Silicon Valley Quantitative Advisors : US Quantitative Portfolio (UQP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 10.11% Mar Performance 2.71% Min Investment $ 200k Mgmt. Fee 1.20% Perf. Fee 20.00% Annualized Vol 29.98% Sharpe (RFR=1%) 0.47 CAROR 11.36% Assets $ 2.5M Worst DD -39.54 S&P Correlation -0.19 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since11/1999 US Quantitative Portfolio (UQP) 2.71 10.11 10.11 26.90 20.29 2.35 33.95 902.06 S&P 500 4.24 9.21 9.21 58.70 55.31 97.12 206.17 192.27 +/- S&P 500 -1.53 0.90 0.90 -31.80 -35.02 -94.77 -172.22 709.79 Strategy Description SummaryUS Quantitative Portfolio (UQP) trades US exchange traded products on a daily basis with no exposure to stock index contracts. UQP is not a pure trend following program with over a one decade client track record. Reduced leverage version available upon request.... Read More Account & Fees Type Managed Account Minimum Investment $ 200k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 2.00 Management Fee 1.20% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 450 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD -30.00% Worst Peak-to-Trough 40.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 5.00% 4-12 Months 40.00% 1-3 Months 50.00% 1-30 Days 5.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Currency Futures 20.00% Energy 20.00% Softs 20.00% Interest Rates 15.00% Industrial Metals 10.00% Precious Metals 5.00% Grains 5.00% Livestock 5.00% SummaryUS Quantitative Portfolio (UQP) trades US exchange traded products on a daily basis with no exposure to stock index contracts. UQP is not a pure trend following program with over a one decade client track record. Reduced leverage version available upon request.Investment StrategySystematic based on trend following with unique algorithms that tend to differ from other trend following programs around the turning points in the markets traded producing diversification even among trend following programs. Risk ManagementDiversified with maximum position and sector limits. Utilizes a unique non-linear risk management strategy. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -39.54 6 5 10/1/2001 4/1/2002 -36.81 7 5 2/1/2003 9/1/2003 -35.67 59 - 3/1/2015 2/1/2020 -34.49 15 2 11/1/2004 2/1/2006 -34.08 27 11 9/1/2011 12/1/2013 -32.58 11 14 9/1/2006 8/1/2007 -23.86 2 3 9/1/2002 11/1/2002 -23.60 5 3 3/1/2004 8/1/2004 -22.83 11 4 5/1/2009 4/1/2010 -17.21 2 2 1/1/2000 3/1/2000 -15.01 2 2 5/1/2001 7/1/2001 -9.79 3 1 5/1/2006 8/1/2006 -9.71 2 1 5/1/2000 7/1/2000 -9.64 4 1 12/1/2008 4/1/2009 -8.41 1 1 10/1/2010 11/1/2010 -6.38 2 1 4/1/2011 6/1/2011 -4.94 1 1 8/1/2000 9/1/2000 -3.56 1 1 3/1/2001 4/1/2001 -1.57 1 1 7/1/2011 8/1/2011 -1.32 1 1 1/1/2015 2/1/2015 -1.05 1 1 12/1/2000 1/1/2001 -0.90 1 1 1/1/0001 11/1/1999 Show More Consecutive Gains Run-up Length (Mos.) Start End 86.55 3 3/1/2006 5/1/2006 83.03 8 6/1/2014 1/1/2015 69.41 5 8/1/2008 12/1/2008 66.96 5 5/1/2002 9/1/2002 50.28 4 12/1/2003 3/1/2004 48.61 3 8/1/2001 10/1/2001 45.70 6 5/1/2010 10/1/2010 43.26 3 12/1/2002 2/1/2003 36.13 5 12/1/2010 4/1/2011 35.38 6 10/1/2020 3/1/2021 35.29 3 9/1/2004 11/1/2004 33.56 2 4/1/2003 5/1/2003 33.37 2 12/1/1999 1/1/2000 29.57 2 4/1/2000 5/1/2000 27.79 1 8/1/2000 8/1/2000 26.86 3 10/1/2000 12/1/2000 24.50 3 9/1/2007 11/1/2007 23.38 3 1/1/2008 3/1/2008 21.71 5 11/1/2012 3/1/2013 18.15 1 5/1/2012 5/1/2012 16.50 1 5/1/2009 5/1/2009 14.91 4 1/1/2014 4/1/2014 14.38 1 11/1/2009 11/1/2009 13.11 1 9/1/2011 9/1/2011 12.30 4 11/1/2015 2/1/2016 11.38 2 2/1/2001 3/1/2001 11.35 1 3/1/2020 3/1/2020 10.86 1 9/1/2006 9/1/2006 10.66 1 4/1/2007 4/1/2007 9.99 2 5/1/2005 6/1/2005 9.42 1 10/1/2003 10/1/2003 9.14 1 6/1/2016 6/1/2016 7.58 1 8/1/2019 8/1/2019 7.30 1 11/1/2016 11/1/2016 6.94 1 7/1/2011 7/1/2011 6.40 2 2/1/2005 3/1/2005 5.90 1 9/1/2009 9/1/2009 5.90 1 5/1/2013 5/1/2013 5.72 2 4/1/2018 5/1/2018 5.40 1 8/1/2018 8/1/2018 5.21 4 11/1/2011 2/1/2012 5.17 1 10/1/2017 10/1/2017 5.10 1 7/1/2012 7/1/2012 4.94 1 9/1/2015 9/1/2015 4.89 1 5/1/2001 5/1/2001 4.63 1 4/1/2019 4/1/2019 4.39 2 7/1/2020 8/1/2020 4.35 1 4/1/2016 4/1/2016 4.27 2 11/1/2019 12/1/2019 3.99 1 11/1/2018 11/1/2018 3.98 1 3/1/2015 3/1/2015 3.63 2 1/1/2018 2/1/2018 3.46 1 11/1/2006 11/1/2006 3.46 1 11/1/2005 11/1/2005 1.85 2 1/1/2019 2/1/2019 1.78 1 2/1/2010 2/1/2010 0.81 1 4/1/2017 4/1/2017 0.73 1 10/1/2013 10/1/2013 0.41 1 1/1/2007 1/1/2007 0.33 1 5/1/2008 5/1/2008 Show More Consecutive Losses Run-up Length (Mos.) Start End -39.54 6 11/1/2001 4/1/2002 -36.38 4 6/1/2003 9/1/2003 -25.64 1 3/1/2003 3/1/2003 -23.86 2 10/1/2002 11/1/2002 -23.60 5 4/1/2004 8/1/2004 -22.90 4 5/1/2007 8/1/2007 -20.41 1 10/1/2011 10/1/2011 -19.06 3 6/1/2009 8/1/2009 -17.85 4 6/1/2013 9/1/2013 -17.21 2 2/1/2000 3/1/2000 -17.04 4 7/1/2005 10/1/2005 -16.07 1 4/1/2005 4/1/2005 -15.96 2 2/1/2007 3/1/2007 -15.44 5 4/1/2015 8/1/2015 -15.01 2 12/1/2009 1/1/2010 -15.01 2 6/1/2001 7/1/2001 -13.70 2 6/1/2008 7/1/2008 -12.61 3 8/1/2012 10/1/2012 -12.37 3 12/1/2005 2/1/2006 -12.20 1 6/1/2012 6/1/2012 -11.89 2 9/1/2019 10/1/2019 -11.72 2 3/1/2012 4/1/2012 -11.66 2 11/1/2017 12/1/2017 -11.33 2 12/1/2004 1/1/2005 -11.08 1 5/1/2014 5/1/2014 -10.85 4 12/1/2016 3/1/2017 -10.65 2 1/1/2020 2/1/2020 -9.79 3 6/1/2006 8/1/2006 -9.71 2 6/1/2000 7/1/2000 -9.64 4 1/1/2009 4/1/2009 -9.07 3 4/1/2020 6/1/2020 -8.88 1 4/1/2008 4/1/2008 -8.41 1 11/1/2010 11/1/2010 -7.96 5 5/1/2017 9/1/2017 -7.49 1 4/1/2013 4/1/2013 -6.98 1 10/1/2006 10/1/2006 -6.84 3 5/1/2019 7/1/2019 -6.51 1 12/1/2018 12/1/2018 -6.38 2 5/1/2011 6/1/2011 -6.12 4 7/1/2016 10/1/2016 -5.98 1 10/1/2015 10/1/2015 -5.58 1 5/1/2016 5/1/2016 -5.21 1 3/1/2016 3/1/2016 -5.14 2 11/1/2013 12/1/2013 -5.04 2 9/1/2018 10/1/2018 -4.94 1 10/1/2009 10/1/2009 -4.94 1 9/1/2000 9/1/2000 -4.55 1 12/1/2007 12/1/2007 -4.28 2 3/1/2010 4/1/2010 -3.58 1 3/1/2019 3/1/2019 -3.56 1 4/1/2001 4/1/2001 -2.69 1 12/1/2006 12/1/2006 -2.11 2 6/1/2018 7/1/2018 -1.57 1 8/1/2011 8/1/2011 -1.38 1 3/1/2018 3/1/2018 -1.32 1 2/1/2015 2/1/2015 -1.25 1 9/1/2020 9/1/2020 -1.05 1 1/1/2001 1/1/2001 -0.90 1 11/1/1999 11/1/1999 -0.13 1 11/1/2003 11/1/2003 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods257.003.006.0012.0018.0024.0036.0048.0060.00 Percent Profitable50.58100.00100.0041.6722.2237.5052.788.3315.00 Average Period Return1.266.7221.613.75-3.36-1.74-0.57-10.83-10.61 Average Gain7.646.7221.6117.6515.568.706.132.604.34 Average Loss-5.27-6.18-8.77-8.00-8.06-12.05-13.25 Best Period35.7210.1135.3826.9021.1321.6420.295.998.32 Worst Period-25.642.852.07-9.07-14.28-13.92-14.87-24.99-27.57 Standard Deviation8.663.6512.7613.4711.149.948.807.719.53 Gain Standard Deviation6.613.6512.768.854.947.735.602.572.79 Loss Standard Deviation4.742.133.884.044.616.807.65 Sharpe Ratio (1%)0.141.771.650.20-0.44-0.38-0.41-1.93-1.65 Average Gain / Average Loss1.452.861.771.090.760.220.33 Profit / Loss Ratio1.492.040.510.650.850.020.06 Downside Deviation (10%)5.190.168.6814.8015.1618.4833.2739.39 Downside Deviation (5%)5.025.699.648.508.2616.7318.33 Downside Deviation (0%)4.974.958.417.046.3413.2114.07 Sortino Ratio (10%)0.16117.33-0.14-0.74-0.79-0.88-0.97-0.97 Sortino Ratio (5%)0.240.48-0.50-0.44-0.44-0.89-0.86 Sortino Ratio (0%)0.250.76-0.40-0.25-0.09-0.82-0.75 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index Annual 6 76.46 2014 IASG CTA Index Month 4 25.13 9/2014 Trend Following Strategy Index Month 3 25.13 9/2014 Systematic Trader Index Month 3 25.13 9/2014 Diversified Trader Index Month 3 25.13 9/2014 Trend Following Strategy Index Month 7 3.99 1/2014 Trend Following Strategy Index Month 8 5.90 5/2013 Systematic Trader Index Month 9 5.90 5/2013 Diversified Trader Index Month 9 6.35 2/2013 Systematic Trader Index Month 8 6.35 2/2013 Trend Following Strategy Index Month 9 6.35 2/2013 Systematic Trader Index Month 6 7.76 12/2012 Trend Following Strategy Index Month 6 7.76 12/2012 Diversified Trader Index Month 5 7.76 12/2012 IASG CTA Index Month 6 7.76 12/2012 Systematic Trader Index Month 6 13.11 9/2011 Diversified Trader Index Month 7 13.11 9/2011 Trend Following Strategy Index Month 2 13.11 9/2011 IASG CTA Index Month 8 13.11 9/2011 Trend Following Strategy Index Month 7 3.96 1/2011 Trend Following Strategy Index Month 8 16.07 12/2010 Systematic Trader Index Month 9 16.07 12/2010 Trend Following Strategy Index Month 10 5.98 6/2010 Systematic Trader Index Month 6 17.23 5/2010 IASG CTA Index Month 6 17.23 5/2010 Diversified Trader Index Month 5 17.23 5/2010 Trend Following Strategy Index Month 6 17.23 5/2010 Systematic Trader Index Month 9 16.50 5/2009 Trend Following Strategy Index Month 9 16.50 5/2009 Trend Following Strategy Index Month 10 9.96 9/2008 Trend Following Strategy Index Month 9 5.19 3/2008 Trend Following Strategy Index Month 9 10.66 4/2007 IASG CTA Index Annual 3 55.42 2006 Trend Following Strategy Index Month 3 10.86 9/2006 Diversified Trader Index Month 2 10.86 9/2006 Systematic Trader Index Month 3 10.86 9/2006 IASG CTA Index Month 3 10.86 9/2006 IASG CTA Index Month 1 17.18 5/2006 Trend Following Strategy Index Month 1 17.18 5/2006 Systematic Trader Index Month 1 17.18 5/2006 Diversified Trader Index Month 1 17.18 5/2006 Diversified Trader Index Month 1 35.72 4/2006 Systematic Trader Index Month 1 35.72 4/2006 Trend Following Strategy Index Month 1 35.72 4/2006 IASG CTA Index Month 1 35.72 4/2006 IASG CTA Index Month 1 17.30 3/2006 Trend Following Strategy Index Month 1 17.30 3/2006 Diversified Trader Index Month 1 17.30 3/2006 Systematic Trader Index Month 1 17.30 3/2006 Trend Following Strategy Index Month 7 5.39 3/2005 Diversified Trader Index Month 7 5.39 3/2005 Systematic Trader Index Month 7 5.39 3/2005 IASG CTA Index Month 9 5.39 3/2005 IASG CTA Index Annual 10 33.85 2004 IASG CTA Index 5 Year 5 200.40 1999 - 2004 Trend Following Strategy Index Month 2 11.46 10/2004 Systematic Trader Index Month 3 11.46 10/2004 IASG CTA Index Month 4 11.46 10/2004 Diversified Trader Index Month 3 11.46 10/2004 Systematic Trader Index Month 3 11.72 9/2004 Trend Following Strategy Index Month 3 11.72 9/2004 Diversified Trader Index Month 4 11.72 9/2004 IASG CTA Index Month 5 11.72 9/2004 IASG CTA Index Month 2 22.58 2/2004 Systematic Trader Index Month 1 22.58 2/2004 Diversified Trader Index Month 1 22.58 2/2004 Trend Following Strategy Index Month 1 22.58 2/2004 Systematic Trader Index Month 1 6.79 1/2004 Trend Following Strategy Index Month 1 6.79 1/2004 IASG CTA Index Month 3 6.79 1/2004 Diversified Trader Index Month 2 6.79 1/2004 IASG CTA Index Month 7 14.46 12/2003 Systematic Trader Index Month 7 14.46 12/2003 Diversified Trader Index Month 7 14.46 12/2003 Trend Following Strategy Index Month 7 14.46 12/2003 Systematic Trader Index Month 6 24.79 5/2003 Trend Following Strategy Index Month 6 24.79 5/2003 Diversified Trader Index Month 5 24.79 5/2003 IASG CTA Index Month 6 24.79 5/2003 Trend Following Strategy Index Month 5 7.03 4/2003 Systematic Trader Index Month 5 7.03 4/2003 IASG CTA Index Month 8 7.03 4/2003 Diversified Trader Index Month 7 7.03 4/2003 Diversified Trader Index Month 9 14.17 2/2003 IASG CTA Index Month 9 14.17 2/2003 Systematic Trader Index Month 8 14.17 2/2003 Trend Following Strategy Index Month 8 14.17 2/2003 IASG CTA Index 3 Year 3 128.26 1999 - 2002 Diversified Trader Index Month 4 24.16 6/2002 IASG CTA Index Month 4 24.16 6/2002 Trend Following Strategy Index Month 4 24.16 6/2002 Systematic Trader Index Month 4 24.16 6/2002 Systematic Trader Index Month 8 8.74 5/2002 Trend Following Strategy Index Month 8 8.74 5/2002 Diversified Trader Index Month 10 8.74 5/2002 Systematic Trader Index Month 8 14.48 10/2001 Diversified Trader Index Month 8 14.48 10/2001 IASG CTA Index Month 9 14.48 10/2001 Trend Following Strategy Index Month 7 14.48 10/2001 IASG CTA Index Month 4 20.94 9/2001 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel