QPS : Trading Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jun Qtr 2020 1yr 3yr 5yr 10yr Since7/2006 Trading Fund 9.10 - - - - - - 70.40 S&P 500 -8.60 - - - - - - 191.17 +/- S&P 500 17.70 - - - - - - -120.77 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel