Leupold Capital Management, LLC : Leupold Global Short Term Systematic (client)

archived programs
Year-to-Date
N / A
Jan Performance
1.14%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.18%
Sharpe (RFR=1%)
0.17
CAROR
-
Assets
$ 2.0M
Worst DD
-1.20
S&P Correlation
-0.97

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
11/2014
Leupold Global Short Term Systematic (client) 1.14 - - - - - - 0.42
S&P 500 -3.10 - - - - - - 61.00
+/- S&P 500 4.24 - - - - - - -60.58

Strategy Description

Summary

The Leupold Global Short Term Systematic strategy is short term in nature with holding times ranging from intraday to three days.  Multiple momentum and mean reversion strategies are applied to a diverse group of 40 global markets in multiple non-correlated market sectors.  Strategies... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 4500 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 15.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 67.00%
Intraday 33.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
22.00%
Momentum
78.00%
Strategy Pie Chart

Composition

Stock Indices
30.00%
Currency Futures
23.00%
Grains
17.00%
Energy
10.00%
Interest Rates
7.00%
Livestock
7.00%
Industrial Metals
3.00%
Precious Metals
3.00%
Composition Pie Chart

Summary

The Leupold Global Short Term Systematic strategy is short term in nature with holding times ranging from intraday to three days.  Multiple momentum and mean reversion strategies are applied to a diverse group of 40 global markets in multiple non-correlated market sectors.  Strategies are designed to benefit from structural and explainable market inefficiencies.

Investment Strategy

The Leupold Global Short Term Systematic Strategy is short term and systematic in nature and aims to take advantage of short term price dislocations in the market. The program is comprised of a number of underlying systems and methodologies. While the average holding period of a position over the entire portfolio is approximately one day, there are underlying systems that may hold intra-day positions and others that may hold positions as long as three days. Entry signals are derived from price action while the exits use a time horizon in addition to price action. All of the underlying systems have a hard stop exit point and most have profit targets at trade initiation. The program is designed to respond to different market conditions, dictating whether the system is in momentum or mean reversion mode. The system uses many common technical indicators such as moving average and relative strength, however, the strength of a trade signal is dictated by LCM’s proprietary indicators. The program primarily trades global markets in the following sectors: Equity Indices, Interest Rates, Energies, Metals, Currencies, and Agricultural

Risk Management

Leupold Capital Management's (LCM) top priority is risk management. The firm monitors risk by individual market, sector, and overall portfolio exposure. LCM has strict position limits and stop loss orders are generated at the same time as an entry signal. The firm also looks at market correlations to dictate risk per market and sector.

   

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
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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
-1.20 1 2 1/1/0001 11/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
1.64 2 12/1/2014 1/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.20 1 11/1/2014 11/1/2014
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Time Windows Analysis

 1 Month
Number of Periods3.00
Percent Profitable66.67
Average Period Return0.14
Average Gain0.82
Average Loss-1.20
Best Period1.14
Worst Period-1.20
Standard Deviation1.21
Gain Standard Deviation0.46
Loss Standard Deviation
Sharpe Ratio (1%)0.05
Average Gain / Average Loss0.68
Profit / Loss Ratio1.36
Downside Deviation (10%)0.93
Downside Deviation (5%)0.74
Downside Deviation (0%)0.69
Sortino Ratio (10%)-0.28
Sortino Ratio (5%)0.08
Sortino Ratio (0%)0.21

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.