Silicon Valley Quantitative Advisors : US Quantitative Portfolio (UQP)

Year-to-Date
2.75%
Apr Performance
4.63%
Min Investment
$ 200k
Mgmt. Fee
1.20%
Perf. Fee
20.00%
Annualized Vol
30.90%
Sharpe (RFR=1%)
0.48
CAROR
11.68%
Assets
$ 4.3M
Worst DD
-39.54
S&P Correlation
-0.21

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
11/1999
US Quantitative Portfolio (UQP) 4.63 2.54 2.75 1.80 -15.63 30.57 80.05 761.94
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 109.92
+/- S&P 500 0.70 -6.40 -14.76 -9.45 -56.83 -24.22 -154.00 652.03

Strategy Description

Summary

US 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

US 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 Strategy

Systematic 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 Management

Diversified with maximum position and sector limits. Utilizes a unique non-linear risk management strategy.

   

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
-39.54 6 5 10/1/2001 4/1/2002
-36.81 7 5 2/1/2003 9/1/2003
-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
-26.06 33 - 3/1/2015 12/1/2017
-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
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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
35.29 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
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
7.30 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
4.35 1 4/1/2016 4/1/2016
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
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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
-11.72 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
-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
-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
-6.51 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
-1.05 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods234.00232.00229.00223.00217.00211.00199.00187.00175.00
Percent Profitable50.4351.7253.2857.8565.9070.1481.4195.72100.00
Average Period Return1.314.007.5814.3519.5025.4940.2654.5372.86
Average Gain7.9215.5723.0332.8335.0941.3552.4057.6372.86
Average Loss-5.42-8.38-10.03-11.02-10.63-11.77-12.94-14.98
Best Period35.7286.5571.8598.69121.94177.80150.31196.72245.31
Worst Period-25.64-32.03-39.54-31.07-24.39-32.09-29.74-25.271.20
Standard Deviation8.9216.8222.3329.0430.8932.8440.3539.0447.26
Gain Standard Deviation6.7915.2519.5224.6526.7525.9134.5236.9147.26
Loss Standard Deviation4.886.357.107.266.047.097.288.48
Sharpe Ratio (1%)0.140.220.320.460.580.710.921.291.43
Average Gain / Average Loss1.461.862.302.983.303.514.053.85
Profit / Loss Ratio1.491.992.624.096.388.2517.7486.11
Downside Deviation (10%)5.347.999.8211.4511.3012.7412.998.244.87
Downside Deviation (5%)5.177.438.669.107.908.467.554.270.30
Downside Deviation (0%)5.137.298.388.557.137.496.383.50
Sortino Ratio (10%)0.170.350.520.821.051.201.894.009.28
Sortino Ratio (5%)0.240.510.821.472.282.784.9311.83228.27
Sortino Ratio (0%)0.260.550.901.682.743.406.3115.56

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Year Rolling 6 76.46 2013 - 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 Year Rolling 3 55.42 2005 - 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 Year Rolling 10 33.85 2003 - 2004
IASG CTA Index 5 Year Rolling 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 Rolling 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.