Qbasis Invest : Futures Fund B

archived programs
Year-to-Date
N / A
Jan Performance
-15.49%
Min Investment
$ 100k
Mgmt. Fee
2.50%
Perf. Fee
25.00%
Annualized Vol
25.59%
Sharpe (RFR=1%)
-0.61
CAROR
-16.44%
Assets
$ 5.5M
Worst DD
-72.22
S&P Correlation
-0.07

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
3/2009
Futures Fund B -15.49 -19.43 - -49.65 -49.17 -68.40 - -71.12
S&P 500 -5.07 -6.69 - -2.74 29.51 50.84 - 143.14
+/- S&P 500 -10.42 -12.74 - -46.91 -78.69 -119.24 - -214.26

Strategy Description

Summary

Qbasis Futures Fund invests in a comprehensive set of futures markets spanning commodities, interest rates, stock indices and currencies using a combination of proprietary and complementary strategies. The main strategy, MF Trend, is a breakout trend-following strategy which enters... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.50%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Redemption Frequency
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
80.00%
Other
20.00%
Strategy Pie Chart

Composition

Summary

Qbasis Futures Fund invests in a comprehensive set of futures markets spanning commodities, interest rates, stock indices and currencies using a combination of proprietary and complementary strategies. The main strategy, MF Trend, is a breakout trend-following strategy which enters trends at a very early stage and aims to generate asymmetric returns by maximising performance in upward (long) or downward (short) trending markets. Additionally an intraday strategy is used which exhibits a high correlation to increasing volatility thus making it an extremely effective portfolio diversification instrument (negatively correlated returns to stocks and Hedge Fund Indices). Additionally, since October 2013, three strategy enhancement components and two overlays are additionally in place which aim to further reduce potential downside and therefore increase overall returns. (The funds are designed for non US investors)

   

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
-72.22 80 - 5/1/2009 1/1/2016
-8.00 1 2 1/1/0001 3/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
28.19 5 5/1/2014 9/1/2014
23.95 3 12/1/2013 2/1/2014
23.84 2 12/1/2010 1/1/2011
16.87 2 12/1/2014 1/1/2015
14.63 1 9/1/2011 9/1/2011
13.68 1 10/1/2010 10/1/2010
12.98 2 4/1/2009 5/1/2009
12.38 1 5/1/2012 5/1/2012
8.95 1 11/1/2015 11/1/2015
8.77 1 4/1/2013 4/1/2013
7.87 1 3/1/2015 3/1/2015
6.00 1 11/1/2009 11/1/2009
5.04 1 7/1/2012 7/1/2012
2.99 1 8/1/2009 8/1/2009
2.70 1 7/1/2011 7/1/2011
2.69 1 10/1/2013 10/1/2013
1.82 1 12/1/2012 12/1/2012
1.65 1 12/1/2011 12/1/2011
0.99 1 4/1/2011 4/1/2011
0.89 1 7/1/2010 7/1/2010
0.80 1 3/1/2010 3/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.55 5 5/1/2013 9/1/2013
-36.36 7 4/1/2015 10/1/2015
-26.05 2 12/1/2015 1/1/2016
-21.08 4 8/1/2012 11/1/2012
-18.13 2 10/1/2011 11/1/2011
-17.72 3 12/1/2009 2/1/2010
-14.10 2 6/1/2009 7/1/2009
-13.17 2 5/1/2011 6/1/2011
-12.90 2 10/1/2014 11/1/2014
-11.29 2 9/1/2009 10/1/2009
-10.69 4 1/1/2012 4/1/2012
-10.56 2 2/1/2011 3/1/2011
-8.98 1 2/1/2015 2/1/2015
-8.00 1 3/1/2009 3/1/2009
-6.76 3 1/1/2013 3/1/2013
-6.02 3 4/1/2010 6/1/2010
-5.44 2 3/1/2014 4/1/2014
-3.05 1 11/1/2010 11/1/2010
-2.30 1 11/1/2013 11/1/2013
-1.93 1 6/1/2012 6/1/2012
-1.55 2 8/1/2010 9/1/2010
-0.42 1 8/1/2011 8/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods83.0081.0078.0072.0066.0060.0048.0036.00
Percent Profitable36.1432.1033.3330.5624.2413.330.000.00
Average Period Return-1.22-2.99-5.51-8.75-12.13-18.25-32.13-40.55
Average Gain6.4211.5014.3920.7715.345.08
Average Loss-5.54-9.84-15.46-21.74-20.92-21.84-32.13-40.55
Best Period21.8934.3434.3750.7350.6513.81-12.75-15.84
Worst Period-15.76-32.30-37.54-49.65-46.56-55.51-57.17-58.46
Standard Deviation7.3912.4917.2022.5720.5715.7610.6910.05
Gain Standard Deviation5.308.629.9912.7515.884.47
Loss Standard Deviation4.206.909.7510.2612.6113.6410.6910.05
Sharpe Ratio (1%)-0.18-0.26-0.35-0.43-0.66-1.29-3.29-4.44
Average Gain / Average Loss1.161.170.930.960.730.23
Profit / Loss Ratio0.660.550.470.420.230.04
Downside Deviation (10%)5.8010.7216.6223.8427.1532.5049.0562.89
Downside Deviation (5%)5.5910.0515.2320.7522.3425.5236.7245.70
Downside Deviation (0%)5.549.8814.8819.9921.2023.9133.8341.75
Sortino Ratio (10%)-0.28-0.39-0.48-0.58-0.73-0.88-0.98-0.99
Sortino Ratio (5%)-0.23-0.32-0.39-0.47-0.61-0.79-0.96-0.98
Sortino Ratio (0%)-0.22-0.30-0.37-0.44-0.57-0.76-0.95-0.97

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 7.87 3/2015
Systematic Trader Index Month 7 7.87 3/2015
Diversified Trader Index Month 8 7.87 3/2015
IASG CTA Index Month 9 7.87 3/2015
IASG CTA Index Month 8 11.36 12/2014
Systematic Trader Index Month 10 11.36 12/2014
Diversified Trader Index Month 10 11.36 12/2014
Trend Following Strategy Index Month 7 11.36 12/2014
IASG CTA Index Month 9 11.85 7/2014
Diversified Trader Index Month 6 11.85 7/2014
Trend Following Strategy Index Month 4 11.85 7/2014
Systematic Trader Index Month 4 11.85 7/2014

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.