QuantOn Solutions : Diversified Futures Program

Year-to-Date
9.56%
May Performance
0.70%
Min Investment
$ 1,000k
Mgmt. Fee
1.20%
Perf. Fee
12.50%
Annualized Vol
16.03%
Sharpe (RFR=1%)
0.78
CAROR
13.00%
Assets
$ 3.0M
Worst DD
-17.50
S&P Correlation
-0.12

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
4/2017
Diversified Futures Program 0.70 7.81 9.56 10.22 22.95 - - 66.41
S&P 500 0.55 10.31 15.56 42.58 60.44 - - 80.20
+/- S&P 500 0.15 -2.50 -6.00 -32.36 -37.48 - - -13.80

Strategy Description

Investment Strategy

DFP is market uncorrelated, peers uncorrelated systematic futures only program. Trading models are applied to four asset classes - Equities, Commodities, Bonds, and Currencies. The purpose of this framework is to differentiate between noise and trading signals continually.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 1.00
Management Fee 1.20%
Performance Fee 12.50%
Average Commission $5.00
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 1700 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD -12.00%
Worst Peak-to-Trough 20.72%
Sector Focus Diversified 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

Fundamental
10.00%
Momentum
10.00%
Pattern Recognition
20.00%
Spreading/hedging
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Energy
25.00%
Precious Metals
15.00%
Interest Rates
15.00%
Stock Indices
15.00%
Currency Futures
10.00%
Industrial Metals
10.00%
Livestock
5.00%
Softs
5.00%
Composition Pie Chart

Investment Strategy

DFP is market uncorrelated, peers uncorrelated systematic futures only program. Trading models are applied to four asset classes - Equities, Commodities, Bonds, and Currencies. The purpose of this framework is to differentiate between noise and trading signals continually. As the whole methodology is auto-adaptive, we can react to market regime shifts. The final portfolio represents a dynamic element combination, which results in a non-directional uncorrelated source of alpha. It is a combination of intraday momentum-driven strategies, mean-reverting strategies, and short-term trend-following systems.

   

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
-17.50 21 1 5/1/2018 2/1/2020
-6.85 3 3 6/1/2020 9/1/2020
-5.07 1 1 7/1/2017 8/1/2017
-4.04 2 3 9/1/2017 11/1/2017
-0.49 1 1 5/1/2017 6/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
35.58 4 3/1/2020 6/1/2020
19.18 4 2/1/2018 5/1/2018
18.01 8 10/1/2020 5/1/2021
13.78 2 4/1/2017 5/1/2017
6.52 1 9/1/2017 9/1/2017
5.61 2 2/1/2019 3/1/2019
3.92 1 6/1/2019 6/1/2019
3.70 1 11/1/2018 11/1/2018
2.31 1 12/1/2017 12/1/2017
2.23 1 7/1/2017 7/1/2017
1.30 1 8/1/2018 8/1/2018
0.99 1 1/1/2020 1/1/2020
0.30 1 8/1/2019 8/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.28 4 9/1/2019 12/1/2019
-6.85 3 7/1/2020 9/1/2020
-5.07 1 8/1/2017 8/1/2017
-5.06 2 12/1/2018 1/1/2019
-4.46 2 6/1/2018 7/1/2018
-4.24 2 4/1/2019 5/1/2019
-4.04 2 10/1/2017 11/1/2017
-3.89 2 9/1/2018 10/1/2018
-3.59 1 2/1/2020 2/1/2020
-2.17 1 7/1/2019 7/1/2019
-1.18 1 1/1/2018 1/1/2018
-0.49 1 6/1/2017 6/1/2017
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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.