Quantis Asset Management : Ulysses Futures

archived programsClosed to new investments
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

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 YTD 1yr 3yr 5yr 10yr Since
7/2009
Ulysses Futures 1.80 0.45 - 2.69 26.81 44.21 - 50.22
S&P 500 -1.55 0.62 - 17.29 74.30 86.55 - 99.70
+/- S&P 500 3.35 -0.16 - -14.60 -47.49 -42.34 - -49.48

Strategy Description

Summary

Ulysses 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Ulysses 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 Strategy

The 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 Management

ULYSSES 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.

   

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
-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
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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
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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
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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.