Leibniz Group : Systematic Intelligence Vol 20

Year-to-Date
27.25%
Aug Performance
-4.59%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
20.56%
Sharpe (RFR=1%)
0.77
CAROR
15.83%
Assets
$ 30.0M
Worst DD
-23.19
S&P Correlation
-0.10

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
8/2011
Systematic Intelligence Vol 20 -4.59 -5.55 27.25 23.27 33.59 69.02 - 279.79
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 - 184.21
+/- S&P 500 -11.60 -20.53 18.91 3.66 -6.81 -6.66 - 95.58

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 $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 6000 RT/YR/$M
Avg. Margin-to-Equity 26%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 20.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 33.00%
1-3 Months 33.00%
1-30 Days 34.00%
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
-23.19 2 5 4/1/2013 6/1/2013
-23.14 9 17 1/1/2018 10/1/2018
-11.68 5 - 3/1/2020 8/1/2020
-9.23 3 1 2/1/2016 5/1/2016
-9.16 3 2 7/1/2016 10/1/2016
-6.29 1 5 9/1/2012 10/1/2012
-6.15 1 4 6/1/2014 7/1/2014
-6.02 2 3 8/1/2011 10/1/2011
-5.31 1 1 11/1/2015 12/1/2015
-3.46 3 2 2/1/2012 5/1/2012
-3.36 1 2 11/1/2013 12/1/2013
-2.25 1 2 7/1/2017 8/1/2017
-2.20 2 1 4/1/2017 6/1/2017
-0.61 1 1 10/1/2017 11/1/2017
-0.38 1 1 12/1/2016 1/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
51.69 5 11/1/2019 3/1/2020
47.51 6 1/1/2014 6/1/2014
19.82 4 11/1/2011 2/1/2012
16.36 2 6/1/2016 7/1/2016
16.14 2 11/1/2014 12/1/2014
15.67 3 9/1/2013 11/1/2013
14.78 4 6/1/2012 9/1/2012
14.37 3 2/1/2017 4/1/2017
14.25 1 7/1/2013 7/1/2013
14.12 2 11/1/2018 12/1/2018
12.79 3 2/1/2019 4/1/2019
12.20 2 1/1/2016 2/1/2016
11.49 2 9/1/2017 10/1/2017
10.99 2 3/1/2013 4/1/2013
10.26 2 11/1/2016 12/1/2016
5.82 2 12/1/2017 1/1/2018
5.78 2 8/1/2014 9/1/2014
5.07 1 11/1/2012 11/1/2012
3.75 2 4/1/2018 5/1/2018
3.35 1 7/1/2017 7/1/2017
2.91 1 6/1/2019 6/1/2019
2.00 1 1/1/2013 1/1/2013
1.88 1 8/1/2011 8/1/2011
1.44 1 7/1/2020 7/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.19 2 5/1/2013 6/1/2013
-14.17 2 2/1/2018 3/1/2018
-13.68 5 6/1/2018 10/1/2018
-9.88 4 7/1/2019 10/1/2019
-9.23 3 3/1/2016 5/1/2016
-9.16 3 8/1/2016 10/1/2016
-8.75 3 4/1/2020 6/1/2020
-6.29 1 10/1/2012 10/1/2012
-6.15 1 7/1/2014 7/1/2014
-6.06 1 1/1/2019 1/1/2019
-6.02 2 9/1/2011 10/1/2011
-5.31 12 1/1/2015 12/1/2015
-4.59 1 8/1/2020 8/1/2020
-3.46 3 3/1/2012 5/1/2012
-3.36 1 12/1/2013 12/1/2013
-2.39 1 12/1/2012 12/1/2012
-2.25 1 8/1/2017 8/1/2017
-2.20 2 5/1/2017 6/1/2017
-1.56 1 2/1/2013 2/1/2013
-1.34 1 5/1/2019 5/1/2019
-0.68 1 10/1/2014 10/1/2014
-0.61 1 11/1/2017 11/1/2017
-0.41 1 8/1/2013 8/1/2013
-0.38 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 Periods109.00107.00104.0098.0092.0086.0074.0062.0050.00
Percent Profitable50.4659.8167.3184.6988.0495.35100.00100.00100.00
Average Period Return1.404.319.1217.2826.2835.6360.2083.51110.68
Average Gain5.4010.1315.4721.5930.3437.7060.2083.51110.68
Average Loss-3.36-5.51-4.81-6.58-3.61-6.77
Best Period33.2644.0947.5187.62114.85114.85129.51169.07179.96
Worst Period-14.01-18.55-14.39-19.16-10.96-10.5614.0322.2432.82
Standard Deviation5.939.8412.7719.4325.0126.1331.5740.5140.51
Gain Standard Deviation5.238.0010.5117.8323.8824.9631.5740.5140.51
Loss Standard Deviation3.274.343.885.883.232.78
Sharpe Ratio (1%)0.220.410.680.840.991.291.811.962.61
Average Gain / Average Loss1.611.843.223.288.405.57
Profit / Loss Ratio2.053.468.0418.1661.82114.21
Downside Deviation (10%)3.124.524.315.124.293.920.20
Downside Deviation (5%)2.974.053.393.712.071.96
Downside Deviation (0%)2.933.933.183.401.641.55
Sortino Ratio (10%)0.320.681.542.404.366.47220.21
Sortino Ratio (5%)0.441.002.544.3912.0017.13
Sortino Ratio (0%)0.481.092.865.0816.0223.01

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.