Leibniz Group : GRAB+

Year-to-Date
22.08%
Aug Performance
9.77%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
15.37%
Sharpe (RFR=1%)
1.51
CAROR
25.74%
Assets
$ 10.0M
Worst DD
-8.52
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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
4/2016
GRAB+ 9.77 0.91 22.08 29.75 134.37 - - 175.00
S&P 500 7.01 14.98 8.34 19.61 40.39 - - 67.76
+/- S&P 500 2.76 -14.07 13.74 10.14 93.98 - - 107.24

Strategy Description

Summary

Leibniz 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

Leibniz 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 Strategy

GRAB 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+.

   

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
-8.52 2 2 4/1/2020 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
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Consecutive Gains

Run-up Length (Mos.) Start End
28.54 3 12/1/2017 2/1/2018
25.12 5 12/1/2019 4/1/2020
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
10.09 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
4.12 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
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.52 2 5/1/2020 6/1/2020
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable64.1576.4789.5897.62100.00100.00100.00
Average Period Return2.025.5911.8225.1640.9158.2097.57
Average Gain4.448.1313.3725.8140.9158.2097.57
Average Loss-2.32-2.67-1.52-1.51
Best Period12.5528.5436.0551.4069.8083.26134.37
Worst Period-8.34-8.26-3.76-1.519.0139.0067.89
Standard Deviation4.447.6310.7813.6614.0313.4720.22
Gain Standard Deviation3.396.8310.3113.1514.0313.4720.22
Loss Standard Deviation2.202.451.51
Sharpe Ratio (1%)0.440.701.051.772.814.174.68
Average Gain / Average Loss1.923.048.8117.13
Profit / Loss Ratio3.439.8875.79702.14
Downside Deviation (10%)2.072.211.431.12
Downside Deviation (5%)1.921.820.780.39
Downside Deviation (0%)1.891.720.660.23
Sortino Ratio (10%)0.781.976.5518.08
Sortino Ratio (5%)1.012.9414.4662.45
Sortino Ratio (0%)1.073.2418.03108.19

Top Performer Badges

Index Award Type Rank Performance Period
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.