Quantum Forecasting LLC : Quantuno Program

archived programs
Year-to-Date
N / A
Oct Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
17.28%
Sharpe (RFR=1%)
0.38
CAROR
6.34%
Assets
$ 500k
Worst DD
-29.97
S&P Correlation
-0.09

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2008
Quantuno Program 0.00 - - - - - -14.49 26.56
S&P 500 10.77 - - - - - 18.25 134.75
+/- S&P 500 -10.77 - - - - - -32.74 -108.19

Strategy Description

Summary

QUANTUM FORECASTING LLC is a CTA that utilizes proprietary quantitative self-adapting data driven alpha models to analyze real-time market data and predict market direction and calculate target prices. The manager then create operational trading orders which aim to capitalize on movement,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
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 24000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Composition

Currency Futures
99.00%
Stock Indices
1.00%
Composition Pie Chart

Summary

QUANTUM FORECASTING LLC is a CTA that utilizes proprietary quantitative self-adapting data driven alpha models to analyze real-time market data and predict market direction and calculate target prices. The manager then create operational trading orders which aim to capitalize on movement, regardless of market direction. The original theoretical research began over 18 years ago initially for general purpose classification & forecasting then proven in numerous applications. R&D for use in financial trading systems has been ongoing since 2001 and live systematic trading on prop accounts in 2006. The forecaster, trading engine and OMS was internally developed, resulting in a high performance platform which applies concepts adapted principally from physics, mathematics & cybernetics. The manager provide security and transparency by entrusting all fund, custody, and account management to reputable FCM clearinghouses. KPMG audits the firm's track record and the underlying systematic trading platform is certified ISO 9001:2008. The manager trade highly liquid futures markets which allows for accurate daily valuation accounting and reduces liquidity risk. All accounts are individually managed with daily liquidity and outstanding transparency. Trading is high frequency & short term, mostly intraday, and generally uses less than 25% of margin equity to keep leverage within acceptable levels. The trading strategy is systematic, but all trading activity is constantly supervised to permit, if necessary all operations to be cancelled or offset within seconds. Discretionary intervention has historically been less than 1%.

   

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
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-29.97 22 - 11/1/2009 9/1/2011
-10.44 2 1 8/1/2008 10/1/2008
-8.54 2 2 3/1/2009 5/1/2009
-1.59 1 2 1/1/0001 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
43.85 5 11/1/2008 3/1/2009
31.13 7 2/1/2008 8/1/2008
18.86 6 6/1/2009 11/1/2009
6.03 2 12/1/2010 1/1/2011
2.85 1 5/1/2010 5/1/2010
1.08 1 4/1/2011 4/1/2011
0.75 1 7/1/2011 7/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.33 5 12/1/2009 4/1/2010
-10.44 2 9/1/2008 10/1/2008
-10.43 6 6/1/2010 11/1/2010
-8.86 2 5/1/2011 6/1/2011
-8.54 2 4/1/2009 5/1/2009
-7.53 2 2/1/2011 3/1/2011
-3.62 3 8/1/2011 10/1/2011
-1.59 1 1/1/2008 1/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable50.0050.0048.7851.4348.2860.87
Average Period Return0.632.164.7211.0715.1017.05
Average Gain4.139.6618.4534.4347.6639.62
Average Loss-3.15-5.35-8.35-13.67-15.30-18.04
Best Period15.1129.7940.0864.5773.4376.99
Worst Period-8.03-10.06-14.18-20.16-26.74-28.70
Standard Deviation4.999.9015.2628.3836.4235.10
Gain Standard Deviation4.448.659.6320.0923.9025.36
Loss Standard Deviation2.282.843.154.388.518.08
Sharpe Ratio (1%)0.110.190.280.350.370.43
Average Gain / Average Loss1.311.812.212.523.122.20
Profit / Loss Ratio1.441.812.112.672.913.42
Downside Deviation (10%)2.835.058.0513.3617.5018.41
Downside Deviation (5%)2.654.426.7010.6413.4513.42
Downside Deviation (0%)2.604.266.369.9812.4912.25
Sortino Ratio (10%)0.080.180.280.450.430.37
Sortino Ratio (5%)0.210.430.630.951.011.12
Sortino Ratio (0%)0.240.510.741.111.211.39

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.