4/1/2016 6/1/2016 12.86 3 4/1/2018 6/1/2018 9.57 2 7/1/2020 8/1/2020 8.84 4 7/1/2019 10/1/2019 7.68 2 1/1/2017 2/1/2017 6.80 3 4/1/2017 6/1/2017 6.42 1 10/1/2018 10/1/2018 4.99 2 12/1/2018 1/1/2019 4.52 1 10/1/2020 10/1/2020 4.12 1 9/1/2017 9/1/2017 3.84 1 10/1/2016 10/1/2016 2.84 1 8/1/2016 8/1/2016 Show More Consecutive Losses Run-up Length (Mos.) Start End -15.76 1 9/1/2020 9/1/2020 -8.71 1 6/1/2020 6/1/2020 -6.87 3 11/1/2020 1/1/2021 -6.49 2 11/1/2016 12/1/2016 -6.09 2 7/1/2017 8/1/2017 -5.51 1 11/1/2018 11/1/2018 -5.27 3 7/1/2018 9/1/2018 -3.55 1 9/1/2016 9/1/2016 -2.63 1 3/1/2017 3/1/2017 -2.44 1 11/1/2019 11/1/2019 -2.14 1 3/1/2018 3/1/2018 -0.53 1 6/1/2019 6/1/2019 -0.39 2 10/1/2017 11/1/2017 -0.08 1 2/1/2019 2/1/2019 -0.08 1 7/1/2016 7/1/2016 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods58.0056.0053.0047.0041.0035.0023.00 Percent Profitable62.0771.4381.1395.74100.00100.00100.00 Average Period Return1.534.589.7323.0338.4355.4394.56 Average Gain4.327.9813.3724.1638.4355.4394.56 Average Loss-3.04-3.90-5.92-2.42 Best Period12.5528.5436.0551.4069.8083.26133.47 Worst Period-15.76-12.10-12.13-3.336.6330.0159.39 Standard Deviation4.968.0912.2014.4115.2014.3819.98 Gain Standard Deviation3.366.8210.3313.6515.2014.3819.98 Loss Standard Deviation3.573.425.111.29 Sharpe Ratio (1%)0.290.540.761.532.433.724.58 Average Gain / Average Loss1.422.052.269.99 Profit / Loss Ratio2.325.129.72224.67 Downside Deviation (10%)3.023.274.231.610.15 Downside Deviation (5%)2.892.843.490.73 Downside Deviation (0%)2.852.733.320.53 Sortino Ratio (10%)0.371.031.7211.21204.20 Sortino Ratio (5%)0.501.532.6430.17 Sortino Ratio (0%)0.541.682.9343.17 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index 3 Year 7 74.80 2017 - 2020 IASG CTA Index Month 8 4.52 10/2020 Systematic Trader Index Month 6 4.52 10/2020 Diversified Trader Index Month 6 4.52 10/2020 Systematic Trader Index Month 4 9.77 8/2020 Diversified Trader Index Month 4 9.77 8/2020 IASG CTA Index Month 5 9.77 8/2020 IASG CTA Index Month 9 10.42 2/2020 Diversified Trader Index Month 9 10.42 2/2020 Systematic Trader Index Month 10 10.42 2/2020 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