Quantum Leap Capital Management : Managed Account Program

Year-to-Date
N / A
Dec Performance
-3.52%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
26.35%
Sharpe (RFR=1%)
0.37
CAROR
7.66%
Assets
$ 1.0M
Worst DD
-41.66
S&P Correlation
-0.28

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
8/2006
Managed Account Program -3.52 1.19 - 9.23 -13.35 -22.52 115.54 115.63
S&P 500 1.82 3.25 - 9.54 21.13 78.02 57.83 71.68
+/- S&P 500 -5.34 -2.06 - -0.31 -34.47 -100.54 57.71 43.94

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
$ 300k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
30.00%
Currency Futures
20.00%
Stock Indices
15.00%
Industrial Metals
10.00%
Grains
10.00%
Livestock
10.00%
Energy
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.

Investment Strategy

QUANTUM LEAP employs a trend following mathematical model that invests in over 15 different markets worldwide. Its goal is to consistently provide investors with positive absolute returns, regardless of market conditions. Quantum Leap has developed a set of algorithms that analyze the price movement of various markets and detects whether a new up or down trend is forming, automatically generating specific entry and exit signals. Trends are followed until they reverse, there is not a profit target or prediction as to how long a trend will last

   

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
-41.66 33 - 12/1/2012 9/1/2015
-24.45 20 10 11/1/2008 7/1/2010
-22.32 7 2 1/1/2007 8/1/2007
-16.37 1 2 6/1/2008 7/1/2008
-7.35 2 1 8/1/2006 10/1/2006
-7.31 4 6 7/1/2011 11/1/2011
-5.50 1 3 5/1/2012 6/1/2012
-5.18 1 1 11/1/2006 12/1/2006
-5.00 2 1 3/1/2008 5/1/2008
-4.05 2 1 9/1/2012 11/1/2012
-1.90 1 1 5/1/2011 6/1/2011
-0.67 1 2 11/1/2007 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
73.47 4 8/1/2008 11/1/2008
67.85 3 9/1/2007 11/1/2007
27.70 4 2/1/2011 5/1/2011
23.07 3 1/1/2008 3/1/2008
17.70 1 4/1/2016 4/1/2016
15.73 1 6/1/2008 6/1/2008
15.40 2 10/1/2015 11/1/2015
14.91 3 12/1/2013 2/1/2014
13.88 1 11/1/2006 11/1/2006
13.50 2 4/1/2012 5/1/2012
11.20 1 9/1/2014 9/1/2014
9.31 1 1/1/2007 1/1/2007
9.10 1 12/1/2012 12/1/2012
8.86 1 12/1/2010 12/1/2010
8.39 3 7/1/2012 9/1/2012
7.97 1 11/1/2016 11/1/2016
7.84 1 4/1/2007 4/1/2007
7.54 2 7/1/2016 8/1/2016
7.43 1 7/1/2014 7/1/2014
7.35 1 7/1/2015 7/1/2015
6.57 1 7/1/2007 7/1/2007
5.51 1 8/1/2010 8/1/2010
4.59 1 10/1/2009 10/1/2009
4.33 2 5/1/2013 6/1/2013
4.20 1 12/1/2011 12/1/2011
3.89 1 2/1/2013 2/1/2013
3.38 1 1/1/2016 1/1/2016
2.80 1 7/1/2011 7/1/2011
2.59 1 5/1/2015 5/1/2015
2.59 2 4/1/2010 5/1/2010
2.28 2 2/1/2009 3/1/2009
1.30 1 9/1/2011 9/1/2011
0.96 1 12/1/2014 12/1/2014
0.09 1 10/1/2010 10/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.53 5 7/1/2013 11/1/2013
-21.05 4 1/1/2015 4/1/2015
-16.73 2 2/1/2007 3/1/2007
-16.37 1 7/1/2008 7/1/2008
-14.04 2 8/1/2015 9/1/2015
-13.32 1 8/1/2007 8/1/2007
-13.05 2 10/1/2014 11/1/2014
-12.60 2 9/1/2016 10/1/2016
-11.05 6 4/1/2009 9/1/2009
-10.71 2 12/1/2008 1/1/2009
-10.30 1 12/1/2015 12/1/2015
-9.60 4 3/1/2014 6/1/2014
-9.33 5 11/1/2009 3/1/2010
-7.35 3 8/1/2006 10/1/2006
-6.40 2 3/1/2013 4/1/2013
-6.37 2 2/1/2016 3/1/2016
-6.35 2 5/1/2007 6/1/2007
-6.27 1 1/1/2013 1/1/2013
-5.50 1 6/1/2012 6/1/2012
-5.47 2 10/1/2011 11/1/2011
-5.18 1 12/1/2006 12/1/2006
-5.00 2 4/1/2008 5/1/2008
-4.39 2 6/1/2010 7/1/2010
-4.05 2 10/1/2012 11/1/2012
-3.52 1 12/1/2016 12/1/2016
-3.48 3 1/1/2012 3/1/2012
-3.23 1 6/1/2015 6/1/2015
-3.20 1 8/1/2011 8/1/2011
-2.98 1 9/1/2010 9/1/2010
-2.94 1 1/1/2011 1/1/2011
-2.07 2 5/1/2016 6/1/2016
-1.90 1 6/1/2011 6/1/2011
-1.61 1 11/1/2010 11/1/2010
-0.77 1 8/1/2014 8/1/2014
-0.67 1 12/1/2007 12/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods125.00123.00120.00114.00108.00102.0090.0078.0066.00
Percent Profitable43.2052.8553.3358.7755.5656.8663.3371.7966.67
Average Period Return0.892.695.7812.5920.2625.2229.7641.5257.78
Average Gain7.1610.8818.2630.8748.1157.0258.1867.7693.49
Average Loss-4.00-6.49-8.48-13.47-14.55-16.71-19.33-25.28-13.63
Best Period33.5170.1798.89139.65198.47194.38160.89228.32251.10
Worst Period-16.37-20.06-26.87-36.51-36.38-33.52-39.61-34.04-25.06
Standard Deviation7.6113.7120.4133.0949.3956.3153.1066.9883.18
Gain Standard Deviation7.0514.1120.3631.8251.0056.3346.3861.5280.72
Loss Standard Deviation3.374.056.217.507.778.7912.375.117.67
Sharpe Ratio (1%)0.110.180.260.350.380.410.500.560.63
Average Gain / Average Loss1.791.682.152.293.313.413.012.686.86
Profit / Loss Ratio1.401.882.463.274.134.505.206.8213.72
Downside Deviation (10%)4.115.988.5912.8015.6718.7022.6725.3725.83
Downside Deviation (5%)3.925.397.4410.4411.8713.5615.4215.8011.65
Downside Deviation (0%)3.875.247.169.8810.9712.3713.8313.688.98
Sortino Ratio (10%)0.120.240.390.590.810.800.620.791.17
Sortino Ratio (5%)0.200.450.711.111.581.711.732.374.52
Sortino Ratio (0%)0.230.510.811.271.852.042.153.036.44

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 7.97 11/2016
Systematic Trader Index Month 7 7.97 11/2016
Diversified Trader Index Month 8 7.97 11/2016
IASG CTA Index Month 9 7.97 11/2016
Trend Following Strategy Index Month 5 0.89 8/2016
Diversified Trader Index Month 5 6.59 7/2016
Systematic Trader Index Month 6 6.59 7/2016
IASG CTA Index Month 3 6.59 7/2016
Trend Following Strategy Index Month 4 6.59 7/2016
Trend Following Strategy Index Month 3 17.70 4/2016
Systematic Trader Index Month 3 17.70 4/2016
Diversified Trader Index Month 3 17.70 4/2016
IASG CTA Index Month 2 17.70 4/2016
IASG CTA Index Month 8 9.85 11/2015
Trend Following Strategy Index Month 10 9.85 11/2015
Diversified Trader Index Month 10 9.85 11/2015
Diversified Trader Index Month 7 5.05 10/2015
IASG CTA Index Month 6 5.05 10/2015
Systematic Trader Index Month 7 5.05 10/2015
Trend Following Strategy Index Month 4 5.05 10/2015
Trend Following Strategy Index Month 3 6.81 1/2014
Systematic Trader Index Month 7 6.81 1/2014
Diversified Trader Index Month 6 6.81 1/2014
IASG CTA Index Month 10 6.81 1/2014
Trend Following Strategy Index Month 10 3.89 2/2013
Trend Following Strategy Index Month 3 9.10 12/2012
IASG CTA Index Month 3 9.10 12/2012
Diversified Trader Index Month 3 9.10 12/2012
Systematic Trader Index Month 3 9.10 12/2012
Trend Following Strategy Index Month 4 4.70 9/2012
Diversified Trader Index Month 8 4.70 9/2012
IASG CTA Index Month 10 4.70 9/2012
Trend Following Strategy Index Month 6 5.10 4/2012
Trend Following Strategy Index Month 4 4.20 12/2011
Trend Following Strategy Index Month 2 5.40 5/2011
Diversified Trader Index Month 7 5.40 5/2011
Systematic Trader Index Month 10 5.40 5/2011
IASG CTA Index Month 7 11.36 3/2011
Trend Following Strategy Index Month 1 11.36 3/2011
Systematic Trader Index Month 2 11.36 3/2011
Diversified Trader Index Month 3 11.36 3/2011
Trend Following Strategy Index Month 2 4.59 10/2009
Systematic Trader Index Month 6 4.59 10/2009
Diversified Trader Index Month 9 4.59 10/2009
Trend Following Strategy Index Month 8 33.51 10/2008
Systematic Trader Index Month 8 33.51 10/2008
Diversified Trader Index Month 8 33.51 10/2008
IASG CTA Index Month 8 33.51 10/2008
Trend Following Strategy Index Month 7 11.19 9/2008
Diversified Trader Index Month 9 11.19 9/2008
Systematic Trader Index Month 9 11.19 9/2008
Trend Following Strategy Index Month 6 14.63 8/2008
Systematic Trader Index Month 6 14.63 8/2008
Diversified Trader Index Month 5 14.63 8/2008
IASG CTA Index Month 8 14.63 8/2008
IASG CTA Index Month 7 15.73 6/2008
Diversified Trader Index Month 6 15.73 6/2008
Trend Following Strategy Index Month 4 15.73 6/2008
Systematic Trader Index Month 4 15.73 6/2008
Trend Following Strategy Index Month 1 25.29 11/2007
Systematic Trader Index Month 1 25.29 11/2007
Diversified Trader Index Month 1 25.29 11/2007
IASG CTA Index Month 1 25.29 11/2007
IASG CTA Index Month 3 28.58 9/2007
Trend Following Strategy Index Month 2 28.58 9/2007
Systematic Trader Index Month 3 28.58 9/2007
Diversified Trader Index Month 3 28.58 9/2007
Trend Following Strategy Index Month 8 6.57 7/2007
Diversified Trader Index Month 7 6.57 7/2007
Systematic Trader Index Month 9 6.57 7/2007
IASG CTA Index Month 6 9.31 1/2007
Diversified Trader Index Month 3 9.31 1/2007
Systematic Trader Index Month 4 9.31 1/2007
Trend Following Strategy Index Month 3 9.31 1/2007
Trend Following Strategy Index Month 3 13.88 11/2006
Diversified Trader Index Month 4 13.88 11/2006
IASG CTA Index Month 5 13.88 11/2006
Systematic Trader Index Month 3 13.88 11/2006

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