Silicon Valley Quantitative Advisors : US Quantitative Portfolio (UQP)

Year-to-Date: 6.74%
Sep Performance: -1.25%

Min Investment: $ 200k
Mgmt. Fee: 1.20%
Perf. Fee: 20.00%

Annualized Vol: 30.21%
Sharpe (RFR=1%): 0.43
CAROR: 10.04%

Assets: $ 1.7M
Worst DD: -39.54
S&P Correlation: -0.21

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Growth of 1,000 - VAMI

Monthly Performance

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	Sep	Qtr	YTD	1yr	3yr	5yr	10yr	Since 11/1999
US Quantitative Portfolio (UQP)	-1.25	3.09	-6.74	-10.53	-15.63	-24.34	24.20	640.18
S&P 500	-3.92	8.47	4.09	12.98	32.33	73.37	191.64	139.63
+/- S&P 500	2.67	-5.39	-10.84	-23.50	-47.96	-97.71	-167.44	500.55

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%

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%

Summary

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.

Compare to:

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Index: Chart Type:

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:

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

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
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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	251.00	249.00	246.00	240.00	234.00	228.00	216.00	204.00	192.00
Percent Profitable	49.40	50.60	51.22	53.75	62.39	64.91	75.00	87.75	93.75
Average Period Return	1.17	3.58	6.73	12.64	17.40	22.70	35.47	48.22	65.69
Average Gain	7.76	14.96	22.36	32.83	34.40	41.35	52.40	57.63	71.65
Average Loss	-5.27	-8.09	-9.68	-10.82	-10.81	-11.81	-15.33	-19.21	-23.83
Best Period	35.72	86.55	71.85	98.69	121.94	177.80	150.31	196.72	245.31
Worst Period	-25.64	-32.03	-39.54	-31.07	-24.39	-32.09	-29.74	-31.80	-33.11
Standard Deviation	8.72	16.36	21.82	28.69	30.74	33.12	42.07	42.90	51.26
Gain Standard Deviation	6.71	15.13	19.56	24.65	26.89	25.91	34.52	36.91	47.21
Loss Standard Deviation	4.74	6.21	6.93	6.88	5.93	6.69	7.39	7.88	6.53
Sharpe Ratio (1%)	0.12	0.20	0.29	0.41	0.52	0.62	0.77	1.03	1.18
Average Gain / Average Loss	1.47	1.85	2.31	3.03	3.18	3.50	3.42	3.00	3.01
Profit / Loss Ratio	1.44	1.90	2.42	3.53	5.28	6.48	10.26	21.48	45.11
Downside Deviation (10%)	5.25	7.86	9.77	11.76	11.96	13.74	16.14	14.78	13.89
Downside Deviation (5%)	5.08	7.29	8.59	9.29	8.38	9.09	9.88	8.58	7.41
Downside Deviation (0%)	5.03	7.15	8.30	8.71	7.55	8.03	8.49	7.25	6.16
Sortino Ratio (10%)	0.14	0.30	0.44	0.65	0.82	0.91	1.22	1.80	2.74
Sortino Ratio (5%)	0.21	0.46	0.73	1.25	1.90	2.28	3.28	5.14	8.18
Sortino Ratio (0%)	0.23	0.50	0.81	1.45	2.30	2.83	4.18	6.65	10.67

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.

^#6

Top Performer

IASG CTA INDEX

2014

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More Programs by Silicon Valley Quantitative Advisors

Program Name	CAROR
UQP Small	12.81%
US Quantitative Portfolio (UQP)	10.04%
UQP Large	1.58%

IASG Activity

Blends 121
Portfolios 15
Watchlists 41

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Silicon Valley Quantitative Advisors : US Quantitative Portfolio (UQP)

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Silicon Valley Quantitative Advisors : US Quantitative Portfolio (UQP)

Growth of 1,000 - VAMI

Monthly Performance

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Trading

Holding Periods

Decision-Making

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Time Windows Analysis

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