Silicon Valley Quantitative Advisors : UQP Large Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 17.44% May Performance 0.49% Min Investment $ 500k Mgmt. Fee 1.20% Perf. Fee 20.00% Annualized Vol 22.99% Sharpe (RFR=1%) 0.26 CAROR 4.46% Assets $ 2.1M Worst DD -37.21 S&P Correlation -0.13 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 May Qtr YTD 1yr 3yr 5yr 10yr Since1/2009 UQP Large 0.49 9.51 17.44 42.75 18.03 6.12 36.89 71.84 S&P 500 0.55 10.31 15.56 42.58 60.44 104.89 219.32 420.13 +/- S&P 500 -0.06 -0.80 1.88 0.17 -42.40 -98.77 -182.43 -348.30 Strategy Description Investment StrategyUS 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% Composition Investment StrategyUS 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. 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 -37.21 27 11 9/1/2011 12/1/2013 -37.10 59 - 3/1/2015 2/1/2020 -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 Show More Consecutive Gains Run-up Length (Mos.) Start End 91.36 8 6/1/2014 1/1/2015 42.91 8 10/1/2020 5/1/2021 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 11.66 1 3/1/2020 3/1/2020 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 4.71 2 11/1/2019 12/1/2019 4.68 1 11/1/2018 11/1/2018 4.24 1 7/1/2012 7/1/2012 4.20 2 7/1/2020 8/1/2020 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 Show More 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 -12.23 2 9/1/2019 10/1/2019 -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 -11.19 2 1/1/2020 2/1/2020 -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 -9.05 3 4/1/2020 6/1/2020 -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 -2.19 1 9/1/2020 9/1/2020 -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 Show More Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 8 6.27 4/2021 Trend Following Strategy Index Month 6 2.55 3/2021 Trend Following Strategy Index Month 5 1.76 10/2020 Trend Following Strategy Index Month 6 3.01 8/2020 Trend Following Strategy Index Month 9 2.74 12/2019 Trend Following Strategy Index Month 9 1.92 11/2019 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 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 IASG CTA Index Month 10 6.05 8/2018 Trend Following Strategy Index Month 9 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. x {{title}} x {{title}} Add Cancel