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Quantitative Investment Mgt LLC - Global Program



Principal(s): Jaffray Woodriff, Michael Geismar & Greyson Williams
Strategy: Quantitative / Diversified
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Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only++


401 East Market St. Suite 104
Charlottesville, VA 22902 USA
434.817.4800
http://www.quantitative.com
General: [email protected]
Marketing: [email protected]

Statistics & Program Information

Oct Return   1.83% Worst Drawdown (2)    -16.91% Minimum Investment   $20,000,000
YTD Return   -7.44% Losing Streak (3)    -14.31 % AUM (5)   $1,054,000,000
Annual CROR (1)   7.55% Sharpe Ratio (4)   0.68 Calmar Ratio (6)    N/A
Trading Methodology
95% Systematic
5% Discretionary
Style Sub-Categories
Pattern Recognition
Quantitative
Trading Style
50% Trend Following
50% Contrarian
Market Sector
38% Stock Indices
15% Currencies
31% Financials
5% Metals
8% Energies
2% Agriculturals
1% Softs
Diversified
Holding Period
10% Medium Term
90% Short Term
Geographic Sector:
Global
Contracts:
Futures

Start Date   Oct-2003 Currency   US Dollar Margin (7)   0.13
New Money   No AUM (5)   $1,054,000,000 Management Fee    0.00%
Min Investment    $20,000,000 Annual CROR 1    7.55% Incentive Fee    30.00%
Fund Minimum    $5,000,000 Losing Streak (3)    -14.31 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -16.91 % Avg Comm (8)   $4.00
NFA Member    Yes Sharpe Ratio (4)    0.68 Max Comm (9)   
NFA Number    0337987 Calmar Ratio (6)    N/A Round Turns (10)    1,000
Starting Date:  Oct-2003 Currency:  US Dollar
Open to New Investors:  No Current Assets:  $1,054,000,000
Open to US Investors:  Yes Annual CROR:  7.55%
Minimum Fund Investment:  $5,000,000 Worst Monthly Drawdown:  -16.91
Minimum Managed Account:  $20,000,000 Current Losing Streak:  -14.31 %
Domocile:   Calmar:  N/A
Subscriptions:  N/A Sharpe Ratio:  0.68
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Deutsche Bank
Management Fee:  0.00% Auditor:  Not Listed
Incentive Fee:  30.00% NFA Member:  Yes
Other Fees:  None FINRA Member:  No
Other Memberships:  None
Type of Fund:
Domicile:
Strategy:
Aggressive Growth
Track Record Prepared By: N/A
Correlations: AG CTA Index: 0.222              AG Systematic CTA Index: 0.217             

Trading Description, Risk Strategy & Background

Financial markets are not entirely efficient. Numerous small inefficiencies exist which can be exploited through the prudent use of robust quantitative analysis and predictive technologies. QIM currently employs numerous quantitative trading models that utilize pattern recognition to predict short and medium-term price movements. All models are tested across massive data sets that expose them to a gamut of market, economic, and political environments, as well as a wide range of timeframes and interactions. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading. The resultant system of models offers reliable signals that guide market timing and trade allocation.

The enduring success of any trading program relies heavily on the risk management used in implementing the strategy. QIM applies highly sophisticated risk management procedures that take into account the price, size, volatility, liquidity, and inter-relationships of the contracts traded. Each position in our portfolio is balanced in a manner that results in no individual market's P&L being more than 32% correlated to the P&L of the overall program on a daily basis.

On the portfolio level, account risk is monitored on a daily basis to target a specific standard deviation of daily returns. For the Global Program, this is equivalent to 12% annualized volatility, which is lower than most CTA programs. This volatility is similar to the S&P 500, but without the directional risk of the stock market. During significant drawdowns in equity, QIM reduces market exposure by scaling back the overall leverage.

Accounting Notes:

Client returns are calculated with a 0% management fee and a 30% incentive fee. Gross returns for the period from October 2003 through June 2005 are calculated from actual client managed account results. Starting with July 2005, the gross returns series switches to the actual aggregate results for the Global Funds at 1X.

Monthly Performance Since October 2003

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2019 -1.48% -4.22% -0.65% -2.56% -1.75% 3.47% 5.33% -5.53% -1.64% 1.83%   -7.44% -10.25%
2018 -1.37% -6.84% 1.30% 0.97% 3.55% 0.82% -2.93% 1.42% 0.19% -5.82% -0.57% 2.70% -6.93% -9.38%
2017 3.17% 1.06% 0.99% -0.09% -0.05% 0.18% 0.13% -2.93% 2.99% 2.42% -1.56% 1.05% 7.43% -2.93%
2016 2.59% 6.16% -2.98% 0.15% 1.59% 0.84% 0.14% 0.62% 1.92% -1.26% 2.51% 3.55% 16.69% -2.98%
2015 -0.18% 2.27% -1.42% 5.07% 0.73% 3.95% -1.46% 3.17% 4.60% 0.23% 4.07% -1.62% 20.82% -1.62%
2014 0.99% 0.43% -2.43% -4.90% -0.36% -0.13% -0.75% -1.39% 2.61% -2.88% -0.09% -3.90% -12.3% -13.53%

Annual Performance Since From Inception: Oct-2003

Years200320042005200620072008
ROR6.54%21.85%18.43%6.86%29.53%12.51%
Max DD-2.64%-9.50%-2.04%-2.31%-3.80%-7.59%

Years200920102011201220132014
ROR10.93%-3.08%4.99%4.65%-0.43%-12.30%
Max DD-3.94%-7.15%-6.71%-5.91%-7.11%-13.53%

Years20152016201720182019 YTD
ROR20.82%16.69%7.43%-6.93%-7.44%
Max DD-1.62%-2.98%-2.93%-9.38%-10.25%



PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.