Silicon Valley Quantitative Advisors : UQP Small

Year-to-Date
6.64%
Oct Performance
-7.60%
Min Investment
$ 200k
Mgmt. Fee
1.20%
Perf. Fee
20.00%
Annualized Vol
31.23%
Sharpe (RFR=1%)
0.52
CAROR
13.32%
Assets
$ 937k
Worst DD
-41.36
S&P Correlation
-0.23

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2000
UQP Small -7.60 -4.84 -6.64 -10.76 -18.71 -2.53 125.77 1,093.87
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 115.58
+/- S&P 500 -9.64 -6.76 -27.81 -22.76 -60.12 -51.52 -64.34 978.29

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 Small Program trades accounts less than $500,000 with... 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
7-14 Days
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
400 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Not Specified

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
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 Small Program trades accounts less than $500,000 with a $200,000 minimum. Per the NFA, the following disclosures appear in the SVQuant Disclosure Document: 1) From November 1999 through August 2001 and January 2006 through March 2009 SVQuant traded only proprietary and non-customer funds in the Small Account UQP 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
-41.36 15 3 11/1/2004 2/1/2006
-39.54 6 5 10/1/2001 4/1/2002
-36.80 7 5 2/1/2003 9/1/2003
-32.48 11 14 9/1/2006 8/1/2007
-31.04 27 11 9/1/2011 12/1/2013
-28.62 55 - 3/1/2015 10/1/2019
-23.86 2 3 9/1/2002 11/1/2002
-23.54 5 3 3/1/2004 8/1/2004
-20.52 11 2 5/1/2009 4/1/2010
-16.92 2 2 1/1/2000 3/1/2000
-15.01 2 2 5/1/2001 7/1/2001
-10.20 1 1 10/1/2010 11/1/2010
-8.64 3 2 12/1/2008 3/1/2009
-8.30 3 1 5/1/2006 8/1/2006
-6.54 1 1 6/1/2000 7/1/2000
-3.56 1 1 3/1/2001 4/1/2001
-3.21 1 1 5/1/2011 6/1/2011
-2.11 1 1 8/1/2000 9/1/2000
-1.05 1 1 12/1/2000 1/1/2001
-0.63 1 1 7/1/2011 8/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
95.85 10 6/1/2014 3/1/2015
86.05 3 3/1/2006 5/1/2006
80.00 5 8/1/2008 12/1/2008
72.57 5 5/1/2002 9/1/2002
61.06 6 5/1/2010 10/1/2010
53.40 4 12/1/2003 3/1/2004
52.15 3 8/1/2001 10/1/2001
44.41 6 12/1/2010 5/1/2011
43.26 3 12/1/2002 2/1/2003
35.15 3 9/1/2004 11/1/2004
33.57 3 10/1/2000 12/1/2000
33.56 2 4/1/2003 5/1/2003
31.46 3 4/1/2000 6/1/2000
27.79 1 8/1/2000 8/1/2000
25.35 5 11/1/2012 3/1/2013
24.40 3 9/1/2007 11/1/2007
23.72 3 1/1/2008 3/1/2008
22.71 1 1/1/2000 1/1/2000
15.39 1 5/1/2009 5/1/2009
14.86 1 5/1/2012 5/1/2012
14.44 1 11/1/2009 11/1/2009
14.22 2 2/1/2001 3/1/2001
13.24 4 1/1/2014 4/1/2014
13.05 1 9/1/2011 9/1/2011
12.04 1 9/1/2006 9/1/2006
10.61 1 4/1/2007 4/1/2007
9.42 1 10/1/2003 10/1/2003
8.02 1 6/1/2016 6/1/2016
6.99 1 5/1/2013 5/1/2013
6.75 1 8/1/2019 8/1/2019
6.53 1 7/1/2012 7/1/2012
6.37 2 2/1/2005 3/1/2005
6.25 2 4/1/2018 5/1/2018
6.17 1 9/1/2009 9/1/2009
6.15 1 10/1/2017 10/1/2017
5.82 1 7/1/2011 7/1/2011
5.04 1 5/1/2001 5/1/2001
4.40 3 11/1/2011 1/1/2012
4.31 1 11/1/2015 11/1/2015
4.22 2 1/1/2018 2/1/2018
3.89 1 6/1/2005 6/1/2005
3.74 1 4/1/2019 4/1/2019
3.63 1 8/1/2018 8/1/2018
3.56 1 11/1/2016 11/1/2016
3.45 1 11/1/2005 11/1/2005
3.44 1 11/1/2006 11/1/2006
2.79 2 8/1/2015 9/1/2015
2.78 1 2/1/2010 2/1/2010
2.58 2 1/1/2019 2/1/2019
2.32 1 2/1/2016 2/1/2016
2.13 1 11/1/2018 11/1/2018
1.76 1 4/1/2016 4/1/2016
1.67 2 4/1/2017 5/1/2017
0.85 1 8/1/2016 8/1/2016
0.51 1 10/1/2013 10/1/2013
0.44 1 8/1/2013 8/1/2013
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
-36.36 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
-23.54 5 4/1/2004 8/1/2004
-22.83 4 5/1/2007 8/1/2007
-20.92 2 4/1/2005 5/1/2005
-18.75 3 6/1/2009 8/1/2009
-18.02 1 10/1/2011 10/1/2011
-16.96 4 7/1/2005 10/1/2005
-16.92 2 2/1/2000 3/1/2000
-15.90 2 2/1/2007 3/1/2007
-15.01 2 6/1/2001 7/1/2001
-14.73 2 6/1/2013 7/1/2013
-14.01 3 8/1/2012 10/1/2012
-13.97 2 12/1/2009 1/1/2010
-13.93 4 4/1/2015 7/1/2015
-13.64 2 6/1/2008 7/1/2008
-12.72 2 11/1/2017 12/1/2017
-12.31 3 12/1/2005 2/1/2006
-12.15 1 6/1/2012 6/1/2012
-11.70 3 2/1/2012 4/1/2012
-11.04 1 5/1/2014 5/1/2014
-10.92 2 12/1/2004 1/1/2005
-10.86 2 9/1/2019 10/1/2019
-10.20 1 11/1/2010 11/1/2010
-8.99 4 12/1/2016 3/1/2017
-8.85 1 4/1/2008 4/1/2008
-8.64 4 1/1/2009 4/1/2009
-8.30 3 6/1/2006 8/1/2006
-7.94 1 4/1/2013 4/1/2013
-6.95 1 10/1/2006 10/1/2006
-6.54 1 7/1/2000 7/1/2000
-6.40 1 12/1/2018 12/1/2018
-5.26 4 6/1/2017 9/1/2017
-4.74 1 10/1/2009 10/1/2009
-4.66 3 5/1/2019 7/1/2019
-4.66 1 5/1/2016 5/1/2016
-4.53 1 12/1/2007 12/1/2007
-4.42 2 3/1/2010 4/1/2010
-3.97 1 9/1/2013 9/1/2013
-3.59 1 10/1/2015 10/1/2015
-3.56 1 4/1/2001 4/1/2001
-3.30 1 3/1/2019 3/1/2019
-3.27 2 11/1/2013 12/1/2013
-3.21 1 6/1/2011 6/1/2011
-3.20 2 9/1/2018 10/1/2018
-2.81 1 7/1/2016 7/1/2016
-2.68 1 12/1/2006 12/1/2006
-2.64 2 9/1/2016 10/1/2016
-2.64 1 3/1/2016 3/1/2016
-2.11 1 9/1/2000 9/1/2000
-1.46 2 6/1/2018 7/1/2018
-1.05 1 3/1/2018 3/1/2018
-1.05 1 1/1/2001 1/1/2001
-0.93 2 12/1/2015 1/1/2016
-0.63 1 8/1/2011 8/1/2011
-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 Periods238.00236.00233.00227.00221.00215.00203.00191.00179.00
Percent Profitable50.8453.8154.5157.2765.1668.8477.3493.1998.32
Average Period Return1.444.438.8517.0723.5630.4249.5968.7993.14
Average Gain7.9315.5224.6837.7941.4649.1667.6174.8894.76
Average Loss-5.32-8.49-10.11-10.69-9.92-10.96-11.90-14.56-2.10
Best Period35.5486.0578.43132.02165.49122.27222.66287.30345.13
Worst Period-25.64-32.03-39.54-34.79-32.38-39.17-35.80-24.15-2.53
Standard Deviation9.0217.3524.2133.3436.4237.9953.9959.2768.22
Gain Standard Deviation7.1016.0621.7429.7432.9930.7348.1656.7667.64
Loss Standard Deviation4.966.417.878.247.027.016.864.770.38
Sharpe Ratio (1%)0.150.240.350.480.610.750.861.091.29
Average Gain / Average Loss1.491.832.443.544.184.485.685.1445.16
Profit / Loss Ratio1.562.132.924.747.819.9019.3970.422649.44
Downside Deviation (10%)5.287.9010.0011.6111.2012.5813.7310.155.26
Downside Deviation (5%)5.117.358.899.337.908.227.815.020.95
Downside Deviation (0%)5.077.228.638.807.167.256.523.980.27
Sortino Ratio (10%)0.200.410.641.041.431.602.464.6612.46
Sortino Ratio (5%)0.270.570.941.722.793.465.9612.9092.88
Sortino Ratio (0%)0.280.611.031.943.294.207.6017.27339.19

Top Performer Badges

Index Award Type Rank Performance Period

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