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Recent Statistics
  • Apr Return: 0.75%
  • YTD Return: 1.44%
  • Annual CROR:1 15.02 %
  • Worst DD:2 -9.37%
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 1.19
  • Min Investment: $500,000
  • AUM:5 $9,455,476
  • Calmar Ratio:6 1.55
QuantScape manages Client accounts according to its proprietary U.S. Equity Index trading program. The program uses statistical analysis of a select group of broad-based equity indices to determine the bias, directional or stationary, of those equity indices. The identified bias can be an upward trend, a downward trend, a stationary trend, or no discernible bias. Additional analysis is then conducted to determine the strength of the bias and the level of confidence in the bias prediction. Finally, macroeconomic factors and market sentiment are considered, and positions are initiated via the trading of equity index futures or futures options.


Once QuantScape determines a tradable bias for a particular equity index, it then uses futures and/or futures options to structure a trade intended to maximize the returns for the level of risk it deems acceptable.

In executing the program, QuantScape may buy or sell futures on the equity indices. It may also initiate and adjust positions by buying or selling options on the futures. Options on futures that may be traded can be either call options or put options. In addition, the QuantScape may sell uncovered put or call options to effect the strategy. During periods of large, single directional moves in the markets, uncovered option selling may result in substantial losses for the Client. Trading futures and futures options involves the use of significant margin, with the attendant risks.

Risk management is a cornerstone of the QuantScape's trading program. Back testing, simulation, and qualitative macroeconomic analysis precede trading. Simulation of how various trade structures perform against historical market environments determines trade structure selection. Calibration trading quantifies market depth and liquidity of the products to be traded. Once a position is initiated, risk mapping, portfolio exposure analysis, and shock testing determine adjustments to be made over the horizon of the position. In addition, continuing research on capital allocation per trade and the optimal leverage for a Client's portfolio under changing market environment facilitates the ongoing objective of reducing return volatility while enhancing the Client account's risk/return profile. QuantScape is of the opinion that the trading program's profitability is as much about profit capture as about loss minimization.

The QuantScape can provide no assurance that its trading program will be profitable or will not result in losses for a Client. Under certain circumstances, the trading program may magnify the effects of adverse market movements, resulting in substantial losses to a Client's account. Consequently, Clients could face periodic large declines in the value of their accounts.

Ning Guan is the managing member and Principal of QuantScape since June of 2008. She is registered with the CFTC as an associated person since June 3, 2008; and she is an NFA Associate since June 3, 2008. Ms. Guan is the Chief Investment Officer of QuantScape and is responsible for the management of all client accounts. She has been conducting research on the trading program since June 2004. From June 2001 to August 2004, Ms. Guan was a partner at Pacifica Strategic Advisors LLC, an investment research boutique, where she served as director of analytics. From May 2000 to June 2001, she founded and ran Pacifica Ventures LLC, a venture advisory firm. From February 2000 to May 2000, she served as an independent advisor to a number of information technology start-ups companies. Prior to that, from July 1998 to February 2000, Ms. Guan was an associate in the Equity Financing Services division of Morgan Stanley. From April 1997 to June of 1998, she attended London Business School (see below). Prior to working in finance, from January 1995 to March 1997, Ms. Guan was a program manager at R.J. Krumm & Associates, an advisory firm which specialized in the use of statistical profiling for consumer marketing. She received a Master in Finance degree from the London Business School in 1998 (thesis, "Risk Management of a Reserve Portfolio in a Stochastic Environment"), a Masters of Science degree in mathematical computer science from the University of Illinois in 1995, and a Bachelor's degree in industrial economics from Renmin University, Beijing.


  • Trading Methodology
    80% Systematic
    20% Discretionary
  • Style Sub-Categories
    Option Writer
    Option Spread
    Volatility
    Quantitative
    Mean Reversion
  • Trading Style
    80% Option Trading
    20% Statistical Edge Capture
  • Market Allocation

  • Holding Period
    20% Medium Term
    80% Short Term
  • Sector
    US
    Contracts
    Futures
    Options

Performance Since January 2010

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 -0.96% 0.49% 1.17% 0.75%   1.44% -0.96%
2016 -6.75% 2.64% 5.45% 0.64% 1.62% 1.35% -0.48% 0.06% 2.37% -0.81% 4.01% 1.66% 11.84% -6.75%
2015 1.23% 5.17% 2.42% -0.60% 2.80% -0.48% 2.14% -4.90% -2.40% 5.93% 1.51% 2.26% 15.59% -7.18%
2014 -8.99% 11.53% 2.40% 1.61% -2.58% -2.85% 1.48% 3.92% -0.61% 1.67% 2.25% 1.53% 10.6% -8.99%
2013 0.79% 0.92% 1.46% 0.03% -1.73% 2.40% -1.79% -0.22% 5.11% 1.83% 0.32% 2.20% 11.72% -2%
2012 0.57% -0.51% 0.48% 0.97% -3.19% 5.04% 2.49% 1.14% 0.21% 0.99% -1.10% 2.21% 9.48% -3.19%

Years201020112012201320142015
ROR13.23%38.93%9.48%11.72%10.60%15.59%
Max DD-9.37%-3.64%-3.19%-2.00%-8.99%-7.18%

Years20162017 YTD
ROR11.84%1.44%
Max DD-6.75%-0.96%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING. THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

Program Information
  • Start Date: Jan-2010
  • New Money: Yes
  • Min Investment: $500,000
  • Fund Minimum: $0
  • Notional Funds: No
  • NFA Member: Yes
  • NFA Number: 0376322
  • Currency: US Dollar
  • AUM:5 $9,455,476
  • Annual CROR:1 : 15.02%
  • Worst Drawdown:2 -9.37 %
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 1.19
  • Calmar Ratio:6 1.55
  • Margin:7: 0
  • Mgt Fee: 2.00%
  • Incentive Fee: 20.00%
  • Other Fees: No
  • Avg Comm:8 $5.00
  • Max Comm:9:
  • Round Turns:10 5,000
Additional Information
  • Other Memberships: None Listed
  • Correlations: AG CTA Index: 0.180 | AG Systematic CTA Index: 0.119 |
  • Chart
    Chart
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • ++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.