Silicon Valley Quantitative Advisors : UQP Large

Year-to-Date: 5.79%
Dec Performance: 2.74%

Min Investment: $ 500k
Mgmt. Fee: 1.20%
Perf. Fee: 20.00%

Annualized Vol: 23.49%
Sharpe (RFR=1%): 0.18
CAROR: 2.47%

Assets: $ 3.0M
Worst DD: -37.21
S&P Correlation: -0.16

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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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 1/2009
UQP Large	2.74	-3.78	-5.79	-5.79	-26.45	-23.21	56.45	30.80
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	287.15
+/- S&P 500	-0.12	-12.31	-34.65	-34.65	-69.29	-78.53	-130.29	-256.35

Strategy Description

Investment Strategy

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 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.

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

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Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-32.36	55	-	3/1/2015	10/1/2019
-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

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
4.71	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
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

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
-11.11	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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	132.00	130.00	127.00	121.00	115.00	109.00	97.00	85.00	73.00
Percent Profitable	49.24	43.85	48.03	43.80	44.35	48.62	59.79	82.35	91.78
Average Period Return	0.43	1.20	2.82	6.61	10.89	14.07	19.04	26.61	40.97
Average Gain	5.46	10.65	15.24	27.61	37.35	41.85	42.87	35.83	45.73
Average Loss	-4.45	-6.18	-8.67	-9.75	-10.19	-12.23	-16.39	-16.40	-12.13
Best Period	26.18	49.57	78.14	92.25	90.32	84.99	94.18	74.70	137.89
Worst Period	-22.81	-21.49	-21.65	-29.67	-25.26	-33.48	-28.82	-26.41	-23.21
Standard Deviation	6.78	11.35	17.93	26.51	30.22	31.69	33.73	25.58	31.32
Gain Standard Deviation	5.18	10.24	18.63	27.76	27.36	22.49	21.19	17.30	28.05
Loss Standard Deviation	4.02	4.84	4.88	6.36	6.35	6.76	6.80	6.58	7.12
Sharpe Ratio (1%)	0.05	0.08	0.13	0.21	0.31	0.38	0.47	0.88	1.15
Average Gain / Average Loss	1.23	1.72	1.76	2.83	3.67	3.42	2.62	2.18	3.77
Profit / Loss Ratio	1.19	1.35	1.63	2.21	2.92	3.24	3.89	10.20	42.10
Downside Deviation (10%)	4.48	6.62	8.78	12.09	14.12	16.90	20.92	16.84	12.90
Downside Deviation (5%)	4.30	6.02	7.47	9.35	9.91	11.28	13.03	9.00	5.28
Downside Deviation (0%)	4.26	5.87	7.16	8.71	8.94	9.99	11.23	7.39	3.94
Sortino Ratio (10%)	0.00	0.00	0.04	0.13	0.23	0.23	0.16	0.30	1.03
Sortino Ratio (5%)	0.08	0.16	0.31	0.60	0.95	1.07	1.23	2.51	6.79
Sortino Ratio (0%)	0.10	0.20	0.39	0.76	1.22	1.41	1.70	3.60	10.39

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	9	1.92	11/2019
Diversified Trader Index	Month	9	4.99	4/2019
Systematic Trader Index	Month	8	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	4.99	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
Diversified Trader Index	Month	10	4.68	11/2018
Trend Following Strategy Index	Month	7	4.68	11/2018
IASG CTA Index	Month	10	6.05	8/2018
Trend Following Strategy Index	Month	9	6.05	8/2018
Diversified Trader 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.

^#9

Top Performer

TREND FOLLOWING STRATEGY INDEX

NOVEMBER
2019

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More Programs by Silicon Valley Quantitative Advisors

Program Name	CAROR
UQP Small	13.36%
US Quantitative Portfolio (UQP)	10.82%
UQP Large	2.47%

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Silicon Valley Quantitative Advisors : UQP Large

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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