Quantis Asset Management : Ulysses Futures

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

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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%

Summary

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.

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

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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	63.00	61.00	58.00	52.00	46.00	40.00	28.00	16.00
Percent Profitable	60.32	70.49	77.59	82.69	95.65	100.00	100.00	100.00
Average Period Return	0.68	2.03	4.14	8.81	14.25	20.17	32.16	41.51
Average Gain	2.22	3.83	6.22	11.11	15.01	20.17	32.16	41.51
Average Loss	-1.66	-2.27	-3.06	-2.21	-2.51
Best Period	6.20	10.92	14.01	20.74	28.89	28.44	47.40	57.62
Worst Period	-4.70	-7.19	-7.84	-5.12	-3.40	7.37	19.58	32.78
Standard Deviation	2.48	3.85	5.05	7.15	7.27	5.96	9.12	6.45
Gain Standard Deviation	1.77	2.82	3.44	5.49	6.45	5.96	9.12	6.45
Loss Standard Deviation	1.25	2.17	2.35	1.65	1.26
Sharpe Ratio (1%)	0.24	0.46	0.72	1.09	1.75	3.05	3.19	5.81
Average Gain / Average Loss	1.33	1.68	2.03	5.03	5.99
Profit / Loss Ratio	2.03	4.02	7.04	24.05	131.74
Downside Deviation (10%)	1.52	2.23	2.86	3.25	2.39	0.48
Downside Deviation (5%)	1.35	1.79	1.99	1.48	0.86
Downside Deviation (0%)	1.30	1.68	1.80	1.12	0.55
Sortino Ratio (10%)	0.18	0.36	0.58	1.17	2.79	20.73
Sortino Ratio (5%)	0.44	1.00	1.83	5.26	14.88
Sortino Ratio (0%)	0.52	1.20	2.30	7.83	25.69

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.

^#10

Top Performer

STOCK INDEX TRADER INDEX

JULY
2014

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Quantis Asset Management : Ulysses Futures

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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