Leibniz Group : Systematic Intelligence Vol 30

Year-to-Date: 66.51%
Nov Performance: 25.64%

Min Investment: $ 1,500k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 32.41%
Sharpe (RFR=1%): 0.79
CAROR: 24.37%

Assets: $ 32.0M
Worst DD: -34.23
S&P Correlation: -0.04

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Growth of 1,000 - VAMI

Monthly Performance

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	Nov	Qtr	2020	1yr	3yr	5yr	10yr	Since 8/2011
Systematic Intelligence Vol 30	25.64	25.50	66.51	66.51	52.94	182.27	-	665.63
S&P 500	10.75	3.47	12.10	15.30	40.10	72.31	-	204.98
+/- S&P 500	14.89	22.04	54.41	51.21	12.84	109.96	-	460.65

Strategy Description

Summary

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%

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.

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Index: Chart Type:

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:

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
-24.04	7	-	3/1/2020	10/1/2020
-13.40	3	1	2/1/2016	5/1/2016
-13.32	3	2	7/1/2016	10/1/2016
-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

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
25.64	1	11/1/2020	11/1/2020
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
2.22	1	7/1/2020	7/1/2020

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
-14.85	3	8/1/2020	10/1/2020
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	112.00	110.00	107.00	101.00	95.00	89.00	77.00	65.00	53.00
Percent Profitable	50.00	59.09	66.36	84.16	87.37	95.51	100.00	100.00	100.00
Average Period Return	2.23	6.27	13.12	27.07	40.46	55.25	93.45	137.70	186.17
Average Gain	8.48	15.38	23.39	33.99	46.96	58.28	93.45	137.70	186.17
Average Loss	-5.00	-8.61	-8.57	-9.67	-4.46	-9.05
Best Period	55.02	74.47	77.38	146.05	191.81	191.81	223.08	312.24	339.80
Worst Period	-21.09	-28.33	-23.96	-26.96	-15.34	-14.58	22.39	35.27	55.87
Standard Deviation	9.36	15.36	20.52	30.88	39.84	40.13	48.83	68.96	69.70
Gain Standard Deviation	8.62	12.84	17.21	28.59	38.46	38.47	48.83	68.96	69.70
Loss Standard Deviation	4.85	6.42	6.56	8.32	4.58	4.06
Sharpe Ratio (1%)	0.23	0.39	0.62	0.84	0.98	1.33	1.85	1.94	2.60
Average Gain / Average Loss	1.70	1.79	2.73	3.51	10.54	6.44
Profit / Loss Ratio	2.11	3.22	6.46	18.67	72.87	136.81
Downside Deviation (10%)	4.58	6.70	6.80	6.69	4.71	4.22
Downside Deviation (5%)	4.43	6.23	5.89	5.32	2.63	2.46
Downside Deviation (0%)	4.39	6.12	5.68	5.01	2.22	2.06
Sortino Ratio (10%)	0.40	0.75	1.56	3.30	6.98	10.66
Sortino Ratio (5%)	0.48	0.97	2.14	4.90	14.79	21.64
Sortino Ratio (0%)	0.51	1.02	2.31	5.40	18.21	26.84

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.

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Program Name	CAROR
Systematic Intelligence Vol 30	24.37%
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IASG Activity

Blends 9
Portfolios 4
Watchlists 10

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Leibniz Group : Systematic Intelligence Vol 30

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Leibniz Group : Systematic Intelligence Vol 30

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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