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Quantitative Investment Mgt LLC - Quantitative Global Fund LLC (3X)

Principal(s): Jaffray Woodriff, Michael Geismar, Greyson Williams
Strategy: Systematic Quantitative Leveraged Program
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Investment Restrictions: Qualified Eligible Persons Only++
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401 East Market St. Suite 104
Charlottesville, VA 22902 USA
434.817.4800
http://www.quantitative.com
Main E-Mail: [email protected]
Marketing E-Mail: [email protected]

Statistics & Program Information

Mar Return -6.81%	Worst Drawdown ⁽²⁾ -53.08%	Minimum Investment $1,000,000
YTD Return 2.03%	Losing Streak ⁽³⁾ -51.09 %	AUM⁽⁵⁾ $56,000,000
Annual CROR:¹ 10.81%	Sharpe Ratio ⁽⁴⁾ 0.45	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 95% Systematic 5% Discretionary	Style Sub-Categories Pattern Recognition Quantitative	Trading Style
Market Sector	Holding Period	Geographic Sector US Offshore Global Contracts: Futures Forex

Start Date Jun-2005	Currency US Dollars	Margin ⁽⁷⁾ 0%
New Money No	AUM ⁽⁵⁾ $56,000,000	Management Fee 0.00%
Min Investment $1,000,000	Annual CROR ¹ 10.81%	Incentive Fee 30.00%
Fund Minimum $1,000,000	Losing Streak ⁽³⁾ -51.09 %	Other Fees None
Notional Funds No	Worst Drawdown ⁽²⁾ -53.08 %	Avg Comm ⁽⁸⁾ 6
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.45	Max Comm ⁽⁹⁾ 6.00
NFA Number 0337987	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 9,000

Starting Date: Jun-2005	Currency: US Dollars
Open to New Investors: No	Current Assets: $56,000,000
Open to US Investors: Yes	Annual CROR: 10.81%
Minimum Fund Investment: $1,000,000	Worst Monthly Drawdown: -53.08
Minimum Managed Account: $1,000,000	Current Losing Streak: -51.09 %
Domocile: US or Cayman Islands	Calmar: N/A
Subscriptions: Monthly	Sharpe Ratio: 0.45
Redemptions: Monthly	US Attorney: Drinker Biddle Gardner Carton
Lock Up: 6 Months	Offshore Attorney: Not Listed
Hurdle Rate: No	Administrator: GlobeOp Financial Services
Administraton Fee: 0.12%	Prime Broker: Deutsche Bank
Management Fee: 0.00%	Auditor: Rothstein Kass & Company
Incentive Fee: 30.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund: Futures Fund	Domicile: US or Cayman Islands	Strategy: Aggressive Growth Quantitative Pattern Recognition

Track Record Prepared By: N/A

Correlations:

Trading Description, Risk Strategy & Background

Trading Description

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.

Risk Strategy

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.

Background

Performance

Monthly Performance Since June 2005

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	11.67%	-1.95%	-6.81%										2.03%	-8.63%
2023	-3.08%	-9.67%	1.49%	4.59%	-5.07%	3.75%	8.45%	-13.69%	-8.94%	-14.72%	-2.73%	-14.26%	-44.52%	-44.52%
2022	30.48%	-1.27%	29.05%	5.28%	2.91%	0.47%	4.70%	-8.55%	-16.67%	14.71%	7.34%	-6.26%	66.64%	-23.8%
2021	-5.84%	1.75%	-3.23%	-1.34%	6.45%	-16.27%	7.90%	-3.56%	10.83%	-1.06%	7.97%	-10.31%	-9.9%	-18.47%
2020	26.52%	-3.47%	-25.80%	-4.73%	2.78%	-12.24%	-6.75%	-4.05%	4.69%	-2.27%	18.42%	-3.93%	-18.91%	-44.93%
2019	-4.40%	-12.64%	-1.83%	-7.56%	-5.11%	10.53%	16.11%	-16.50%	-4.88%	5.58%	12.10%	7.03%	-7.13%	-28.08%
2018	-4.07%	-20.50%	3.95%	2.95%	10.70%	2.51%	-8.75%	4.29%	0.62%	-17.44%	-1.70%	8.15%	-22.16%	-28.03%
2017	9.49%	3.24%	3.07%	-0.28%	-0.14%	0.55%	0.39%	-8.79%	9.10%	7.23%	-4.84%	3.15%	22.66%	-8.79%
2016	9.06%	18.58%	-9.38%	0.43%	4.78%	2.52%	0.40%	1.85%	5.78%	-3.80%	7.56%	10.75%	56.72%	-9.38%
2015	-0.58%	6.77%	-4.32%	15.18%	2.15%	11.83%	-4.43%	9.46%	13.78%	0.64%	14.60%	-6.11%	72.24%	-6.11%
2014	2.95%	1.28%	-7.30%	-14.72%	-1.12%	-0.42%	-2.27%	-4.19%	7.81%	-8.70%	-0.30%	-11.76%	-34.2%	-36.89%
2013	-7.55%	-1.34%	-7.85%	-3.97%	-0.17%	-1.18%	1.27%	3.90%	-3.48%	0.10%	6.61%	12.72%	-2.72%	-20.37%
2012	-13.45%	-4.25%	3.59%	17.30%	23.67%	3.90%	-6.17%	1.54%	0.94%	-5.44%	-9.01%	4.95%	12.36%	-17.25%
2011	0.98%	3.83%	-1.25%	-7.11%	-9.58%	-2.70%	3.39%	0.87%	13.49%	9.02%	13.83%	-9.39%	12.62%	-19.29%
2010	-12.93%	-1.37%	-3.03%	0.24%	-3.86%	1.33%	-2.32%	4.14%	1.19%	7.48%	-5.76%	5.91%	-10.2%	-20.57%
2009	18.11%	-0.31%	-7.24%	12.75%	10.79%	-1.86%	5.30%	1.98%	4.41%	-7.14%	6.45%	-11.13%	31.88%	-12.15%
2008	-22.36%	15.62%	11.45%	5.40%	17.23%	-4.89%	-5.58%	10.22%	9.24%	-7.54%	6.91%	2.73%	35.73%	-22.36%
2007	5.07%	4.13%	16.74%	3.74%	-11.44%	3.92%	6.11%	24.34%	3.29%	12.48%	10.68%	3.73%	114.6%	-11.44%
2006	1.76%	4.77%	4.59%	-6.57%	15.28%	-6.88%	6.78%	-0.05%	-3.60%	7.73%	0.47%	-3.57%	20.09%	-6.88%
2005						-3.19%	2.31%	4.62%	2.51%	1.53%	6.07%	9.13%	24.84%	-3.19%

Annual Performance

Years	2005	2006	2007	2008	2009	2010
ROR	24.84%	20.09%	114.60%	35.73%	31.88%	-10.20%
Max DD	-3.19%	-6.88%	-11.44%	-22.36%	-12.15%	-20.57%

Years	2011	2012	2013	2014	2015	2016
ROR	12.62%	12.36%	-2.72%	-34.20%	72.24%	56.72%
Max DD	-19.29%	-17.25%	-20.37%	-36.89%	-6.11%	-9.38%

Years	2017	2018	2019	2020	2021	2022
ROR	22.66%	-22.16%	-7.13%	-18.91%	-9.90%	66.64%
Max DD	-8.79%	-28.03%	-28.08%	-44.93%	-18.47%	-23.80%

Years	2023	2024 YTD
ROR	-44.52%	2.03%
Max DD	-44.52%	-8.63%

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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Accounting Notes:

The Quantitative Global Fund (3X) is a commodity pool version of the Quantitative Global Program offered at 3x leverage.

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, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES 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.

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