Quicksilver Trading : Diversified Program

archived programs
Year-to-Date
N / A
Oct Performance
-4.10%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
25.67%
Sharpe (RFR=1%)
0.69
CAROR
16.69%
Assets
$ 40.4M
Worst DD
-49.34
S&P Correlation
-0.16

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
8/1995
Diversified Program -4.10 - - - - - -42.09 1,572.85
S&P 500 4.46 - - - - - 67.15 516.56
+/- S&P 500 -8.56 - - - - - -109.24 1,056.29

Strategy Description

Summary

Diversified Program Trading Approach The Diversified Program uses a long-term trend following system for 66 different commodities from the following groups: foreign currencies, metals, interest rate instruments, stock indices, meat complexes, grain complexes, food and fiber and oil... Read More

Account & Fees

Type Fund
Minimum Investment $ 500k
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 1200 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
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

Trend-following
100.00%
Strategy Pie Chart

Composition

Softs
25.00%
Currency Futures
21.00%
Interest Rates
18.00%
Energy
8.00%
Grains
8.00%
Industrial Metals
7.00%
Precious Metals
7.00%
Livestock
5.00%
Stock Indices
1.00%
Composition Pie Chart

Summary

Diversified Program Trading Approach The Diversified Program uses a long-term trend following system for 66 different commodities from the following groups: foreign currencies, metals, interest rate instruments, stock indices, meat complexes, grain complexes, food and fiber and oil products. This system is a technical system, which has been computer generated. Two different trend following subsystems are utilized and only when both are in agreement is a position established. For any individual commodity, this system will be long about 1/3 of the time, short about 1/3 of the time and flat about 1/3 of the time. The Diversified Program trading system uses the same parameters for all long positions of the 66 commodities that are followed. A slightly different set of parameters are used for the short position for these commodities. This trading system was developed using a number of diverse commodities and was then tested using a number of different commodities. The relative weights for the 71 commodities were chosen to try to minimize their correlation with each other. 43 of these commodities are traded on US exchanges, 26 are on offshore exchanges and 2 are traded in the FOREX market. It is anticipated that the number of commodities being followed will slightly increase in the future. This program does not use options but does use foreign markets.

   

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
-49.34 30 - 4/1/2011 10/1/2013
-26.24 3 17 3/1/2004 6/1/2004
-24.59 16 5 4/1/2006 8/1/2007
-22.40 6 2 2/1/2008 8/1/2008
-22.24 6 3 2/1/2003 8/1/2003
-17.14 1 7 4/1/2010 5/1/2010
-15.61 2 7 2/1/2009 4/1/2009
-14.96 5 2 10/1/2001 3/1/2002
-14.95 3 4 4/1/1996 7/1/1996
-12.93 2 2 12/1/1995 2/1/1996
-11.29 1 6 3/1/2001 4/1/2001
-8.38 2 1 9/1/2002 11/1/2002
-7.46 3 3 2/1/2000 5/1/2000
-6.76 1 1 5/1/1997 6/1/1997
-6.26 3 3 7/1/1997 10/1/1997
-6.05 3 1 12/1/2010 3/1/2011
-6.04 3 3 8/1/1998 11/1/1998
-4.40 3 3 5/1/1999 8/1/1999
-4.13 1 1 9/1/1995 10/1/1995
-4.11 1 1 2/1/1999 3/1/1999
-2.93 1 1 2/1/1997 3/1/1997
-2.00 1 1 1/1/0001 8/1/1995
-1.95 1 2 12/1/2009 1/1/2010
-0.93 1 1 8/1/2000 9/1/2000
-0.88 1 1 12/1/2003 1/1/2004
-0.16 1 1 6/1/2002 7/1/2002
-0.11 1 1 1/1/2006 2/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
62.91 6 9/1/2008 2/1/2009
56.73 3 12/1/2007 2/1/2008
55.26 7 8/1/1996 2/1/1997
44.77 3 12/1/2002 2/1/2003
40.93 6 10/1/2000 3/1/2001
40.93 4 9/1/2003 12/1/2003
36.80 6 8/1/2005 1/1/2006
35.56 10 11/1/1997 8/1/1998
32.37 6 9/1/1999 2/1/2000
31.14 4 9/1/2004 12/1/2004
25.47 3 4/1/2002 6/1/2002
25.44 2 4/1/1997 5/1/1997
24.64 2 9/1/2007 10/1/2007
20.22 3 8/1/2010 10/1/2010
19.76 2 11/1/2011 12/1/2011
18.89 2 11/1/1995 12/1/1995
17.21 3 8/1/2001 10/1/2001
17.03 1 12/1/2010 12/1/2010
16.96 2 2/1/2004 3/1/2004
16.88 5 5/1/2009 9/1/2009
16.58 1 9/1/1995 9/1/1995
15.94 2 3/1/1996 4/1/1996
14.18 3 6/1/2000 8/1/2000
13.80 1 7/1/1997 7/1/1997
13.74 3 2/1/2010 4/1/2010
13.73 2 4/1/2003 5/1/2003
12.52 2 3/1/2006 4/1/2006
12.37 2 5/1/2008 6/1/2008
9.37 2 4/1/2007 5/1/2007
9.02 1 7/1/2004 7/1/2004
8.92 2 11/1/2009 12/1/2009
8.44 2 8/1/2002 9/1/2002
8.12 1 7/1/2012 7/1/2012
6.99 1 4/1/2011 4/1/2011
6.87 2 4/1/1999 5/1/1999
6.13 1 12/1/1998 12/1/1998
6.03 1 1/1/2013 1/1/2013
5.25 1 7/1/2011 7/1/2011
4.95 3 8/1/2006 10/1/2006
4.64 1 6/1/2010 6/1/2010
4.60 1 9/1/2011 9/1/2011
4.59 1 12/1/2001 12/1/2001
4.54 2 3/1/2013 4/1/2013
3.69 1 2/1/1999 2/1/1999
3.62 1 2/1/2002 2/1/2002
3.41 2 4/1/2012 5/1/2012
1.84 2 4/1/2005 5/1/2005
1.79 1 5/1/2001 5/1/2001
0.97 1 4/1/2000 4/1/2000
0.94 1 2/1/2005 2/1/2005
0.71 1 11/1/2012 11/1/2012
0.29 1 2/1/2007 2/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.24 3 4/1/2004 6/1/2004
-23.68 3 6/1/2007 8/1/2007
-20.70 3 1/1/2012 3/1/2012
-20.07 6 5/1/2013 10/1/2013
-19.12 2 5/1/2011 6/1/2011
-17.56 1 3/1/2003 3/1/2003
-17.28 2 3/1/2008 4/1/2008
-17.14 1 5/1/2010 5/1/2010
-17.06 3 6/1/2003 8/1/2003
-16.52 2 7/1/2008 8/1/2008
-15.61 2 3/1/2009 4/1/2009
-14.95 3 5/1/1996 7/1/1996
-13.31 3 8/1/2012 10/1/2012
-12.93 2 1/1/1996 2/1/1996
-12.38 1 11/1/2001 11/1/2001
-11.37 1 6/1/2012 6/1/2012
-11.29 1 4/1/2001 4/1/2001
-10.29 1 10/1/2011 10/1/2011
-9.66 1 11/1/2010 11/1/2010
-8.38 2 10/1/2002 11/1/2002
-8.08 1 3/1/2002 3/1/2002
-7.72 1 2/1/2013 2/1/2013
-7.59 2 6/1/2005 7/1/2005
-7.28 1 1/1/2005 1/1/2005
-6.76 1 6/1/1997 6/1/1997
-6.26 3 8/1/1997 10/1/1997
-6.18 3 11/1/2006 1/1/2007
-6.05 3 1/1/2011 3/1/2011
-6.04 3 9/1/1998 11/1/1998
-5.80 3 5/1/2006 7/1/2006
-5.79 1 3/1/2000 3/1/2000
-5.36 1 8/1/2004 8/1/2004
-5.04 1 8/1/2011 8/1/2011
-4.78 1 3/1/2005 3/1/2005
-4.40 3 6/1/1999 8/1/1999
-4.34 1 7/1/2010 7/1/2010
-4.13 1 10/1/1995 10/1/1995
-4.11 1 3/1/1999 3/1/1999
-2.93 1 3/1/1997 3/1/1997
-2.88 1 3/1/2007 3/1/2007
-2.72 1 5/1/2000 5/1/2000
-2.57 1 1/1/2002 1/1/2002
-2.00 1 8/1/1995 8/1/1995
-1.95 1 1/1/2010 1/1/2010
-1.79 1 10/1/2009 10/1/2009
-1.71 1 11/1/2007 11/1/2007
-1.71 1 1/1/1999 1/1/1999
-1.56 2 6/1/2001 7/1/2001
-0.93 1 9/1/2000 9/1/2000
-0.88 1 1/1/2004 1/1/2004
-0.56 1 12/1/2012 12/1/2012
-0.16 1 7/1/2002 7/1/2002
-0.11 1 2/1/2006 2/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods219.00217.00214.00208.00202.00196.00184.00172.00160.00
Percent Profitable58.9062.6766.8281.7383.1788.7889.6792.4498.75
Average Period Return1.564.759.6619.9732.8446.3178.33117.84167.28
Average Gain6.2112.1618.5927.6143.3155.4289.96128.93169.55
Average Loss-5.10-7.68-8.32-14.24-18.90-25.78-22.60-17.78-12.49
Best Period30.8956.7392.01100.60142.74146.80190.80243.68382.15
Worst Period-18.31-26.24-27.32-31.79-38.13-37.72-46.16-34.79-20.57
Standard Deviation7.4112.7818.1723.1931.6737.7347.4459.0876.51
Gain Standard Deviation5.279.7415.1717.9522.9429.0734.3146.2074.23
Loss Standard Deviation4.295.606.908.1011.3911.1412.909.5011.41
Sharpe Ratio (1%)0.200.350.500.820.991.171.591.932.12
Average Gain / Average Loss1.221.582.231.942.292.153.987.2513.57
Profit / Loss Ratio1.752.664.508.6811.3217.0034.5688.681072.06
Downside Deviation (10%)4.476.427.378.9211.8312.6413.0111.125.88
Downside Deviation (5%)4.305.926.437.369.5510.009.176.512.18
Downside Deviation (0%)4.265.796.216.989.029.388.315.491.66
Sortino Ratio (10%)0.260.550.981.682.132.854.818.6623.75
Sortino Ratio (5%)0.340.761.422.583.284.438.2117.4874.40
Sortino Ratio (0%)0.370.821.562.863.644.949.4321.45100.59

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.