Tracking CTAs since 1994
Quantitative Investment Mgt LLC
Quantiative Cipher Program
Principal(s): Portfolio Managers: Chris Obenshain & Bland Painter.
Strategy: Quantitative / Diversified
Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
The Quantitative Cipher Program utilizes machine learning techniques to build a diverse set of models that seek to forecast short-term market movements. The strategy developed by Chris and Bland is a quantitative short-term strategy designed to identify top-down market regimes and systematically uncover patterns in price data. The Program utilizes hundreds of models that make hourly and daily predictions of probable market or security direction over the short-term.
The Quantitative Cipher Program is guided by Co-Portfolio Managers, Chris Obenshain and Bland Painter. Chris has over 20 years of trading experience. In 2005, Chris founded Cipher Capital Management LLC ("CCM"), a commodity trading advisor that traded short-term strategies across multiple futures markets. After many years of managing a discretionary trading system, CCM launched its current strategy in March of 2019. Beginning in January 2024, the Quantitative Cipher Program is managed by Cipher Investment Management, LLC ("CIM"), a newly formed advisor owned by Quantitative Investment Management, LLC ("QIM"), Chris and Bland.
QIM's research team is guided by Jaffray Woodriff's overarching philosophy over the past 30 years that evidence - and not investment hypotheses - is the only basis on which models should be built.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -2.90% | -3.54% | – | – | – | – | – | – | – | – | – | – | -6.34% | -6.34% |
| 2025 | -0.24% | 0.23% | 3.11% | 1.83% | 0.74% | 0.88% | 2.25% | 0.48% | 0.95% | 1.05% | -0.54% | -1.81% | 9.22% | -2.34% |
| 2024 | 0.33% | 1.24% | -1.47% | 1.32% | 1.94% | 0.69% | 0.59% | -0.26% | -1.31% | -3.10% | -0.80% | -7.41% | -8.27% | -12.39% |
| 2023 | 0.54% | 1.01% | -0.87% | 1.06% | -0.67% | 0.15% | 0.37% | 0.24% | 0.26% | -0.34% | 0.62% | 0.14% | 2.53% | -0.87% |
| 2022 | 2.14% | 1.05% | 1.96% | 2.99% | 1.97% | 2.07% | 0.95% | 1.07% | 1.41% | 2.82% | 0.17% | 0.55% | 20.88% | 0.00% |
| 2021 | 1.15% | 3.26% | -0.98% | 0.92% | -0.75% | -3.18% | -0.95% | 3.78% | 0.45% | -0.29% | -0.02% | 2.24% | 5.54% | -4.89% |
| 2020 | 0.94% | 2.51% | 1.62% | 1.94% | 0.21% | 1.11% | -1.15% | -0.89% | 0.60% | -2.22% | -0.28% | 0.71% | 5.12% | -3.90% |
| 2019 | – | – | 0.79% | 1.38% | 1.87% | 1.13% | 0.66% | -4.70% | 2.31% | -1.34% | 0.63% | 0.59% | 3.17% | -4.70% |
Track Record Compiled By: N/A
Accounting Notes: Net returns for the Quantitative Cipher Program are calculated assuming 0% management fees and 30% incentive fees for a representative investor since the March 2019 launch of the Quantitative Cipher Program, which reflects the most fees paid by any investor. Returns for each month for the period from 3/1/19 through 12/31/23 were calculated by summing a daily series of aggregate returns for all client managed accounts in the Quantitative Cipher Program; the returns series then switches on 1/1/24 to the monthly return for the Cipher Fund at 1X leverage. In addition to the fees referenced above, such returns are shown net of all expenses incurred by the Cipher Fund at 1X leverage. A direct investment in the Quantitative Cipher Program is not possible; an individual account or particular trading portfolio may have realized more or less favorable results. Information herein that is related to the latest month’s performance is based on estimated data.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.>
Risk Disclosure
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.