Leibniz Group : Systematic Intelligence Vol 30 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 52.27% Jun Performance -3.55% Min Investment $ 1,500k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 31.86% Sharpe (RFR=1%) 0.80 CAROR 24.39% Assets $ 30.0M Worst DD -34.23 S&P Correlation -0.11 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since8/2011 Systematic Intelligence Vol 30 -3.55 -12.73 52.27 41.06 68.43 137.94 - 600.14 S&P 500 1.84 19.95 -4.04 5.39 26.82 48.74 - 151.73 +/- S&P 500 -5.39 -32.68 56.31 35.68 41.61 89.20 - 448.41 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 Managed Account Minimum Investment $ 1,500k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 5.00 Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 9000 RT/YR/$M Avg. Margin-to-Equity 45% Targeted Worst DD -30.00% Worst Peak-to-Trough 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% 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% 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 StrategyThe 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. 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 -34.23 2 8 4/1/2013 6/1/2013 -32.36 9 17 1/1/2018 10/1/2018 -13.40 3 1 2/1/2016 5/1/2016 -13.32 3 2 7/1/2016 10/1/2016 -12.73 3 - 3/1/2020 6/1/2020 -9.57 1 5 9/1/2012 10/1/2012 -9.39 1 4 6/1/2014 7/1/2014 -9.00 2 3 8/1/2011 10/1/2011 -7.82 1 1 11/1/2015 12/1/2015 -5.65 3 2 2/1/2012 5/1/2012 -3.34 1 2 7/1/2017 8/1/2017 -3.22 2 1 4/1/2017 6/1/2017 -0.89 1 1 10/1/2017 11/1/2017 -0.53 1 1 12/1/2016 1/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 88.64 5 11/1/2019 3/1/2020 75.89 6 1/1/2014 6/1/2014 30.21 4 11/1/2011 2/1/2012 25.62 2 6/1/2016 7/1/2016 23.10 3 9/1/2013 11/1/2013 22.52 3 2/1/2017 4/1/2017 22.16 2 11/1/2014 12/1/2014 22.05 4 6/1/2012 9/1/2012 22.02 2 11/1/2018 12/1/2018 20.91 1 7/1/2013 7/1/2013 19.94 3 2/1/2019 4/1/2019 18.94 2 1/1/2016 2/1/2016 17.89 2 9/1/2017 10/1/2017 16.52 2 3/1/2013 4/1/2013 15.85 2 11/1/2016 12/1/2016 8.96 2 12/1/2017 1/1/2018 8.45 2 8/1/2014 9/1/2014 7.50 1 11/1/2012 11/1/2012 5.76 2 4/1/2018 5/1/2018 5.11 1 7/1/2017 7/1/2017 4.44 1 6/1/2019 6/1/2019 2.82 1 8/1/2011 8/1/2011 2.79 1 1/1/2013 1/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -34.23 2 5/1/2013 6/1/2013 -20.42 2 2/1/2018 3/1/2018 -19.63 5 6/1/2018 10/1/2018 -14.31 4 7/1/2019 10/1/2019 -13.40 3 3/1/2016 5/1/2016 -13.32 3 8/1/2016 10/1/2016 -12.73 3 4/1/2020 6/1/2020 -9.57 1 10/1/2012 10/1/2012 -9.39 1 7/1/2014 7/1/2014 -9.00 2 9/1/2011 10/1/2011 -8.92 1 1/1/2019 1/1/2019 -7.82 12 1/1/2015 12/1/2015 -5.65 3 3/1/2012 5/1/2012 -5.22 1 12/1/2013 12/1/2013 -3.69 1 12/1/2012 12/1/2012 -3.34 1 8/1/2017 8/1/2017 -3.22 2 5/1/2017 6/1/2017 -2.55 1 2/1/2013 2/1/2013 -1.96 1 5/1/2019 5/1/2019 -1.20 1 10/1/2014 10/1/2014 -0.89 1 11/1/2017 11/1/2017 -0.84 1 8/1/2013 8/1/2013 -0.53 1 1/1/2017 1/1/2017 Show More 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 Return2.226.8213.4526.0639.8654.5596.62140.27192.13 Average Gain8.2815.3923.3333.2146.6857.7396.62140.27192.13 Average Loss-4.99-8.41-7.64-9.67-4.46-9.05 Best Period55.0274.4777.38146.05191.81191.81223.08312.24339.80 Worst Period-21.09-28.33-23.23-26.96-15.34-14.5823.5935.2755.87 Standard Deviation9.2015.3420.1931.2240.6141.0448.7971.0770.32 Gain Standard Deviation8.4112.9417.3329.1339.3739.4248.7971.0770.32 Loss Standard Deviation4.936.655.698.324.584.06 Sharpe Ratio (1%)0.230.430.640.800.941.281.921.922.66 Average Gain / Average Loss1.661.833.053.4310.476.38 Profit / Loss Ratio2.133.667.4217.1768.07127.54 Downside Deviation (10%)4.566.446.096.874.844.35 Downside Deviation (5%)4.415.995.175.462.712.53 Downside Deviation (0%)4.375.894.965.142.282.12 Sortino Ratio (10%)0.400.871.803.076.6710.19 Sortino Ratio (5%)0.481.102.504.5914.1720.74 Sortino Ratio (0%)0.511.162.715.0717.4625.74 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. x {{title}} x {{title}} Add Cancel