Quantitative Investment Management, LLC

Global Program *QEP*


Monthly Performance (%)

Date Range: 09/03 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 8.82 -1.17 -8.60 -1.57 0.94 -4.06 -2.24 -1.33 1.58 -0.74   -8.87 
2019 -1.48 -4.22 -0.65 -2.56 -1.75 3.47 5.33 -5.52 -1.63 1.84 4.02 2.33  -1.45 
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 
2017 3.17 1.06 0.99 -0.09 -0.05 0.18 0.13 -2.93 2.99 2.40 -1.59 1.04  7.36 
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 
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 
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  -12.30 
2013 -2.51 -0.43 -2.61 -1.32 -0.05 -0.38 0.43 1.30 -1.15 0.04 2.21 4.24  -0.43 
2012 -4.49 -1.41 1.20 5.77 7.17 1.29 -2.05 0.52 0.32 -1.81 -2.99 1.66  4.65 
2011 0.33 1.29 -0.41 -2.33 -3.22 -0.90 1.14 0.30 4.55 3.01 4.36 -2.87  4.99 
2010 -4.32 -0.45 -1.01 0.08 -1.28 0.45 -0.77 1.39 0.40 2.50 -1.90 1.97  -3.08 
2009 5.99 -0.10 -2.29 4.29 3.43 -0.52 1.82 0.70 1.45 -2.38 2.18 -3.70  10.93 
2008 -7.59 5.30 3.55 1.86 5.78 -1.53 -1.84 3.36 3.10 -2.54 2.31 0.90  12.51 
2007 1.67 1.37 5.40 1.27 -3.80 1.18 2.03 7.56 1.04 4.27 3.40 1.19  29.53 
2006 0.57 1.60 1.48 -2.15 5.02 -2.31 2.34 -0.02 -1.19 2.29 0.10 -1.16  6.51 
2005 -0.40 -1.65 4.26 5.77 2.85 -1.97 0.55 1.40 0.86 0.56 2.04 3.05  18.43 
2004 0.92 3.51 -8.93 -0.63 2.94 1.44 2.07 0.10 6.05 5.75 9.58 -1.69  21.85 
2003 5.88 -2.64 3.35  6.54 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The Global Program pursues a fully systematic short-term trading strategy. The manager is quantitatively-focused and employs sophisticated, pattern-based time series prediction methods to capture short-term trading opportunities across global futures markets. These models are generally derived from cyclical analysis, statistical probabilities, momentum oscillators, and moving average of prices, among other methods. Due to its short-term focus, QIM provides a distinct return profile that exhibits a low level of correlation to both traditional market indices and longer-term managed futures strategies.

Performance Statistics

Date Range: 09/03 - 10/20
  Program S&P 500 Coquest 40 
Total Return 211.41% 360.74% 55.72% 
Annualized Return 6.88% 9.31% 2.61% 
Annualized Std. Deviation 10.29% 14.18% 8.81% 
Correlation 0.06 0.11 
Sharpe Ratio (rf=2.5%) 0.43 0.48 0.01 
Worst Month -8.93% -16.79% -6.22% 
Date of Worst Month 03/2004 10/2008 04/2004 
Worst Drawdown -17.57% -50.95% -15.74% 
Date of Worst Drawdown 10/17 - 8/20 10/07 - 2/09 4/11 - 9/13 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 09/03 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 -8.87 2.77 -3.54 
2019 -1.45 31.50 7.53 
2018 -6.93 -4.38 -4.29 
2017 7.36 21.84 1.24 
2016 16.69 11.98 -3.13 
2015 20.82 1.41 0.09 
2014 -12.30 13.69 15.75 
2013 -0.43 32.41 -2.45 
2012 4.65 15.98 -4.75 
2011 4.99 2.12 -3.23 
2010 -3.08 15.06 11.33 
2009 10.93 26.45 -7.98 
2008 12.51 -36.99 15.47 
2007 29.53 5.50 7.18 
2006 6.51 15.79 6.70 
2005 18.43 4.89 4.51 
2004 21.85 10.87 2.57 
2003 6.54 12.18 6.36 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 09/03 - 10/20
Date: 10/31/2020
Perf: $1,564.37 Date: 9/30/2020
Perf: $1,569.39 Date: 8/31/2020
Perf: $1,592.64 Date: 7/31/2020
Perf: $1,610.85 Date: 6/30/2020
Perf: $1,580.66 Date: 5/31/2020
Perf: $1,601.15 Date: 4/30/2020
Perf: $1,620.11 Date: 3/31/2020
Perf: $1,614.78 Date: 2/29/2020
Perf: $1,613.81 Date: 1/31/2020
Perf: $1,638.22 Date: 12/31/2019
Perf: $1,621.84 Date: 11/30/2019
Perf: $1,631.96 Date: 10/31/2019
Perf: $1,616.12 Date: 9/30/2019
Perf: $1,652.64 Date: 8/31/2019
Perf: $1,699.72 Date: 7/31/2019
Perf: $1,640.34 Date: 6/30/2019
Perf: $1,586.25 Date: 5/31/2019
Perf: $1,555.15 Date: 4/30/2019
Perf: $1,586.24 Date: 3/31/2019
Perf: $1,543.79 Date: 2/28/2019
Perf: $1,490.28 Date: 1/31/2019
Perf: $1,480.81 Date: 12/31/2018
Perf: $1,508.26 Date: 11/30/2018
Perf: $1,501.95 Date: 10/31/2018
Perf: $1,520.19 Date: 9/30/2018
Perf: $1,558.69 Date: 8/31/2018
Perf: $1,565.74 Date: 7/31/2018
Perf: $1,526.80 Date: 6/30/2018
Perf: $1,538.34 Date: 5/31/2018
Perf: $1,525.53 Date: 4/30/2018
Perf: $1,545.46 Date: 3/31/2018
Perf: $1,528.95 Date: 2/28/2018
Perf: $1,530.33 Date: 1/31/2018
Perf: $1,629.74 Date: 12/31/2017
Perf: $1,575.85 Date: 11/30/2017
Perf: $1,558.86 Date: 10/31/2017
Perf: $1,556.83 Date: 9/30/2017
Perf: $1,494.22 Date: 8/31/2017
Perf: $1,526.43 Date: 7/31/2017
Perf: $1,501.51 Date: 6/30/2017
Perf: $1,495.67 Date: 5/31/2017
Perf: $1,540.66 Date: 4/30/2017
Perf: $1,537.74 Date: 3/31/2017
Perf: $1,547.02 Date: 2/28/2017
Perf: $1,569.94 Date: 1/31/2017
Perf: $1,536.45 Date: 12/31/2016
Perf: $1,556.53 Date: 11/30/2016
Perf: $1,544.79 Date: 10/31/2016
Perf: $1,561.97 Date: 9/30/2016
Perf: $1,603.34 Date: 8/31/2016
Perf: $1,624.29 Date: 7/31/2016
Perf: $1,669.19 Date: 6/30/2016
Perf: $1,652.34 Date: 5/31/2016
Perf: $1,584.97 Date: 4/30/2016
Perf: $1,613.21 Date: 3/31/2016
Perf: $1,654.74 Date: 2/29/2016
Perf: $1,703.63 Date: 1/31/2016
Perf: $1,662.73 Date: 12/31/2015
Perf: $1,606.81 Date: 11/30/2015
Perf: $1,644.64 Date: 10/31/2015
Perf: $1,590.41 Date: 9/30/2015
Perf: $1,618.57 Date: 8/31/2015
Perf: $1,584.19 Date: 7/31/2015
Perf: $1,612.08 Date: 6/30/2015
Perf: $1,551.42 Date: 5/31/2015
Perf: $1,636.52 Date: 4/30/2015
Perf: $1,648.39 Date: 3/31/2015
Perf: $1,714.57 Date: 2/28/2015
Perf: $1,677.50 Date: 1/31/2015
Perf: $1,680.19 Date: 12/31/2014
Perf: $1,605.38 Date: 11/30/2014
Perf: $1,577.61 Date: 10/31/2014
Perf: $1,489.01 Date: 9/30/2014
Perf: $1,467.44 Date: 8/31/2014
Perf: $1,445.90 Date: 7/31/2014
Perf: $1,387.22 Date: 6/30/2014
Perf: $1,398.41 Date: 5/31/2014
Perf: $1,386.48 Date: 4/30/2014
Perf: $1,351.88 Date: 3/31/2014
Perf: $1,341.68 Date: 2/28/2014
Perf: $1,361.83 Date: 1/31/2014
Perf: $1,350.76 Date: 12/31/2013
Perf: $1,386.96 Date: 11/30/2013
Perf: $1,388.90 Date: 10/31/2013
Perf: $1,364.21 Date: 9/30/2013
Perf: $1,333.67 Date: 8/31/2013
Perf: $1,341.72 Date: 7/31/2013
Perf: $1,367.98 Date: 6/30/2013
Perf: $1,379.99 Date: 5/31/2013
Perf: $1,434.35 Date: 4/30/2013
Perf: $1,498.80 Date: 3/31/2013
Perf: $1,461.10 Date: 2/28/2013
Perf: $1,440.36 Date: 1/31/2013
Perf: $1,448.77 Date: 12/31/2012
Perf: $1,421.75 Date: 11/30/2012
Perf: $1,414.82 Date: 10/31/2012
Perf: $1,410.87 Date: 9/30/2012
Perf: $1,463.86 Date: 8/31/2012
Perf: $1,488.42 Date: 7/31/2012
Perf: $1,508.94 Date: 6/30/2012
Perf: $1,449.65 Date: 5/31/2012
Perf: $1,506.29 Date: 4/30/2012
Perf: $1,478.20 Date: 3/31/2012
Perf: $1,469.38 Date: 2/29/2012
Perf: $1,503.51 Date: 1/31/2012
Perf: $1,497.38 Date: 12/31/2011
Perf: $1,492.60 Date: 11/30/2011
Perf: $1,478.41 Date: 10/31/2011
Perf: $1,473.98 Date: 9/30/2011
Perf: $1,534.76 Date: 8/31/2011
Perf: $1,535.68 Date: 7/31/2011
Perf: $1,538.76 Date: 6/30/2011
Perf: $1,485.43 Date: 5/31/2011
Perf: $1,525.09 Date: 4/30/2011
Perf: $1,582.86 Date: 3/31/2011
Perf: $1,523.45 Date: 2/28/2011
Perf: $1,547.12 Date: 1/31/2011
Perf: $1,521.25 Date: 12/31/2010
Perf: $1,542.39 Date: 11/30/2010
Perf: $1,478.94 Date: 10/31/2010
Perf: $1,533.21 Date: 9/30/2010
Perf: $1,475.95 Date: 8/31/2010
Perf: $1,449.57 Date: 7/31/2010
Perf: $1,391.94 Date: 6/30/2010
Perf: $1,410.13 Date: 5/31/2010
Perf: $1,404.79 Date: 4/30/2010
Perf: $1,439.63 Date: 3/31/2010
Perf: $1,417.80 Date: 2/28/2010
Perf: $1,363.66 Date: 1/31/2010
Perf: $1,350.96 Date: 12/31/2009
Perf: $1,385.46 Date: 11/30/2009
Perf: $1,443.19 Date: 10/31/2009
Perf: $1,387.28 Date: 9/30/2009
Perf: $1,423.73 Date: 8/31/2009
Perf: $1,390.63 Date: 7/31/2009
Perf: $1,386.06 Date: 6/30/2009
Perf: $1,387.58 Date: 5/31/2009
Perf: $1,425.50 Date: 4/30/2009
Perf: $1,406.10 Date: 3/31/2009
Perf: $1,453.63 Date: 2/28/2009
Perf: $1,495.04 Date: 1/31/2009
Perf: $1,495.79 Date: 12/31/2008
Perf: $1,505.58 Date: 11/30/2008
Perf: $1,467.85 Date: 10/31/2008
Perf: $1,415.89 Date: 9/30/2008
Perf: $1,346.54 Date: 8/31/2008
Perf: $1,343.72 Date: 7/31/2008
Perf: $1,380.58 Date: 6/30/2008
Perf: $1,447.00 Date: 5/31/2008
Perf: $1,409.37 Date: 4/30/2008
Perf: $1,380.92 Date: 3/31/2008
Perf: $1,396.99 Date: 2/29/2008
Perf: $1,403.16 Date: 1/31/2008
Perf: $1,327.62 Date: 12/31/2007
Perf: $1,303.89 Date: 11/30/2007
Perf: $1,306.89 Date: 10/31/2007
Perf: $1,315.45 Date: 9/30/2007
Perf: $1,261.09 Date: 8/31/2007
Perf: $1,204.83 Date: 7/31/2007
Perf: $1,251.51 Date: 6/30/2007
Perf: $1,291.41 Date: 5/31/2007
Perf: $1,255.14 Date: 4/30/2007
Perf: $1,211.88 Date: 3/31/2007
Perf: $1,163.03 Date: 2/28/2007
Perf: $1,190.89 Date: 1/31/2007
Perf: $1,237.29 Date: 12/31/2006
Perf: $1,216.49 Date: 11/30/2006
Perf: $1,176.72 Date: 10/31/2006
Perf: $1,148.58 Date: 9/30/2006
Perf: $1,136.08 Date: 8/31/2006
Perf: $1,148.25 Date: 7/31/2006
Perf: $1,135.53 Date: 6/30/2006
Perf: $1,152.59 Date: 5/31/2006
Perf: $1,168.60 Date: 4/30/2006
Perf: $1,200.41 Date: 3/31/2006
Perf: $1,171.82 Date: 2/28/2006
Perf: $1,141.24 Date: 1/31/2006
Perf: $1,161.92 Date: 12/31/2005
Perf: $1,140.14 Date: 11/30/2005
Perf: $1,161.16 Date: 10/31/2005
Perf: $1,113.39 Date: 9/30/2005
Perf: $1,111.62 Date: 8/31/2005
Perf: $1,094.76 Date: 7/31/2005
Perf: $1,088.88 Date: 6/30/2005
Perf: $1,088.22 Date: 5/31/2005
Perf: $1,052.34 Date: 4/30/2005
Perf: $1,020.80 Date: 3/31/2005
Perf: $1,046.43 Date: 2/28/2005
Perf: $1,052.33 Date: 1/31/2005
Perf: $1,045.12 Date: 12/31/2004
Perf: $1,090.93 Date: 11/30/2004
Perf: $1,087.35 Date: 10/31/2004
Perf: $1,031.54 Date: 9/30/2004
Perf: $997.43 Date: 8/31/2004
Perf: $984.14 Date: 7/31/2004
Perf: $990.98 Date: 6/30/2004
Perf: $1,002.41 Date: 5/31/2004
Perf: $1,036.62 Date: 4/30/2004
Perf: $1,053.36 Date: 3/31/2004
Perf: $1,123.23 Date: 2/29/2004
Perf: $1,134.35 Date: 1/31/2004
Perf: $1,073.78 Date: 12/31/2003
Perf: $1,063.57 Date: 11/30/2003
Perf: $1,019.43 Date: 10/31/2003
Perf: $1,022.50 Date: 9/30/2003
Perf: $1,000.00 Date: 10/31/2020
Perf: $4,656.77 Date: 9/30/2020
Perf: $4,784.02 Date: 8/31/2020
Perf: $4,973.00 Date: 7/31/2020
Perf: $4,639.42 Date: 6/30/2020
Perf: $4,391.73 Date: 5/31/2020
Perf: $4,306.04 Date: 4/30/2020
Perf: $4,110.39 Date: 3/31/2020
Perf: $3,643.31 Date: 2/29/2020
Perf: $4,156.66 Date: 1/31/2020
Perf: $4,529.43 Date: 12/31/2019
Perf: $4,531.24 Date: 11/30/2019
Perf: $4,398.41 Date: 10/31/2019
Perf: $4,244.34 Date: 9/30/2019
Perf: $4,154.20 Date: 8/31/2019
Perf: $4,077.94 Date: 7/31/2019
Perf: $4,143.41 Date: 6/30/2019
Perf: $4,084.59 Date: 5/31/2019
Perf: $3,815.59 Date: 4/30/2019
Perf: $4,074.31 Date: 3/31/2019
Perf: $3,915.72 Date: 2/28/2019
Perf: $3,841.20 Date: 1/31/2019
Perf: $3,721.73 Date: 12/31/2018
Perf: $3,445.73 Date: 11/30/2018
Perf: $3,787.77 Date: 10/31/2018
Perf: $3,712.04 Date: 9/30/2018
Perf: $3,984.59 Date: 8/31/2018
Perf: $3,962.00 Date: 7/31/2018
Perf: $3,836.92 Date: 6/30/2018
Perf: $3,699.30 Date: 5/31/2018
Perf: $3,676.51 Date: 4/30/2018
Perf: $3,589.99 Date: 3/31/2018
Perf: $3,576.40 Date: 2/28/2018
Perf: $3,669.61 Date: 1/31/2018
Perf: $3,810.21 Date: 12/31/2017
Perf: $3,603.71 Date: 11/30/2017
Perf: $3,564.15 Date: 10/31/2017
Perf: $3,457.99 Date: 9/30/2017
Perf: $3,379.25 Date: 8/31/2017
Perf: $3,311.05 Date: 7/31/2017
Perf: $3,300.81 Date: 6/30/2017
Perf: $3,234.19 Date: 5/31/2017
Perf: $3,214.26 Date: 4/30/2017
Perf: $3,169.57 Date: 3/31/2017
Perf: $3,137.26 Date: 2/28/2017
Perf: $3,133.50 Date: 1/31/2017
Perf: $3,013.85 Date: 12/31/2016
Perf: $2,957.65 Date: 11/30/2016
Perf: $2,900.23 Date: 10/31/2016
Perf: $2,796.75 Date: 9/30/2016
Perf: $2,848.59 Date: 8/31/2016
Perf: $2,848.02 Date: 7/31/2016
Perf: $2,844.04 Date: 6/30/2016
Perf: $2,742.83 Date: 5/31/2016
Perf: $2,735.72 Date: 4/30/2016
Perf: $2,687.34 Date: 3/31/2016
Perf: $2,676.90 Date: 2/29/2016
Perf: $2,506.93 Date: 1/31/2016
Perf: $2,510.20 Date: 12/31/2015
Perf: $2,641.20 Date: 11/30/2015
Perf: $2,683.60 Date: 10/31/2015
Perf: $2,675.58 Date: 9/30/2015
Perf: $2,467.33 Date: 8/31/2015
Perf: $2,529.82 Date: 7/31/2015
Perf: $2,692.16 Date: 6/30/2015
Perf: $2,636.78 Date: 5/31/2015
Perf: $2,688.95 Date: 4/30/2015
Perf: $2,654.70 Date: 3/31/2015
Perf: $2,629.46 Date: 2/28/2015
Perf: $2,671.67 Date: 1/31/2015
Perf: $2,526.41 Date: 12/31/2014
Perf: $2,604.54 Date: 11/30/2014
Perf: $2,611.07 Date: 10/31/2014
Perf: $2,542.67 Date: 9/30/2014
Perf: $2,482.11 Date: 8/31/2014
Perf: $2,517.35 Date: 7/31/2014
Perf: $2,420.53 Date: 6/30/2014
Perf: $2,454.40 Date: 5/31/2014
Perf: $2,404.62 Date: 4/30/2014
Perf: $2,349.41 Date: 3/31/2014
Perf: $2,332.16 Date: 2/28/2014
Perf: $2,312.73 Date: 1/31/2014
Perf: $2,211.66 Date: 12/31/2013
Perf: $2,290.92 Date: 11/30/2013
Perf: $2,234.39 Date: 10/31/2013
Perf: $2,168.26 Date: 9/30/2013
Perf: $2,072.91 Date: 8/31/2013
Perf: $2,009.80 Date: 7/31/2013
Perf: $2,069.82 Date: 6/30/2013
Perf: $1,969.57 Date: 5/31/2013
Perf: $1,996.32 Date: 4/30/2013
Perf: $1,950.68 Date: 3/31/2013
Perf: $1,913.74 Date: 2/28/2013
Perf: $1,844.57 Date: 1/31/2013
Perf: $1,819.82 Date: 12/31/2012
Perf: $1,730.20 Date: 11/30/2012
Perf: $1,714.59 Date: 10/31/2012
Perf: $1,704.71 Date: 9/30/2012
Perf: $1,736.84 Date: 8/31/2012
Perf: $1,693.15 Date: 7/31/2012
Perf: $1,655.90 Date: 6/30/2012
Perf: $1,633.20 Date: 5/31/2012
Perf: $1,568.57 Date: 4/30/2012
Perf: $1,668.87 Date: 3/31/2012
Perf: $1,679.45 Date: 2/29/2012
Perf: $1,625.96 Date: 1/31/2012
Perf: $1,558.62 Date: 12/31/2011
Perf: $1,491.79 Date: 11/30/2011
Perf: $1,476.73 Date: 10/31/2011
Perf: $1,479.98 Date: 9/30/2011
Perf: $1,334.16 Date: 8/31/2011
Perf: $1,435.04 Date: 7/31/2011
Perf: $1,517.44 Date: 6/30/2011
Perf: $1,548.88 Date: 5/31/2011
Perf: $1,575.19 Date: 4/30/2011
Perf: $1,593.19 Date: 3/31/2011
Perf: $1,547.39 Date: 2/28/2011
Perf: $1,546.77 Date: 1/31/2011
Perf: $1,495.48 Date: 12/31/2010
Perf: $1,460.85 Date: 11/30/2010
Perf: $1,369.38 Date: 10/31/2010
Perf: $1,369.24 Date: 9/30/2010
Perf: $1,318.99 Date: 8/31/2010
Perf: $1,210.97 Date: 7/31/2010
Perf: $1,268.16 Date: 6/30/2010
Perf: $1,185.09 Date: 5/31/2010
Perf: $1,250.49 Date: 4/30/2010
Perf: $1,359.08 Date: 3/31/2010
Perf: $1,337.94 Date: 2/28/2010
Perf: $1,261.85 Date: 1/31/2010
Perf: $1,223.91 Date: 12/31/2009
Perf: $1,269.62 Date: 11/30/2009
Perf: $1,245.58 Date: 10/31/2009
Perf: $1,175.07 Date: 9/30/2009
Perf: $1,197.34 Date: 8/31/2009
Perf: $1,154.29 Date: 7/31/2009
Perf: $1,114.07 Date: 6/30/2009
Perf: $1,035.77 Date: 5/31/2009
Perf: $1,033.70 Date: 4/30/2009
Perf: $978.97 Date: 3/31/2009
Perf: $893.47 Date: 2/28/2009
Perf: $821.51 Date: 1/31/2009
Perf: $919.42 Date: 12/31/2008
Perf: $1,004.07 Date: 11/30/2008
Perf: $993.54 Date: 10/31/2008
Perf: $1,070.39 Date: 9/30/2008
Perf: $1,286.37 Date: 8/31/2008
Perf: $1,412.20 Date: 7/31/2008
Perf: $1,392.01 Date: 6/30/2008
Perf: $1,403.81 Date: 5/31/2008
Perf: $1,533.04 Date: 4/30/2008
Perf: $1,513.37 Date: 3/31/2008
Perf: $1,443.09 Date: 2/29/2008
Perf: $1,449.32 Date: 1/31/2008
Perf: $1,498.01 Date: 12/31/2007
Perf: $1,593.62 Date: 11/30/2007
Perf: $1,604.70 Date: 10/31/2007
Perf: $1,674.70 Date: 9/30/2007
Perf: $1,648.49 Date: 8/31/2007
Perf: $1,589.06 Date: 7/31/2007
Perf: $1,565.57 Date: 6/30/2007
Perf: $1,615.66 Date: 5/31/2007
Perf: $1,642.93 Date: 4/30/2007
Perf: $1,587.53 Date: 3/31/2007
Perf: $1,520.18 Date: 2/28/2007
Perf: $1,503.35 Date: 1/31/2007
Perf: $1,533.40 Date: 12/31/2006
Perf: $1,510.59 Date: 11/30/2006
Perf: $1,489.73 Date: 10/31/2006
Perf: $1,461.96 Date: 9/30/2006
Perf: $1,415.80 Date: 8/31/2006
Perf: $1,380.19 Date: 7/31/2006
Perf: $1,348.11 Date: 6/30/2006
Perf: $1,339.80 Date: 5/31/2006
Perf: $1,337.93 Date: 4/30/2006
Perf: $1,377.60 Date: 3/31/2006
Perf: $1,359.39 Date: 2/28/2006
Perf: $1,342.74 Date: 1/31/2006
Perf: $1,339.12 Date: 12/31/2005
Perf: $1,304.55 Date: 11/30/2005
Perf: $1,304.16 Date: 10/31/2005
Perf: $1,256.66 Date: 9/30/2005
Perf: $1,278.00 Date: 8/31/2005
Perf: $1,267.73 Date: 7/31/2005
Perf: $1,279.37 Date: 6/30/2005
Perf: $1,233.49 Date: 5/31/2005
Perf: $1,231.76 Date: 4/30/2005
Perf: $1,193.80 Date: 3/31/2005
Perf: $1,216.92 Date: 2/28/2005
Perf: $1,238.85 Date: 1/31/2005
Perf: $1,213.37 Date: 12/31/2004
Perf: $1,243.72 Date: 11/30/2004
Perf: $1,202.82 Date: 10/31/2004
Perf: $1,156.00 Date: 9/30/2004
Perf: $1,138.58 Date: 8/31/2004
Perf: $1,126.42 Date: 7/31/2004
Perf: $1,121.93 Date: 6/30/2004
Perf: $1,160.34 Date: 5/31/2004
Perf: $1,138.25 Date: 4/30/2004
Perf: $1,122.87 Date: 3/31/2004
Perf: $1,140.78 Date: 2/29/2004
Perf: $1,158.27 Date: 1/31/2004
Perf: $1,142.39 Date: 12/31/2003
Perf: $1,121.75 Date: 11/30/2003
Perf: $1,065.90 Date: 10/31/2003
Perf: $1,056.60 Date: 9/30/2003
Perf: $1,000.00 Date: 10/31/2020
Perf: $3,114.13 Date: 9/30/2020
Perf: $3,137.35 Date: 8/31/2020
Perf: $3,088.55 Date: 7/31/2020
Perf: $3,130.18 Date: 6/30/2020
Perf: $3,201.90 Date: 5/31/2020
Perf: $3,337.40 Date: 4/30/2020
Perf: $3,306.32 Date: 3/31/2020
Perf: $3,359.06 Date: 2/29/2020
Perf: $3,675.12 Date: 1/31/2020
Perf: $3,718.63 Date: 12/31/2019
Perf: $3,417.23 Date: 11/30/2019
Perf: $3,339.42 Date: 10/31/2019
Perf: $3,210.36 Date: 9/30/2019
Perf: $3,152.36 Date: 8/31/2019
Perf: $3,204.59 Date: 7/31/2019
Perf: $3,391.82 Date: 6/30/2019
Perf: $3,220.19 Date: 5/31/2019
Perf: $3,112.19 Date: 4/30/2019
Perf: $3,167.63 Date: 3/31/2019
Perf: $3,250.85 Date: 2/28/2019
Perf: $3,272.12 Date: 1/31/2019
Perf: $3,416.29 Date: 12/31/2018
Perf: $3,467.61 Date: 11/30/2018
Perf: $3,376.44 Date: 10/31/2018
Perf: $3,395.80 Date: 9/30/2018
Perf: $3,605.65 Date: 8/31/2018
Perf: $3,598.81 Date: 7/31/2018
Perf: $3,548.42 Date: 6/30/2018
Perf: $3,655.53 Date: 5/31/2018
Perf: $3,625.80 Date: 4/30/2018
Perf: $3,501.49 Date: 3/31/2018
Perf: $3,467.86 Date: 2/28/2018
Perf: $3,423.35 Date: 1/31/2018
Perf: $3,674.70 Date: 12/31/2017
Perf: $3,725.74 Date: 11/30/2017
Perf: $3,687.40 Date: 10/31/2017
Perf: $3,746.97 Date: 9/30/2017
Perf: $3,659.15 Date: 8/31/2017
Perf: $3,552.92 Date: 7/31/2017
Perf: $3,660.16 Date: 6/30/2017
Perf: $3,655.41 Date: 5/31/2017
Perf: $3,648.84 Date: 4/30/2017
Perf: $3,650.67 Date: 3/31/2017
Perf: $3,653.96 Date: 2/28/2017
Perf: $3,618.14 Date: 1/31/2017
Perf: $3,580.19 Date: 12/31/2016
Perf: $3,470.18 Date: 11/30/2016
Perf: $3,351.21 Date: 10/31/2016
Perf: $3,269.16 Date: 9/30/2016
Perf: $3,310.88 Date: 8/31/2016
Perf: $3,248.50 Date: 7/31/2016
Perf: $3,228.49 Date: 6/30/2016
Perf: $3,223.97 Date: 5/31/2016
Perf: $3,197.12 Date: 4/30/2016
Perf: $3,147.08 Date: 3/31/2016
Perf: $3,142.37 Date: 2/29/2016
Perf: $3,238.89 Date: 1/31/2016
Perf: $3,050.95 Date: 12/31/2015
Perf: $2,973.92 Date: 11/30/2015
Perf: $3,022.89 Date: 10/31/2015
Perf: $2,904.67 Date: 9/30/2015
Perf: $2,898.01 Date: 8/31/2015
Perf: $2,770.56 Date: 7/31/2015
Perf: $2,685.43 Date: 6/30/2015
Perf: $2,725.22 Date: 5/31/2015
Perf: $2,621.67 Date: 4/30/2015
Perf: $2,602.67 Date: 3/31/2015
Perf: $2,477.08 Date: 2/28/2015
Perf: $2,512.76 Date: 1/31/2015
Perf: $2,456.99 Date: 12/31/2014
Perf: $2,461.42 Date: 11/30/2014
Perf: $2,561.31 Date: 10/31/2014
Perf: $2,563.62 Date: 9/30/2014
Perf: $2,639.64 Date: 8/31/2014
Perf: $2,572.49 Date: 7/31/2014
Perf: $2,608.76 Date: 6/30/2014
Perf: $2,628.47 Date: 5/31/2014
Perf: $2,631.89 Date: 4/30/2014
Perf: $2,641.40 Date: 3/31/2014
Perf: $2,777.50 Date: 2/28/2014
Perf: $2,846.67 Date: 1/31/2014
Perf: $2,834.48 Date: 12/31/2013
Perf: $2,806.70 Date: 11/30/2013
Perf: $2,692.53 Date: 10/31/2013
Perf: $2,634.32 Date: 9/30/2013
Perf: $2,633.26 Date: 8/31/2013
Perf: $2,663.90 Date: 7/31/2013
Perf: $2,629.71 Date: 6/30/2013
Perf: $2,618.45 Date: 5/31/2013
Perf: $2,628.44 Date: 4/30/2013
Perf: $2,629.75 Date: 3/31/2013
Perf: $2,664.93 Date: 2/28/2013
Perf: $2,736.35 Date: 1/31/2013
Perf: $2,748.17 Date: 12/31/2012
Perf: $2,818.92 Date: 11/30/2012
Perf: $2,772.89 Date: 10/31/2012
Perf: $2,858.36 Date: 9/30/2012
Perf: $2,911.05 Date: 8/31/2012
Perf: $2,901.76 Date: 7/31/2012
Perf: $2,886.75 Date: 6/30/2012
Perf: $2,947.17 Date: 5/31/2012
Perf: $2,909.63 Date: 4/30/2012
Perf: $2,714.97 Date: 3/31/2012
Perf: $2,566.86 Date: 2/29/2012
Perf: $2,536.42 Date: 1/31/2012
Perf: $2,572.70 Date: 12/31/2011
Perf: $2,693.64 Date: 11/30/2011
Perf: $2,773.24 Date: 10/31/2011
Perf: $2,657.37 Date: 9/30/2011
Perf: $2,579.73 Date: 8/31/2011
Perf: $2,467.46 Date: 7/31/2011
Perf: $2,460.08 Date: 6/30/2011
Perf: $2,432.35 Date: 5/31/2011
Perf: $2,454.44 Date: 4/30/2011
Perf: $2,536.10 Date: 3/31/2011
Perf: $2,596.60 Date: 2/28/2011
Perf: $2,607.29 Date: 1/31/2011
Perf: $2,574.08 Date: 12/31/2010
Perf: $2,565.62 Date: 11/30/2010
Perf: $2,516.05 Date: 10/31/2010
Perf: $2,564.78 Date: 9/30/2010
Perf: $2,502.23 Date: 8/31/2010
Perf: $2,492.26 Date: 7/31/2010
Perf: $2,458.09 Date: 6/30/2010
Perf: $2,477.16 Date: 5/31/2010
Perf: $2,466.07 Date: 4/30/2010
Perf: $2,498.04 Date: 3/31/2010
Perf: $2,496.05 Date: 2/28/2010
Perf: $2,521.51 Date: 1/31/2010
Perf: $2,532.91 Date: 12/31/2009
Perf: $2,647.27 Date: 11/30/2009
Perf: $2,748.98 Date: 10/31/2009
Perf: $2,690.34 Date: 9/30/2009
Perf: $2,755.93 Date: 8/31/2009
Perf: $2,716.54 Date: 7/31/2009
Perf: $2,697.65 Date: 6/30/2009
Perf: $2,649.43 Date: 5/31/2009
Perf: $2,663.28 Date: 4/30/2009
Perf: $2,574.96 Date: 3/31/2009
Perf: $2,469.04 Date: 2/28/2009
Perf: $2,526.91 Date: 1/31/2009
Perf: $2,529.44 Date: 12/31/2008
Perf: $2,386.48 Date: 11/30/2008
Perf: $2,365.20 Date: 10/31/2008
Perf: $2,311.80 Date: 9/30/2008
Perf: $2,372.05 Date: 8/31/2008
Perf: $2,300.72 Date: 7/31/2008
Perf: $2,225.93 Date: 6/30/2008
Perf: $2,267.66 Date: 5/31/2008
Perf: $2,302.89 Date: 4/30/2008
Perf: $2,177.06 Date: 3/31/2008
Perf: $2,137.30 Date: 2/29/2008
Perf: $2,064.03 Date: 1/31/2008
Perf: $1,960.14 Date: 12/31/2007
Perf: $2,121.14 Date: 11/30/2007
Perf: $2,096.19 Date: 10/31/2007
Perf: $2,027.27 Date: 9/30/2007
Perf: $1,944.25 Date: 8/31/2007
Perf: $1,924.23 Date: 7/31/2007
Perf: $1,788.99 Date: 6/30/2007
Perf: $1,753.39 Date: 5/31/2007
Perf: $1,732.94 Date: 4/30/2007
Perf: $1,801.40 Date: 3/31/2007
Perf: $1,778.81 Date: 2/28/2007
Perf: $1,687.67 Date: 1/31/2007
Perf: $1,664.86 Date: 12/31/2006
Perf: $1,637.52 Date: 11/30/2006
Perf: $1,656.73 Date: 10/31/2006
Perf: $1,655.08 Date: 9/30/2006
Perf: $1,618.03 Date: 8/31/2006
Perf: $1,637.51 Date: 7/31/2006
Perf: $1,637.84 Date: 6/30/2006
Perf: $1,600.39 Date: 5/31/2006
Perf: $1,638.23 Date: 4/30/2006
Perf: $1,559.93 Date: 3/31/2006
Perf: $1,594.20 Date: 2/28/2006
Perf: $1,570.95 Date: 1/31/2006
Perf: $1,546.21 Date: 12/31/2005
Perf: $1,537.45 Date: 11/30/2005
Perf: $1,491.94 Date: 10/31/2005
Perf: $1,462.12 Date: 9/30/2005
Perf: $1,453.98 Date: 8/31/2005
Perf: $1,441.58 Date: 7/31/2005
Perf: $1,421.67 Date: 6/30/2005
Perf: $1,413.90 Date: 5/31/2005
Perf: $1,442.31 Date: 4/30/2005
Perf: $1,402.34 Date: 3/31/2005
Perf: $1,325.84 Date: 2/28/2005
Perf: $1,271.67 Date: 1/31/2005
Perf: $1,293.00 Date: 12/31/2004
Perf: $1,298.20 Date: 11/30/2004
Perf: $1,320.51 Date: 10/31/2004
Perf: $1,205.07 Date: 9/30/2004
Perf: $1,139.54 Date: 8/31/2004
Perf: $1,074.54 Date: 7/31/2004
Perf: $1,073.46 Date: 6/30/2004
Perf: $1,051.69 Date: 5/31/2004
Perf: $1,036.76 Date: 4/30/2004
Perf: $1,007.15 Date: 3/31/2004
Perf: $1,013.54 Date: 2/29/2004
Perf: $1,112.92 Date: 1/31/2004
Perf: $1,075.18 Date: 12/31/2003
Perf: $1,065.38 Date: 11/30/2003
Perf: $1,030.85 Date: 10/31/2003
Perf: $1,058.80 Date: 9/30/2003
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 09/03 - 10/20
Date: 10/31/2020
Return: -0.74 % Date: 9/30/2020
Return: 1.58 % Date: 8/31/2020
Return: -1.33 % Date: 7/31/2020
Return: -2.24 % Date: 6/30/2020
Return: -4.06 % Date: 5/31/2020
Return: 0.94 % Date: 4/30/2020
Return: -1.57 % Date: 3/31/2020
Return: -8.60 % Date: 2/29/2020
Return: -1.17 % Date: 1/31/2020
Return: 8.82 % Date: 12/31/2019
Return: 2.33 % Date: 11/30/2019
Return: 4.02 % Date: 10/31/2019
Return: 1.84 % Date: 9/30/2019
Return: -1.63 % Date: 8/31/2019
Return: -5.52 % Date: 7/31/2019
Return: 5.33 % Date: 6/30/2019
Return: 3.47 % Date: 5/31/2019
Return: -1.75 % Date: 4/30/2019
Return: -2.56 % Date: 3/31/2019
Return: -0.65 % Date: 2/28/2019
Return: -4.22 % Date: 1/31/2019
Return: -1.48 % Date: 12/31/2018
Return: 2.70 % Date: 11/30/2018
Return: -0.57 % Date: 10/31/2018
Return: -5.82 % Date: 9/30/2018
Return: 0.19 % Date: 8/31/2018
Return: 1.42 % Date: 7/31/2018
Return: -2.93 % Date: 6/30/2018
Return: 0.82 % Date: 5/31/2018
Return: 3.55 % Date: 4/30/2018
Return: 0.97 % Date: 3/31/2018
Return: 1.30 % Date: 2/28/2018
Return: -6.84 % Date: 1/31/2018
Return: -1.37 % Date: 12/31/2017
Return: 1.04 % Date: 11/30/2017
Return: -1.59 % Date: 10/31/2017
Return: 2.40 % Date: 9/30/2017
Return: 2.99 % Date: 8/31/2017
Return: -2.93 % Date: 7/31/2017
Return: 0.13 % Date: 6/30/2017
Return: 0.18 % Date: 5/31/2017
Return: -0.05 % Date: 4/30/2017
Return: -0.09 % Date: 3/31/2017
Return: 0.99 % Date: 2/28/2017
Return: 1.06 % Date: 1/31/2017
Return: 3.17 % Date: 12/31/2016
Return: 3.55 % Date: 11/30/2016
Return: 2.51 % Date: 10/31/2016
Return: -1.26 % Date: 9/30/2016
Return: 1.92 % Date: 8/31/2016
Return: 0.62 % Date: 7/31/2016
Return: 0.14 % Date: 6/30/2016
Return: 0.84 % Date: 5/31/2016
Return: 1.59 % Date: 4/30/2016
Return: 0.15 % Date: 3/31/2016
Return: -2.98 % Date: 2/29/2016
Return: 6.16 % Date: 1/31/2016
Return: 2.59 % Date: 12/31/2015
Return: -1.62 % Date: 11/30/2015
Return: 4.07 % Date: 10/31/2015
Return: 0.23 % Date: 9/30/2015
Return: 4.60 % Date: 8/31/2015
Return: 3.17 % Date: 7/31/2015
Return: -1.46 % Date: 6/30/2015
Return: 3.95 % Date: 5/31/2015
Return: 0.73 % Date: 4/30/2015
Return: 5.07 % Date: 3/31/2015
Return: -1.42 % Date: 2/28/2015
Return: 2.27 % Date: 1/31/2015
Return: -0.18 % Date: 12/31/2014
Return: -3.90 % Date: 11/30/2014
Return: -0.09 % Date: 10/31/2014
Return: -2.88 % Date: 9/30/2014
Return: 2.61 % Date: 8/31/2014
Return: -1.39 % Date: 7/31/2014
Return: -0.75 % Date: 6/30/2014
Return: -0.13 % Date: 5/31/2014
Return: -0.36 % Date: 4/30/2014
Return: -4.90 % Date: 3/31/2014
Return: -2.43 % Date: 2/28/2014
Return: 0.43 % Date: 1/31/2014
Return: 0.99 % Date: 12/31/2013
Return: 4.24 % Date: 11/30/2013
Return: 2.21 % Date: 10/31/2013
Return: 0.04 % Date: 9/30/2013
Return: -1.15 % Date: 8/31/2013
Return: 1.30 % Date: 7/31/2013
Return: 0.43 % Date: 6/30/2013
Return: -0.38 % Date: 5/31/2013
Return: -0.05 % Date: 4/30/2013
Return: -1.32 % Date: 3/31/2013
Return: -2.61 % Date: 2/28/2013
Return: -0.43 % Date: 1/31/2013
Return: -2.51 % Date: 12/31/2012
Return: 1.66 % Date: 11/30/2012
Return: -2.99 % Date: 10/31/2012
Return: -1.81 % Date: 9/30/2012
Return: 0.32 % Date: 8/31/2012
Return: 0.52 % Date: 7/31/2012
Return: -2.05 % Date: 6/30/2012
Return: 1.29 % Date: 5/31/2012
Return: 7.17 % Date: 4/30/2012
Return: 5.77 % Date: 3/31/2012
Return: 1.20 % Date: 2/29/2012
Return: -1.41 % Date: 1/31/2012
Return: -4.49 % Date: 12/31/2011
Return: -2.87 % Date: 11/30/2011
Return: 4.36 % Date: 10/31/2011
Return: 3.01 % Date: 9/30/2011
Return: 4.55 % Date: 8/31/2011
Return: 0.30 % Date: 7/31/2011
Return: 1.14 % Date: 6/30/2011
Return: -0.90 % Date: 5/31/2011
Return: -3.22 % Date: 4/30/2011
Return: -2.33 % Date: 3/31/2011
Return: -0.41 % Date: 2/28/2011
Return: 1.29 % Date: 1/31/2011
Return: 0.33 % Date: 12/31/2010
Return: 1.97 % Date: 11/30/2010
Return: -1.90 % Date: 10/31/2010
Return: 2.50 % Date: 9/30/2010
Return: 0.40 % Date: 8/31/2010
Return: 1.39 % Date: 7/31/2010
Return: -0.77 % Date: 6/30/2010
Return: 0.45 % Date: 5/31/2010
Return: -1.28 % Date: 4/30/2010
Return: 0.08 % Date: 3/31/2010
Return: -1.01 % Date: 2/28/2010
Return: -0.45 % Date: 1/31/2010
Return: -4.32 % Date: 12/31/2009
Return: -3.70 % Date: 11/30/2009
Return: 2.18 % Date: 10/31/2009
Return: -2.38 % Date: 9/30/2009
Return: 1.45 % Date: 8/31/2009
Return: 0.70 % Date: 7/31/2009
Return: 1.82 % Date: 6/30/2009
Return: -0.52 % Date: 5/31/2009
Return: 3.43 % Date: 4/30/2009
Return: 4.29 % Date: 3/31/2009
Return: -2.29 % Date: 2/28/2009
Return: -0.10 % Date: 1/31/2009
Return: 5.99 % Date: 12/31/2008
Return: 0.90 % Date: 11/30/2008
Return: 2.31 % Date: 10/31/2008
Return: -2.54 % Date: 9/30/2008
Return: 3.10 % Date: 8/31/2008
Return: 3.36 % Date: 7/31/2008
Return: -1.84 % Date: 6/30/2008
Return: -1.53 % Date: 5/31/2008
Return: 5.78 % Date: 4/30/2008
Return: 1.86 % Date: 3/31/2008
Return: 3.55 % Date: 2/29/2008
Return: 5.30 % Date: 1/31/2008
Return: -7.59 % Date: 12/31/2007
Return: 1.19 % Date: 11/30/2007
Return: 3.40 % Date: 10/31/2007
Return: 4.27 % Date: 9/30/2007
Return: 1.04 % Date: 8/31/2007
Return: 7.56 % Date: 7/31/2007
Return: 2.03 % Date: 6/30/2007
Return: 1.18 % Date: 5/31/2007
Return: -3.80 % Date: 4/30/2007
Return: 1.27 % Date: 3/31/2007
Return: 5.40 % Date: 2/28/2007
Return: 1.37 % Date: 1/31/2007
Return: 1.67 % Date: 12/31/2006
Return: -1.16 % Date: 11/30/2006
Return: 0.10 % Date: 10/31/2006
Return: 2.29 % Date: 9/30/2006
Return: -1.19 % Date: 8/31/2006
Return: -0.02 % Date: 7/31/2006
Return: 2.34 % Date: 6/30/2006
Return: -2.31 % Date: 5/31/2006
Return: 5.02 % Date: 4/30/2006
Return: -2.15 % Date: 3/31/2006
Return: 1.48 % Date: 2/28/2006
Return: 1.60 % Date: 1/31/2006
Return: 0.57 % Date: 12/31/2005
Return: 3.05 % Date: 11/30/2005
Return: 2.04 % Date: 10/31/2005
Return: 0.56 % Date: 9/30/2005
Return: 0.86 % Date: 8/31/2005
Return: 1.40 % Date: 7/31/2005
Return: 0.55 % Date: 6/30/2005
Return: -1.97 % Date: 5/31/2005
Return: 2.85 % Date: 4/30/2005
Return: 5.77 % Date: 3/31/2005
Return: 4.26 % Date: 2/28/2005
Return: -1.65 % Date: 1/31/2005
Return: -0.40 % Date: 12/31/2004
Return: -1.69 % Date: 11/30/2004
Return: 9.58 % Date: 10/31/2004
Return: 5.75 % Date: 9/30/2004
Return: 6.05 % Date: 8/31/2004
Return: 0.10 % Date: 7/31/2004
Return: 2.07 % Date: 6/30/2004
Return: 1.44 % Date: 5/31/2004
Return: 2.94 % Date: 4/30/2004
Return: -0.63 % Date: 3/31/2004
Return: -8.93 % Date: 2/29/2004
Return: 3.51 % Date: 1/31/2004
Return: 0.92 % Date: 12/31/2003
Return: 3.35 % Date: 11/30/2003
Return: -2.64 % Date: 10/31/2003
Return: 5.88 % Date: 9/30/2003
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 09/03 - 10/20
Return: 9.00 %
Count: 1 Return: -6.00 %
Count: 2 Return: -7.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: 7.00 %
Count: 1 Return: -8.00 %
Count: 1 Return: 8.00 %
Count: 1 Return: -4.00 %
Count: 7 Return: 5.00 %
Count: 7 Return: -2.00 %
Count: 20 Return: 10.00 %
Count: 1 Return: 2.00 %
Count: 21 Return: -1.00 %
Count: 23 Return: -9.00 %
Count: 2 Return: 4.00 %
Count: 12 Return: 1.00 %
Count: 35 Return: 3.00 %
Count: 18 Return: -3.00 %
Count: 12 Return: 6.00 %
Count: 8 Return: 0.00 %
Count: 32

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 09/03 - 10/20
Date: 10/31/2020
Drawdown: -16.89 % Date: 9/30/2020
Drawdown: -16.27 % Date: 8/31/2020
Drawdown: -17.57 % Date: 7/31/2020
Drawdown: -16.46 % Date: 6/30/2020
Drawdown: -14.55 % Date: 5/31/2020
Drawdown: -10.93 % Date: 4/30/2020
Drawdown: -11.76 % Date: 3/31/2020
Drawdown: -10.35 % Date: 2/29/2020
Drawdown: -1.92 % Date: 1/31/2020
Drawdown: -0.76 % Date: 12/31/2019
Drawdown: -8.80 % Date: 11/30/2019
Drawdown: -10.88 % Date: 10/31/2019
Drawdown: -14.32 % Date: 9/30/2019
Drawdown: -15.87 % Date: 8/31/2019
Drawdown: -14.48 % Date: 7/31/2019
Drawdown: -9.48 % Date: 6/30/2019
Drawdown: -14.06 % Date: 5/31/2019
Drawdown: -16.94 % Date: 4/30/2019
Drawdown: -15.46 % Date: 3/31/2019
Drawdown: -13.24 % Date: 2/28/2019
Drawdown: -12.67 % Date: 1/31/2019
Drawdown: -8.83 % Date: 12/31/2018
Drawdown: -7.46 % Date: 11/30/2018
Drawdown: -9.89 % Date: 10/31/2018
Drawdown: -9.37 % Date: 9/30/2018
Drawdown: -3.77 % Date: 8/31/2018
Drawdown: -3.95 % Date: 7/31/2018
Drawdown: -5.30 % Date: 6/30/2018
Drawdown: -2.44 % Date: 5/31/2018
Drawdown: -3.23 % Date: 4/30/2018
Drawdown: -6.55 % Date: 3/31/2018
Drawdown: -7.45 % Date: 2/28/2018
Drawdown: -8.64 % Date: 1/31/2018
Drawdown: -1.93 % Date: 12/31/2017
Drawdown: -0.57 % Date: 11/30/2017
Drawdown: -1.59 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: -0.03 % Date: 8/31/2017
Drawdown: -2.93 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: -0.14 % Date: 4/30/2017
Drawdown: -0.09 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: 0.00 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -1.26 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: -0.32 % Date: 6/30/2016
Drawdown: -0.46 % Date: 5/31/2016
Drawdown: -1.29 % Date: 4/30/2016
Drawdown: -2.83 % Date: 3/31/2016
Drawdown: -2.98 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: 0.00 % Date: 12/31/2015
Drawdown: -1.62 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: -1.44 % Date: 9/30/2015
Drawdown: -1.67 % Date: 8/31/2015
Drawdown: -5.99 % Date: 7/31/2015
Drawdown: -8.88 % Date: 6/30/2015
Drawdown: -7.53 % Date: 5/31/2015
Drawdown: -11.04 % Date: 4/30/2015
Drawdown: -11.69 % Date: 3/31/2015
Drawdown: -15.95 % Date: 2/28/2015
Drawdown: -14.74 % Date: 1/31/2015
Drawdown: -16.63 % Date: 12/31/2014
Drawdown: -16.48 % Date: 11/30/2014
Drawdown: -13.09 % Date: 10/31/2014
Drawdown: -13.01 % Date: 9/30/2014
Drawdown: -10.43 % Date: 8/31/2014
Drawdown: -12.71 % Date: 7/31/2014
Drawdown: -11.48 % Date: 6/30/2014
Drawdown: -10.81 % Date: 5/31/2014
Drawdown: -10.70 % Date: 4/30/2014
Drawdown: -10.37 % Date: 3/31/2014
Drawdown: -5.76 % Date: 2/28/2014
Drawdown: -3.41 % Date: 1/31/2014
Drawdown: -3.82 % Date: 12/31/2013
Drawdown: -4.77 % Date: 11/30/2013
Drawdown: -8.64 % Date: 10/31/2013
Drawdown: -10.62 % Date: 9/30/2013
Drawdown: -10.65 % Date: 8/31/2013
Drawdown: -9.61 % Date: 7/31/2013
Drawdown: -10.77 % Date: 6/30/2013
Drawdown: -11.15 % Date: 5/31/2013
Drawdown: -10.81 % Date: 4/30/2013
Drawdown: -10.77 % Date: 3/31/2013
Drawdown: -9.58 % Date: 2/28/2013
Drawdown: -7.15 % Date: 1/31/2013
Drawdown: -6.75 % Date: 12/31/2012
Drawdown: -4.35 % Date: 11/30/2012
Drawdown: -5.91 % Date: 10/31/2012
Drawdown: -3.01 % Date: 9/30/2012
Drawdown: -1.23 % Date: 8/31/2012
Drawdown: -1.54 % Date: 7/31/2012
Drawdown: -2.05 % Date: 6/30/2012
Drawdown: 0.00 % Date: 5/31/2012
Drawdown: 0.00 % Date: 4/30/2012
Drawdown: -2.10 % Date: 3/31/2012
Drawdown: -7.44 % Date: 2/29/2012
Drawdown: -8.54 % Date: 1/31/2012
Drawdown: -7.23 % Date: 12/31/2011
Drawdown: -2.87 % Date: 11/30/2011
Drawdown: 0.00 % Date: 10/31/2011
Drawdown: -3.58 % Date: 9/30/2011
Drawdown: -6.39 % Date: 8/31/2011
Drawdown: -10.47 % Date: 7/31/2011
Drawdown: -10.74 % Date: 6/30/2011
Drawdown: -11.74 % Date: 5/31/2011
Drawdown: -10.94 % Date: 4/30/2011
Drawdown: -7.98 % Date: 3/31/2011
Drawdown: -5.78 % Date: 2/28/2011
Drawdown: -5.39 % Date: 1/31/2011
Drawdown: -6.60 % Date: 12/31/2010
Drawdown: -6.91 % Date: 11/30/2010
Drawdown: -8.70 % Date: 10/31/2010
Drawdown: -6.94 % Date: 9/30/2010
Drawdown: -9.21 % Date: 8/31/2010
Drawdown: -9.57 % Date: 7/31/2010
Drawdown: -10.81 % Date: 6/30/2010
Drawdown: -10.12 % Date: 5/31/2010
Drawdown: -10.52 % Date: 4/30/2010
Drawdown: -9.36 % Date: 3/31/2010
Drawdown: -9.43 % Date: 2/28/2010
Drawdown: -8.51 % Date: 1/31/2010
Drawdown: -8.09 % Date: 12/31/2009
Drawdown: -3.94 % Date: 11/30/2009
Drawdown: -0.25 % Date: 10/31/2009
Drawdown: -2.38 % Date: 9/30/2009
Drawdown: 0.00 % Date: 8/31/2009
Drawdown: 0.00 % Date: 7/31/2009
Drawdown: 0.00 % Date: 6/30/2009
Drawdown: -0.52 % Date: 5/31/2009
Drawdown: 0.00 % Date: 4/30/2009
Drawdown: 0.00 % Date: 3/31/2009
Drawdown: -2.39 % Date: 2/28/2009
Drawdown: -0.10 % Date: 1/31/2009
Drawdown: 0.00 % Date: 12/31/2008
Drawdown: 0.00 % Date: 11/30/2008
Drawdown: -0.29 % Date: 10/31/2008
Drawdown: -2.54 % Date: 9/30/2008
Drawdown: 0.00 % Date: 8/31/2008
Drawdown: -0.09 % Date: 7/31/2008
Drawdown: -3.34 % Date: 6/30/2008
Drawdown: -1.53 % Date: 5/31/2008
Drawdown: 0.00 % Date: 4/30/2008
Drawdown: 0.00 % Date: 3/31/2008
Drawdown: 0.00 % Date: 2/29/2008
Drawdown: -2.69 % Date: 1/31/2008
Drawdown: -7.59 % Date: 12/31/2007
Drawdown: 0.00 % Date: 11/30/2007
Drawdown: 0.00 % Date: 10/31/2007
Drawdown: 0.00 % Date: 9/30/2007
Drawdown: 0.00 % Date: 8/31/2007
Drawdown: 0.00 % Date: 7/31/2007
Drawdown: -0.69 % Date: 6/30/2007
Drawdown: -2.66 % Date: 5/31/2007
Drawdown: -3.80 % Date: 4/30/2007
Drawdown: 0.00 % Date: 3/31/2007
Drawdown: 0.00 % Date: 2/28/2007
Drawdown: 0.00 % Date: 1/31/2007
Drawdown: 0.00 % Date: 12/31/2006
Drawdown: -1.16 % Date: 11/30/2006
Drawdown: 0.00 % Date: 10/31/2006
Drawdown: 0.00 % Date: 9/30/2006
Drawdown: -1.23 % Date: 8/31/2006
Drawdown: -0.04 % Date: 7/31/2006
Drawdown: -0.02 % Date: 6/30/2006
Drawdown: -2.31 % Date: 5/31/2006
Drawdown: 0.00 % Date: 4/30/2006
Drawdown: -2.15 % Date: 3/31/2006
Drawdown: 0.00 % Date: 2/28/2006
Drawdown: 0.00 % Date: 1/31/2006
Drawdown: 0.00 % Date: 12/31/2005
Drawdown: 0.00 % Date: 11/30/2005
Drawdown: 0.00 % Date: 10/31/2005
Drawdown: 0.00 % Date: 9/30/2005
Drawdown: 0.00 % Date: 8/31/2005
Drawdown: -0.05 % Date: 7/31/2005
Drawdown: -1.43 % Date: 6/30/2005
Drawdown: -1.97 % Date: 5/31/2005
Drawdown: 0.00 % Date: 4/30/2005
Drawdown: 0.00 % Date: 3/31/2005
Drawdown: 0.00 % Date: 2/28/2005
Drawdown: -3.70 % Date: 1/31/2005
Drawdown: -2.08 % Date: 12/31/2004
Drawdown: -1.69 % Date: 11/30/2004
Drawdown: 0.00 % Date: 10/31/2004
Drawdown: 0.00 % Date: 9/30/2004
Drawdown: 0.00 % Date: 8/31/2004
Drawdown: -3.45 % Date: 7/31/2004
Drawdown: -3.55 % Date: 6/30/2004
Drawdown: -5.50 % Date: 5/31/2004
Drawdown: -6.84 % Date: 4/30/2004
Drawdown: -9.50 % Date: 3/31/2004
Drawdown: -8.93 % Date: 2/29/2004
Drawdown: 0.00 % Date: 1/31/2004
Drawdown: 0.00 % Date: 12/31/2003
Drawdown: 0.00 % Date: 11/30/2003
Drawdown: -2.64 % Date: 10/31/2003
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Quantitative Investment Management, LLC
Address: 401 East Market St. Suite 104
City: Charlottesville
State: VA
Zip: 22902
Country: USA

Key People

Name:  Jaffray Woodriff
Position:  Chief Executive Officer
Biography: 

Jaffray has over 20 years’ experience trading financial markets using proprietary quantitative models that he has developed. In 2003, Jaffray co-founded QIM to offer the Global Program to outside clients. He guides all aspects of QIM’s business and is chiefly responsible for the constant innovation and improvement of the models and techniques that underlie QIM’s predictions, trading, and risk management. Jaffray served as head trader for Blue Ridge Trading from October 1991 to July 1994. He then founded Woodriff Trading as a CTA and managed client money there until October 1997. In January 1998, he joined Société Générale in its New York office, where he served for two years as a director in the Treasury department, trading proprietary funds in futures, currencies and U.S. equities. Following his departure from Société Générale in March 2000, Jaffray and Michael began managing their own money in a short-term, market-neutral equities program. This led them to co-found a broker-dealer, DHR. In October 2002, Jaffray also co-founded Biomind, a bioinformatics consulting and software firm. Jaffray graduated from the University of Virginia in 1991 with a B.S. in Commerce.


Name:  Michael Geismar
Position:  Principal
Biography: 

Michael co-founded QIM with Jaffray Woodriff in 2003. As the President of QIM, Michael oversees the implementation of the firm’s investment models and its portfolio management. Michael also manages investor relations and QIM’s general business affairs. Michael and Jaffray first worked together from January until July 1994, when Michael was an assistant trader at Blue Ridge Trading. Michael then worked as an actuary and benefits consultant for Towers Perrin from September 1994 until August 1996, Coopers & Lybrand from August 1996 until October 1997, and William M. Mercer from October 1997 until October 1998, when he joined Capital One Financial as an analyst. In February 2000, he re-joined Jaffray, assisting in the development of an equities investment program that led the two to co-found DHR. Michael graduated from the University of Virginia in 1994 with a B.A. in Mathematics and a minor in Statistics.


Name:  Greyson Williams
Position:  Principal
Biography: 

Greyson co-founded QIM after joining Jaffray and Michael as a consultant to DHR in December 2002. Greyson guides the firm’s broad technical strategies and implementations. He shares with Michael in managing QIM’s general business and organizational development. Greyson spent the previous 13 years specializing in the collection, management, analysis, and application of financial information and market data. He worked as an analyst in the Bank Mergers & Acquisitions Department at SNL Securities from August 1997 until July 2000, serving as director of banking mergers & acquisitions research from May 1999 until his departure. In December 2000, he co-founded VW Capital, a firm created to map complex merger terms into programmatic models for interfacing with real-time market data. In October 2002, he founded Jobe Analytics & Consulting, a financial information management consulting firm. Greyson graduated from the University of Virginia in 1995 with a B.A. in English and a minor in Art History. Greyson earned the Chartered Financial Analyst (CFA) designation in 2008.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Investment Methodology
 Technical Yes 
 Systematic Yes 
 Diversified Yes 
 Pattern Recognition Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Short Term Yes 
 Intra-Week Yes 
 Investment Terms & Information
 Managed Account Minimum: $20,000,000 
 Margin / Equity Ratio: 12% 
 Managed Account Availability: Open 
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