Silicon Valley Quantitative Advisors : UQP Large

Year-to-Date
2.51%
Aug Performance
7.85%
Min Investment
$ 500k
Mgmt. Fee
1.20%
Perf. Fee
20.00%
Annualized Vol
23.65%
Sharpe (RFR=1%)
0.21
CAROR
3.36%
Assets
$ 3.3M
Worst DD
-37.21
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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
UQP Large 7.85 2.02 2.51 -5.60 -14.88 36.89 67.92 42.32
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 250.68
+/- S&P 500 9.66 -4.31 -14.22 -6.45 -48.31 -7.70 -115.85 -208.36

Strategy Description

Investment Strategy

US QUANTITATIVE PORTFOLIO (UQP) is a fully systematic trading program using only US exchange based, US Dollar denominated futures contracts with no exposure to stock index products. It is not a pure trend follower. The Large Account minimum is $500,000 USD and will many... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 100k
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

Investment Strategy

US QUANTITATIVE PORTFOLIO (UQP) is a fully systematic trading program using only US exchange based, US Dollar denominated futures contracts with no exposure to stock index products. It is not a pure trend follower. The Large Account minimum is $500,000 USD and will many times have positions in additional futures contracts vs UQP Small Account. Over the last few years this has typically been concentrated in the Energy sector where the risk per trade is too large for UQP Small Account. Per the NFA, the following disclosures appear in the SVQuant Disclosure Document: 1) From January 2009 through June 2011 SVQuant traded only proprietary and non-customer funds in the Large Account UPQ program. 2) From April 2008 to present SVQuant is registered with the CFTC under NFA ID: 0311607. 3) On October 31, 2011 MF Global Inc (MFGI) went into SIPA bankruptcy. A significant number of SVQuant UQP accounts were held at MFGI. In December 2011 approximately 72% of account values previously at MFGI were released to their owners, i.e. SVQuant clients. Previous fully funded accounts began trading in December at a notional funding of ~72% or less. 4) All annual and year-to-date rates-of-return are computed on a compounded monthly basis. 5) Accounts did not pay 1.2% management fee due to full waiver or temporary fee waiver.

   

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
-37.21 27 11 9/1/2011 12/1/2013
-28.55 52 - 3/1/2015 7/1/2019
-27.02 11 8 5/1/2009 4/1/2010
-10.84 4 1 1/1/0001 4/1/2009
-9.50 2 3 4/1/2011 6/1/2011
-1.96 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
91.36 8 6/1/2014 1/1/2015
36.47 6 5/1/2010 10/1/2010
36.13 5 12/1/2010 4/1/2011
20.78 1 5/1/2012 5/1/2012
19.84 5 11/1/2012 3/1/2013
18.12 1 5/1/2009 5/1/2009
16.39 4 1/1/2014 4/1/2014
15.00 1 9/1/2011 9/1/2011
14.20 1 11/1/2009 11/1/2009
13.24 4 11/1/2015 2/1/2016
9.24 1 6/1/2016 6/1/2016
8.43 1 7/1/2011 7/1/2011
8.05 1 11/1/2016 11/1/2016
7.85 1 8/1/2019 8/1/2019
6.10 2 8/1/2018 9/1/2018
6.02 4 11/1/2011 2/1/2012
5.53 2 4/1/2018 5/1/2018
5.42 1 9/1/2009 9/1/2009
5.29 1 9/1/2015 9/1/2015
5.16 1 5/1/2013 5/1/2013
4.99 1 4/1/2019 4/1/2019
4.88 1 4/1/2016 4/1/2016
4.82 1 10/1/2017 10/1/2017
4.68 1 11/1/2018 11/1/2018
4.24 1 7/1/2012 7/1/2012
3.89 1 3/1/2015 3/1/2015
3.43 2 1/1/2018 2/1/2018
1.62 2 1/1/2019 2/1/2019
0.89 1 10/1/2013 10/1/2013
0.76 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.81 1 10/1/2011 10/1/2011
-20.52 5 12/1/2009 4/1/2010
-19.52 3 6/1/2009 8/1/2009
-17.91 4 6/1/2013 9/1/2013
-15.84 5 4/1/2015 8/1/2015
-12.92 2 3/1/2012 4/1/2012
-12.53 1 6/1/2012 6/1/2012
-11.65 3 8/1/2012 10/1/2012
-11.36 4 12/1/2016 3/1/2017
-11.26 2 11/1/2017 12/1/2017
-11.11 1 5/1/2014 5/1/2014
-10.84 4 1/1/2009 4/1/2009
-9.50 2 5/1/2011 6/1/2011
-8.89 5 5/1/2017 9/1/2017
-7.52 3 5/1/2019 7/1/2019
-7.44 1 11/1/2010 11/1/2010
-7.26 1 4/1/2013 4/1/2013
-6.55 1 12/1/2018 12/1/2018
-6.45 2 11/1/2013 12/1/2013
-6.41 4 7/1/2016 10/1/2016
-6.31 1 10/1/2015 10/1/2015
-5.91 1 10/1/2018 10/1/2018
-5.71 1 3/1/2016 3/1/2016
-5.69 1 5/1/2016 5/1/2016
-5.24 1 10/1/2009 10/1/2009
-3.67 1 3/1/2019 3/1/2019
-2.35 2 6/1/2018 7/1/2018
-2.18 1 8/1/2011 8/1/2011
-1.96 1 2/1/2015 2/1/2015
-1.49 1 3/1/2018 3/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods128.00126.00123.00117.00111.00105.0093.0081.0069.00
Percent Profitable49.2245.2448.7845.3045.9550.4862.3786.4295.65
Average Period Return0.501.403.127.2011.5914.9620.9228.8844.03
Average Gain5.5610.6515.5027.6137.3541.8542.8735.8346.37
Average Loss-4.40-6.24-8.67-9.70-10.31-12.46-15.45-15.37-7.47
Best Period26.1849.5778.1492.2590.3284.9994.1874.70137.89
Worst Period-22.81-21.49-21.65-29.67-25.26-33.48-25.30-26.41-10.02
Standard Deviation6.8311.4618.1226.7730.5231.9433.1724.0129.32
Gain Standard Deviation5.2310.2418.6827.7627.3622.4921.1917.3027.77
Loss Standard Deviation4.064.904.956.516.456.806.427.433.13
Sharpe Ratio (1%)0.060.100.140.230.330.410.541.031.33
Average Gain / Average Loss1.261.711.792.853.623.362.772.336.21
Profit / Loss Ratio1.231.411.702.363.083.424.6014.84136.59
Downside Deviation (10%)4.476.608.7311.9414.0316.7619.6414.678.97
Downside Deviation (5%)4.296.007.449.259.8811.2311.997.622.67
Downside Deviation (0%)4.255.857.138.628.929.9710.246.241.65
Sortino Ratio (10%)0.020.030.070.180.280.280.260.501.83
Sortino Ratio (5%)0.100.190.350.671.021.151.493.2614.55
Sortino Ratio (0%)0.120.240.440.841.301.502.044.6326.75

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 4.99 4/2019
Systematic Trader Index Month 8 4.99 4/2019
IASG CTA Index Month 9 4.99 4/2019
Diversified Trader Index Month 9 4.99 4/2019
Systematic Trader Index Month 8 4.99 4/2019
Diversified Trader Index Month 9 4.99 4/2019
IASG CTA Index Month 9 4.99 4/2019
Trend Following Strategy Index Month 7 4.99 4/2019
Trend Following Strategy Index Month 7 4.68 11/2018
Diversified Trader Index Month 10 4.68 11/2018
Diversified Trader Index Month 10 6.05 8/2018
Trend Following Strategy Index Month 9 6.05 8/2018
IASG CTA Index Month 10 6.05 8/2018
IASG CTA Index Month 8 3.92 5/2018
Trend Following Strategy Index Month 3 3.92 5/2018
Systematic Trader Index Month 4 3.92 5/2018
Diversified Trader Index Month 4 3.92 5/2018
Trend Following Strategy Index Month 5 1.86 2/2018

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