Quantis Asset Management : Ulysses Futures Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Sep Performance 1.80% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.59% Sharpe (RFR=1%) 0.83 CAROR 8.06% Assets $ 14.0M Worst DD -8.76 S&P Correlation 0.00 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 Sep Qtr 2020 1yr 3yr 5yr 10yr Since7/2009 Ulysses Futures 1.80 - - - - - 33.19 50.22 S&P 500 -1.55 - - - - - 76.92 276.44 +/- S&P 500 3.35 - - - - - -43.74 -226.22 Strategy Description SummaryUlysses Futures program has been designed by Nicolas Lequeux. The investment program objective is to build regular performance by capturing intra-week moves on the worldwide main futures stock indices. It targets an annualized net return of 10% with a volatility and maximum... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 250k CTA Max Funding Factor 1.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 6500 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD -10.00% Worst Peak-to-Trough 12.00% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 30.00% Intraday 70.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Arbitrage 30.00% Counter-trend 70.00% Composition Stock Indices 100.00% SummaryUlysses Futures program has been designed by Nicolas Lequeux. The investment program objective is to build regular performance by capturing intra-week moves on the worldwide main futures stock indices. It targets an annualized net return of 10% with a volatility and maximum draw-down below 10%.Investment StrategyThe strategy is a short-term mean reverting pattern-recognition system. The system follows the market's intraday price activity and immediately detects some market configurations where excess can be identified with a very high probability of correction within the next 24 hours. IN average, this type of configuration can be detected between one or two time a week generating above 55% positive trades with a duration ranging from 6 to 32 hours. It will trade a maximum of once per day per market, with no position during weekend. The strategy is 100% automatized. By focusing on a very short term time horizon, Ulysses Futures program tends to produce a positive performance with a complete lack of correlation, not only to traditional investments such as stocks or bonds, but also to major other alternative investments indices. The capacity is estimated to $500 million.Risk ManagementULYSSES uses a traditional fixed fractional allocation between systems and markets. A stop loss is used for every position. Positions sizes are inversely proportional to the current volatility while a corresponding stop is defined. Some correcting factors are defined to take into account other type of risk such as liquidity. Given these assumptions, the overall portfolio is equally balanced between all markets 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 -8.76 4 - 6/1/2013 10/1/2013 -6.13 2 3 10/1/2010 12/1/2010 -5.16 4 3 5/1/2011 9/1/2011 -4.70 1 1 4/1/2010 5/1/2010 -3.45 2 3 2/1/2012 4/1/2012 -2.24 1 1 3/1/2011 4/1/2011 -2.07 1 1 9/1/2009 10/1/2009 -2.06 1 3 12/1/2009 1/1/2010 -1.70 2 1 7/1/2012 9/1/2012 -0.70 1 1 4/1/2013 5/1/2013 -0.04 1 1 2/1/2013 3/1/2013 Show More Consecutive Gains Run-up Length (Mos.) Start End 16.14 5 6/1/2010 10/1/2010 12.79 5 10/1/2012 2/1/2013 12.07 5 10/1/2011 2/1/2012 8.55 3 1/1/2011 3/1/2011 4.89 1 7/1/2012 7/1/2012 4.80 1 4/1/2010 4/1/2010 4.36 1 5/1/2011 5/1/2011 4.17 3 7/1/2009 9/1/2009 3.79 1 6/1/2013 6/1/2013 3.08 1 5/1/2012 5/1/2012 2.82 2 11/1/2009 12/1/2009 2.45 3 11/1/2013 1/1/2014 2.07 2 3/1/2014 4/1/2014 1.80 1 9/1/2014 9/1/2014 1.70 1 2/1/2010 2/1/2010 0.82 2 6/1/2014 7/1/2014 0.16 1 4/1/2013 4/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.76 4 7/1/2013 10/1/2013 -6.13 2 11/1/2010 12/1/2010 -5.16 4 6/1/2011 9/1/2011 -4.70 1 5/1/2010 5/1/2010 -3.45 2 3/1/2012 4/1/2012 -2.24 1 4/1/2011 4/1/2011 -2.07 1 10/1/2009 10/1/2009 -2.06 1 1/1/2010 1/1/2010 -2.01 1 8/1/2014 8/1/2014 -1.70 2 8/1/2012 9/1/2012 -0.85 1 3/1/2010 3/1/2010 -0.70 1 5/1/2013 5/1/2013 -0.60 1 6/1/2012 6/1/2012 -0.40 1 2/1/2014 2/1/2014 -0.27 1 5/1/2014 5/1/2014 -0.04 1 3/1/2013 3/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00 Percent Profitable60.3270.4977.5982.6995.65100.00100.00100.00 Average Period Return0.682.034.148.8114.2520.1732.1641.51 Average Gain2.223.836.2211.1115.0120.1732.1641.51 Average Loss-1.66-2.27-3.06-2.21-2.51 Best Period6.2010.9214.0120.7428.8928.4447.4057.62 Worst Period-4.70-7.19-7.84-5.12-3.407.3719.5832.78 Standard Deviation2.483.855.057.157.275.969.126.45 Gain Standard Deviation1.772.823.445.496.455.969.126.45 Loss Standard Deviation1.252.172.351.651.26 Sharpe Ratio (1%)0.240.460.721.091.753.053.195.81 Average Gain / Average Loss1.331.682.035.035.99 Profit / Loss Ratio2.034.027.0424.05131.74 Downside Deviation (10%)1.522.232.863.252.390.48 Downside Deviation (5%)1.351.791.991.480.86 Downside Deviation (0%)1.301.681.801.120.55 Sortino Ratio (10%)0.180.360.581.172.7920.73 Sortino Ratio (5%)0.441.001.835.2614.88 Sortino Ratio (0%)0.521.202.307.8325.69 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 10 0.70 7/2014 Stock Index Trader Index Month 8 3.79 6/2013 Stock Index Trader Index Month 5 3.63 2/2013 Stock Index Trader Index Month 10 2.45 1/2013 IASG CTA Index Month 10 4.97 10/2012 Systematic Trader Index Month 6 4.97 10/2012 Stock Index Trader Index Month 2 4.97 10/2012 Stock Index Trader Index Month 3 4.89 7/2012 Stock Index Trader Index Month 8 3.08 5/2012 Stock Index Trader Index Month 9 2.89 1/2012 Stock Index Trader Index Month 6 5.63 12/2011 Stock Index Trader Index Month 7 4.36 5/2011 Stock Index Trader Index Month 4 3.70 2/2011 Stock Index Trader Index Month 3 6.20 10/2010 Stock Index Trader Index Month 5 1.89 9/2010 Stock Index Trader Index Month 4 5.26 6/2010 Stock Index Trader Index Month 2 4.80 4/2010 Stock Index Trader Index Month 8 2.30 9/2009 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