Quantitative Investment Management : Global Fund (3x)

Year-to-Date: 5.83%
Jan Performance: -5.83%

Min Investment: $ 1,000k
Mgmt. Fee: 0%
Perf. Fee: 30.00%

Annualized Vol: 29.76%
Sharpe (RFR=1%): 0.55
CAROR: 13.86%

Assets: $ 131.0M
Worst DD: -50.57
S&P Correlation: 0.05

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Growth of 1,000 - VAMI

Monthly Performance

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	Jan	Qtr	YTD	1yr	3yr	5yr	10yr	Since 6/2005
Global Fund (3x)	-5.83	-9.53	-5.83	-37.47	-27.61	-17.94	41.22	664.62
S&P 500	-1.11	13.59	-1.11	15.15	31.52	89.48	185.82	226.88
+/- S&P 500	-4.72	-23.12	-4.72	-52.62	-59.14	-107.43	-144.60	437.75

Strategy Description

Investment Strategy

Account & Fees

Type	Fund
Minimum Investment	$ 1,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	0%
Performance Fee	30.00%
Average Commission
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	15-30 Days
Redemption Frequency	15-30 Days
Investor Requirements	QEP
Lock-up Period	0

Trading

Trading Frequency	3600 RT/YR/$M
Avg. Margin-to-Equity	30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus	Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Composition

Stock Indices: 100.00%

Investment Strategy

The QUANTITATIVE GLOBAL FUND (3X) is a 3x levered version of the Quantitative Global Program offered as a commodity pool. The Global Program seeks to deliver strong risk adjusted returns through the use of proprietary machine learning predictive techniques. The average trade length for the Global Program is one to two weeks. The holding period for all trades ranges from 1 to 50 days. The program is negatively correlated to its benchmarks over the last three years. Quantitative currently employs numerous quantitative trading models that utilize pattern recognition to predict all types of price movements. All models are tested across massive data sets. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resultant system of models offers reliable signals that guide market timing and trade allocation. The program presently trades 26 different futures contracts. The allocation to each contract is based on the liquidity and uniqueness of that contract relative to the rest of the portfolio, and it is optimized to achieve balanced diversification. The fund is offered both onshore and offshore, and with an unlevered share class.

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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.

Compare to:

Index:

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
-50.57	34	-	10/1/2017	8/1/2020
-44.73	31	10	6/1/2012	1/1/2015
-33.25	21	11	9/1/2009	6/1/2011
-22.36	1	2	12/1/2007	1/1/2008
-11.44	1	3	4/1/2007	5/1/2007
-10.20	2	2	5/1/2008	7/1/2008
-9.38	1	6	2/1/2016	3/1/2016
-8.79	1	2	7/1/2017	8/1/2017
-7.54	1	2	9/1/2008	10/1/2008
-7.53	2	1	1/1/2009	3/1/2009
-6.88	1	4	5/1/2006	6/1/2006
-6.57	1	1	3/1/2006	4/1/2006
-6.11	1	1	11/1/2015	12/1/2015
-3.80	1	1	9/1/2016	10/1/2016
-3.57	1	1	11/1/2006	12/1/2006
-3.19	1	2	1/1/0001	6/1/2005
-1.86	1	1	5/1/2009	6/1/2009
-0.42	2	1	3/1/2017	5/1/2017

Consecutive Gains

Run-up	Length (Mos.)	Start	End
82.88	7	6/1/2007	12/1/2007
60.27	4	10/1/2019	1/1/2020
59.22	4	2/1/2008	5/1/2008
56.13	4	3/1/2012	6/1/2012
46.88	5	7/1/2011	11/1/2011
43.79	9	7/1/2005	3/1/2006
43.64	4	8/1/2015	11/1/2015
38.79	5	11/1/2016	3/1/2017
32.50	4	1/1/2007	4/1/2007
31.58	3	4/1/2015	6/1/2015
29.72	3	11/1/2008	1/1/2009
29.32	2	1/1/2016	2/1/2016
28.34	2	6/1/2019	7/1/2019
25.42	5	10/1/2013	2/1/2014
24.92	2	4/1/2009	5/1/2009
21.44	4	3/1/2018	6/1/2018
20.40	2	8/1/2008	9/1/2008
18.41	1	11/1/2020	11/1/2020
16.99	2	9/1/2017	10/1/2017
16.69	6	4/1/2016	9/1/2016
15.11	1	5/1/2006	5/1/2006
13.26	3	8/1/2010	10/1/2010
12.12	3	7/1/2009	9/1/2009
11.04	3	12/1/2010	2/1/2011
8.24	2	10/1/2006	11/1/2006
8.15	1	12/1/2018	12/1/2018
7.81	1	9/1/2014	9/1/2014
6.78	1	7/1/2006	7/1/2006
6.77	1	2/1/2015	2/1/2015
6.45	1	11/1/2009	11/1/2009
5.22	2	7/1/2013	8/1/2013
4.96	1	12/1/2012	12/1/2012
4.94	2	8/1/2018	9/1/2018
4.70	1	9/1/2020	9/1/2020
3.15	1	12/1/2017	12/1/2017
2.78	1	5/1/2020	5/1/2020
2.49	2	8/1/2012	9/1/2012
1.33	1	6/1/2010	6/1/2010
0.94	2	6/1/2017	7/1/2017
0.24	1	4/1/2010	4/1/2010

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-31.76	3	2/1/2020	4/1/2020
-28.08	5	1/1/2019	5/1/2019
-27.12	6	3/1/2014	8/1/2014
-25.99	4	12/1/2009	3/1/2010
-24.91	3	12/1/2011	2/1/2012
-23.74	2	1/1/2018	2/1/2018
-22.36	1	1/1/2008	1/1/2008
-21.48	3	6/1/2020	8/1/2020
-20.57	2	8/1/2019	9/1/2019
-20.37	6	1/1/2013	6/1/2013
-20.14	4	10/1/2014	1/1/2015
-19.29	4	3/1/2011	6/1/2011
-18.84	2	10/1/2018	11/1/2018
-13.96	2	10/1/2012	11/1/2012
-11.44	1	5/1/2007	5/1/2007
-10.20	2	6/1/2008	7/1/2008
-9.53	2	12/1/2020	1/1/2021
-9.38	1	3/1/2016	3/1/2016
-8.79	1	8/1/2017	8/1/2017
-8.75	1	7/1/2018	7/1/2018
-7.54	1	10/1/2008	10/1/2008
-7.53	2	2/1/2009	3/1/2009
-7.14	1	10/1/2009	10/1/2009
-6.88	1	6/1/2006	6/1/2006
-6.57	1	4/1/2006	4/1/2006
-6.17	1	7/1/2012	7/1/2012
-6.11	1	12/1/2015	12/1/2015
-5.76	1	11/1/2010	11/1/2010
-4.84	1	11/1/2017	11/1/2017
-4.43	1	7/1/2015	7/1/2015
-4.32	1	3/1/2015	3/1/2015
-3.86	1	5/1/2010	5/1/2010
-3.80	1	10/1/2016	10/1/2016
-3.65	2	8/1/2006	9/1/2006
-3.57	1	12/1/2006	12/1/2006
-3.48	1	9/1/2013	9/1/2013
-3.19	1	6/1/2005	6/1/2005
-2.32	1	7/1/2010	7/1/2010
-2.27	1	10/1/2020	10/1/2020
-1.86	1	6/1/2009	6/1/2009
-0.42	2	4/1/2017	5/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	188.00	186.00	183.00	177.00	171.00	165.00	153.00	141.00	129.00
Percent Profitable	57.98	61.29	63.93	59.32	60.82	69.09	75.82	82.98	89.92
Average Period Return	1.45	4.66	9.15	20.01	32.44	47.63	76.42	98.30	111.53
Average Gain	7.04	14.34	22.72	44.73	64.73	79.70	107.52	121.71	125.80
Average Loss	-6.26	-10.67	-14.91	-16.04	-17.69	-24.05	-21.09	-15.84	-15.78
Best Period	26.52	51.80	76.31	126.07	165.88	238.66	356.40	520.72	383.06
Worst Period	-25.80	-31.76	-42.95	-39.64	-42.26	-42.86	-49.42	-38.16	-27.26
Standard Deviation	8.59	16.10	22.61	37.68	53.37	74.09	105.27	121.55	104.83
Gain Standard Deviation	5.77	12.03	15.56	28.32	44.31	67.43	102.68	120.68	100.94
Loss Standard Deviation	5.20	7.50	8.93	11.07	8.86	11.96	14.74	9.24	8.14
Sharpe Ratio (1%)	0.16	0.27	0.38	0.50	0.58	0.62	0.70	0.78	1.02
Average Gain / Average Loss	1.13	1.34	1.52	2.79	3.66	3.31	5.10	7.68	7.97
Profit / Loss Ratio	1.55	2.13	2.70	4.07	5.68	7.41	15.98	37.45	71.15
Downside Deviation (10%)	5.47	8.73	11.72	15.15	16.78	20.26	19.70	16.31	14.71
Downside Deviation (5%)	5.30	8.22	10.67	12.93	13.21	15.92	13.85	9.03	7.08
Downside Deviation (0%)	5.26	8.09	10.41	12.40	12.36	14.91	12.60	7.53	5.59
Sortino Ratio (10%)	0.19	0.39	0.57	0.99	1.48	1.85	3.08	4.70	5.70
Sortino Ratio (5%)	0.26	0.54	0.81	1.47	2.34	2.87	5.30	10.44	15.03
Sortino Ratio (0%)	0.28	0.58	0.88	1.61	2.62	3.20	6.07	13.06	19.95

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.

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More Programs by Quantitative Investment Management

Program Name	CAROR
Global Fund (3x)	13.86%
Quantitative Global Program	6.94%
Global Fund (1x)	5.03%

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Quantitative Investment Management : Global Fund (3x)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Quantitative Investment Management : Global Fund (3x)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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