Leibniz Group : Systematic Intelligence Vol 10

Year-to-Date
14.34%
Jun Performance
-1.25%
Min Investment
$ 3,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.08%
Sharpe (RFR=1%)
0.68
CAROR
7.64%
Assets
$ 30.0M
Worst DD
-12.65
S&P Correlation
-0.07

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
8/2011
Systematic Intelligence Vol 10 -1.25 -4.59 14.34 11.11 16.31 29.29 - 92.73
S&P 500 1.84 19.95 -4.04 5.39 26.82 48.74 - 151.73
+/- S&P 500 -3.09 -24.54 18.38 5.72 -10.51 -19.45 - -59.01

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 Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 5.00
Management Fee 1.00%
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 3000 RT/YR/$M
Avg. Margin-to-Equity 13%
Targeted Worst DD -10.00%
Worst Peak-to-Trough -12.65%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 34.00%
1-3 Months 33.00%
1-30 Days 33.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
33.00%
Momentum
33.00%
Pattern Recognition
34.00%
Strategy Pie Chart

Composition

VIX
20.00%
Interest Rates
18.00%
Currency Futures
16.00%
Stock Indices
16.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Energy
5.00%
Grains
5.00%
Livestock
5.00%
Softs
5.00%
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

The Systematic Intelligence Program (SI) is a fully systematic and globally diversified investment strategy. The strategy deploys assets globally by investing in 80 different equity, currency, commodity, interest rate and volatility markets via highly liquid instruments to maximize diversification and limit volatility. Average holding periods range from 3-40 days per sub-strategy. Risk Exposures are adjusted daily and are reduced within 1-2 days in trend reversals. SI consists of 3 Sub-Strategies which are dynamically weighted, allowing complete de-allocation from an asset class and avoiding over fitting and a pre-established bias.

   

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
-12.65 9 17 1/1/2018 10/1/2018
-12.19 2 5 4/1/2013 6/1/2013
-4.85 3 1 2/1/2016 5/1/2016
-4.81 3 4 7/1/2016 10/1/2016
-4.59 3 - 3/1/2020 6/1/2020
-3.19 1 5 9/1/2012 10/1/2012
-3.13 1 4 6/1/2014 7/1/2014
-3.02 2 3 8/1/2011 10/1/2011
-2.73 1 1 11/1/2015 12/1/2015
-1.90 3 2 2/1/2012 5/1/2012
-1.74 1 2 11/1/2013 12/1/2013
-1.17 1 2 7/1/2017 8/1/2017
-1.17 2 1 4/1/2017 6/1/2017
-0.34 1 1 10/1/2017 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
22.88 5 11/1/2019 3/1/2020
21.66 6 1/1/2014 6/1/2014
9.47 4 11/1/2011 2/1/2012
7.83 2 6/1/2016 7/1/2016
7.40 3 9/1/2013 11/1/2013
7.31 2 11/1/2014 12/1/2014
7.22 4 6/1/2012 9/1/2012
6.97 1 7/1/2013 7/1/2013
6.81 3 2/1/2017 4/1/2017
6.74 2 11/1/2018 12/1/2018
6.07 3 2/1/2019 4/1/2019
5.85 2 1/1/2016 2/1/2016
5.48 2 9/1/2017 10/1/2017
5.37 2 3/1/2013 4/1/2013
4.96 2 11/1/2016 12/1/2016
2.79 2 12/1/2017 1/1/2018
2.78 2 8/1/2014 9/1/2014
2.50 1 11/1/2012 11/1/2012
1.77 2 4/1/2018 5/1/2018
1.62 1 7/1/2017 7/1/2017
1.41 1 6/1/2019 6/1/2019
0.94 1 8/1/2011 8/1/2011
0.93 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.19 2 5/1/2013 6/1/2013
-7.43 2 2/1/2018 3/1/2018
-7.29 5 6/1/2018 10/1/2018
-5.23 4 7/1/2019 10/1/2019
-4.85 3 3/1/2016 5/1/2016
-4.81 3 8/1/2016 10/1/2016
-4.59 3 4/1/2020 6/1/2020
-3.19 1 10/1/2012 10/1/2012
-3.13 1 7/1/2014 7/1/2014
-3.12 1 1/1/2019 1/1/2019
-3.02 2 9/1/2011 10/1/2011
-2.73 12 1/1/2015 12/1/2015
-1.90 3 3/1/2012 5/1/2012
-1.74 1 12/1/2013 12/1/2013
-1.23 1 12/1/2012 12/1/2012
-1.17 1 8/1/2017 8/1/2017
-1.17 2 5/1/2017 6/1/2017
-0.85 1 2/1/2013 2/1/2013
-0.72 1 5/1/2019 5/1/2019
-0.40 1 10/1/2014 10/1/2014
-0.34 1 11/1/2017 11/1/2017
-0.28 1 8/1/2013 8/1/2013
-0.23 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods107.00105.00102.0096.0090.0084.0072.0060.0048.00
Percent Profitable50.4760.9566.6783.3386.6795.24100.00100.00100.00
Average Period Return0.662.024.027.5311.2015.2225.0633.2442.70
Average Gain2.644.787.109.7213.2916.2025.0633.2442.70
Average Loss-1.73-2.91-2.61-3.45-2.37-4.37
Best Period15.1319.8421.6636.9545.7345.7350.8862.0064.44
Worst Period-7.03-9.56-7.41-10.52-6.32-6.355.378.5313.04
Standard Deviation2.914.746.018.8010.8211.2612.7615.4514.60
Gain Standard Deviation2.473.734.857.8710.0910.6112.7615.4514.60
Loss Standard Deviation1.682.302.003.171.701.46
Sharpe Ratio (1%)0.200.370.580.740.901.171.731.892.58
Average Gain / Average Loss1.531.642.722.825.613.71
Profit / Loss Ratio1.973.286.6214.0936.4874.10
Downside Deviation (10%)1.702.642.963.964.414.433.284.624.05
Downside Deviation (5%)1.542.151.932.211.551.44
Downside Deviation (0%)1.502.041.711.891.050.99
Sortino Ratio (10%)0.150.300.520.640.821.122.842.533.72
Sortino Ratio (5%)0.370.831.822.956.279.17
Sortino Ratio (0%)0.440.992.353.9910.6815.33

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.