Quantum Leap Capital Management : LV Program

archived programs
Year-to-Date
N / A
Mar Performance
1.13%
Min Investment
$ 600k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.74%
Sharpe (RFR=1%)
-0.52
CAROR
-5.61%
Assets
$ 2.1M
Worst DD
-15.69
S&P Correlation
0.18

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
11/2014
LV Program 1.13 -1.10 - -5.62 - - - -13.03
S&P 500 -0.04 5.53 - 14.71 - - - 15.31
+/- S&P 500 1.17 -6.64 - -20.33 - - - -28.34

Strategy Description

Summary

Quantum Leap is a swing trading program which can profit from both rising and falling markets by capturing short to medium term trends (5-45 days on average) in over 20 different futures markets. It is a 100% automated strategy that uses proprietary technical trading signals to decide... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 600k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1300 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Grains
25.00%
Currency Futures
20.00%
Softs
20.00%
Energy
15.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Interest Rates
5.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

Quantum Leap is a swing trading program which can profit from both rising and falling markets by capturing short to medium term trends (5-45 days on average) in over 20 different futures markets. It is a 100% automated strategy that uses proprietary technical trading signals to decide when to enter/exit a trade. Profit targets are not established at the onset of each trade. Rather, when a market has made a significant directional move, an aggressive exit strategy is implemented in an effort to capture a large percentage of open profits. The program has a strict stop-loss rule of a small percentage of equity per trade (typically less than 1% of equity) and is designed to respond quickly to changing market bias from short to long and vice-versa.

The Quantum Leap LV Strategy is basically a de-leveraged version of the original Quantum Leap Program. It was offered to accommodate investors seeking lower volatility.

   

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
-15.69 -1 - 1/1/0001 9/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
7.97 2 10/1/2015 11/1/2015
7.07 1 4/1/2016 4/1/2016
4.38 1 7/1/2015 7/1/2015
3.99 2 7/1/2016 8/1/2016
3.72 1 11/1/2016 11/1/2016
1.59 1 5/1/2015 5/1/2015
1.29 1 1/1/2016 1/1/2016
1.13 1 3/1/2017 3/1/2017
0.76 1 12/1/2014 12/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.86 4 1/1/2015 4/1/2015
-8.22 3 12/1/2016 2/1/2017
-8.01 2 8/1/2015 9/1/2015
-5.41 2 9/1/2016 10/1/2016
-5.09 1 12/1/2015 12/1/2015
-1.69 1 6/1/2015 6/1/2015
-1.67 2 2/1/2016 3/1/2016
-1.00 1 11/1/2014 11/1/2014
-0.33 2 5/1/2016 6/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable37.9337.0441.6761.1150.00
Average Period Return-0.42-1.38-1.70-0.75-1.36
Average Gain2.893.674.544.063.40
Average Loss-2.45-4.35-6.15-8.31-6.12
Best Period7.076.7210.698.175.69
Worst Period-7.53-11.10-12.08-13.38-7.93
Standard Deviation3.394.866.437.075.22
Gain Standard Deviation2.022.043.412.321.57
Loss Standard Deviation2.263.283.734.871.77
Sharpe Ratio (1%)-0.15-0.33-0.34-0.25-0.55
Average Gain / Average Loss1.180.840.740.490.56
Profit / Loss Ratio0.720.500.530.770.56
Downside Deviation (10%)2.845.097.158.9110.25
Downside Deviation (5%)2.644.445.776.455.51
Downside Deviation (0%)2.594.285.445.894.47
Sortino Ratio (10%)-0.29-0.51-0.58-0.64-0.87
Sortino Ratio (5%)-0.19-0.37-0.38-0.27-0.52
Sortino Ratio (0%)-0.16-0.32-0.31-0.13-0.30

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 0.72 8/2016

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