Leupold Capital Management, LLC : Leupold Global Short Term Systematic (client) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jan Qtr 2020 1yr 3yr 5yr 10yr Since11/2014 Leupold Global Short Term Systematic (client) 1.14 - - - - - - 0.42 S&P 500 -3.10 - - - - - - 79.82 +/- S&P 500 4.24 - - - - - - -79.40 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyThe 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 AgriculturalRisk ManagementLeupold 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. 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 -1.20 1 2 1/1/0001 11/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 1.64 2 12/1/2014 1/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -1.20 1 11/1/2014 11/1/2014 Show More 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. x {{title}} x {{title}} Add Cancel