QPS : Trading Fund

archived programs
Year-to-Date
N / A
Jun Performance
9.10%
Min Investment
€ 250k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
23.16%
Sharpe (RFR=1%)
1.23
CAROR
30.54%
Assets
€ 1.6M
Worst DD
-11.40
S&P Correlation
0.04

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 Since
7/2006
Trading Fund 9.10 - - - - - - 70.40
S&P 500 -8.60 - - - - - - 171.34
+/- S&P 500 17.70 - - - - - - -100.95

Strategy Description

Summary

-The QPS Trading Fund invests in liquid futures on currency, bonds, commodities, interest rates and volatility. The Fund follows two trading programmes designed by Blue Sky Orange: the Quantitative Premium Select programme and the Quantitative Premium Collect programme.The Premium... Read More

Account & Fees

Type Managed Account
Minimum Investment € 250k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission $8.00
Available to US Investors

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The QPS Trading Fund invests in liquid futures on currency, bonds, commodities, interest rates and volatility. The Fund follows two trading programmes designed by Blue Sky Orange: the Quantitative Premium Select programme and the Quantitative Premium Collect programme.The Premium Select programme is equally weighted between the three underlying programmes ? Currency Select, Bond Select and Commodity Select. The Select programmes are focussed on relative value positions, taking long positions in the assets that have high expected risk premiums and short positions in assets with low expected risk premiums. We explicitly do not try to forecast general market direction via the use of short positions: the overall exposure is always net long for the traded markets (currencies, bonds, commodities).The Premium Collect programme is added to the Premium Select programme and takes fixed positions in interest rate futures and volatility futures to passively capture the risk premiums offered in these markets. Both positions offer an attractive risk premium in the long term and in times of crises move in opposite directions so short term risk is muted. Once again, due to the low correlation these additional positions add to the return without increasing the risk.

   

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
-11.40 1 3 10/1/2007 11/1/2007
-10.10 1 1 2/1/2007 3/1/2007
-8.07 4 2 4/1/2007 8/1/2007
-4.46 1 2 2/1/2008 3/1/2008
-2.80 1 1 8/1/2006 9/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
19.93 5 10/1/2006 2/1/2007
17.12 3 4/1/2008 6/1/2008
16.04 2 9/1/2007 10/1/2007
15.92 1 2/1/2008 2/1/2008
14.38 2 7/1/2006 8/1/2006
12.20 1 4/1/2007 4/1/2007
4.10 1 12/1/2007 12/1/2007
1.70 1 6/1/2007 6/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.40 1 11/1/2007 11/1/2007
-10.10 1 3/1/2007 3/1/2007
-7.40 1 5/1/2007 5/1/2007
-4.46 1 3/1/2008 3/1/2008
-2.80 1 9/1/2006 9/1/2006
-2.39 2 7/1/2007 8/1/2007
-0.72 1 1/1/2008 1/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable66.6777.2789.47100.00100.00
Average Period Return2.465.7510.2316.0030.01
Average Gain6.148.9912.1016.0030.01
Average Loss-4.91-5.27-5.68
Best Period15.9219.8028.7834.5437.01
Worst Period-11.40-8.43-7.270.6922.89
Standard Deviation6.697.8610.4110.124.74
Gain Standard Deviation4.095.449.2810.124.74
Loss Standard Deviation4.233.082.26
Sharpe Ratio (1%)0.360.700.941.486.01
Average Gain / Average Loss1.251.712.13
Profit / Loss Ratio2.505.8018.12
Downside Deviation (10%)3.833.362.731.33
Downside Deviation (5%)3.682.942.070.08
Downside Deviation (0%)3.642.831.91
Sortino Ratio (10%)0.541.342.858.29
Sortino Ratio (5%)0.651.874.70177.04
Sortino Ratio (0%)0.682.035.35

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.