QCAM Asset Management AG : Enhanced Intelligence Strategy Vol 10

Year-to-Date
1.52%
Dec Performance
2.26%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.10%
Sharpe (RFR=1%)
1.14
CAROR
12.76%
Assets
$ 66.0M
Worst DD
-6.19
S&P Correlation
-0.16

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Dec Qtr 2019 1yr 3yr 5yr 10yr Since
1/2016
Enhanced Intelligence Strategy Vol 10 2.26 1.46 1.52 1.52 38.64 - - 61.64
S&P 500 2.86 8.53 28.87 28.87 42.84 - - 64.82
+/- S&P 500 -0.60 -7.07 -27.35 -27.35 -4.20 - - -3.18

Strategy Description

Summary

QCAM Currency Asset Management AG is an independent Asset Management company based in Zug/Switzerland. The company was incorporated in 2005 by some very experienced investment specialists with primary activities in Currency Management. As of today, Currency Overlay and FX Best Execution... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
11.00%
Counter-trend
11.00%
Momentum
11.00%
Pattern Recognition
11.00%
Technical
33.00%
Trend-following
11.00%
Other
12.00%
Strategy Pie Chart

Composition

Currency FX
33.00%
Currency Futures
10.00%
Interest Rates
10.00%
Stock Indices
10.00%
VIX
10.00%
Other
9.00%
Industrial Metals
3.00%
Precious Metals
3.00%
Energy
3.00%
Grains
3.00%
Livestock
3.00%
Softs
3.00%
Composition Pie Chart

Summary

QCAM Currency Asset Management AG is an independent Asset Management company based in Zug/Switzerland. The company was incorporated in 2005 by some very experienced investment specialists with primary activities in Currency Management. As of today, Currency Overlay and FX Best Execution Services, Optimized Liquidity Management and award winning systematic FX/CTA- Investment strategies are the core competencies of QCAM. Institutional clients of QCAM are pension funds, family offices, investment funds, NGO’s and corporate clients for which the company currently manages assets in excess of USD 5bn. QCAM is regulated in Switzerland by the Swiss Financial Market Supervisory Authority FINMA and in the US by the Securities and Exchange Commission SEC.

Investment Strategy

The Enhanced Intelligence Program („EI“) is a fully systematic and globally diversified investment strategy, designed to achieve superior risk-adjusted returns irrespective of the direction of the broader market. The strategy deploys assets in exchange listed instruments by investing across 5 systematic directional and non-directional SteppenWolf strategies through 100 different equity, currency, commodity, interest rate and volatility markets.

Risk Management

QCAM has implemented a rigorous and independent monitoring and risk management process. The risk department at QCAM has access to all internal and external applications at any point in time. This guarantees a consistent and real-time monitoring process.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-6.19 4 2 6/1/2018 10/1/2018
-4.60 1 5 8/1/2016 9/1/2016
-3.63 1 2 2/1/2018 3/1/2018
-3.47 3 - 5/1/2019 8/1/2019
-2.76 1 1 2/1/2016 3/1/2016
-2.59 1 4 12/1/2018 1/1/2019
-2.02 2 1 6/1/2017 8/1/2017
-1.90 2 1 9/1/2017 11/1/2017
-0.65 1 1 6/1/2016 7/1/2016
-0.09 1 1 2/1/2017 3/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
15.79 3 12/1/2017 2/1/2018
15.54 3 4/1/2016 6/1/2016
8.41 3 4/1/2018 6/1/2018
8.21 1 9/1/2017 9/1/2017
7.37 3 4/1/2017 6/1/2017
6.70 2 11/1/2018 12/1/2018
5.37 4 2/1/2019 5/1/2019
4.48 2 10/1/2016 11/1/2016
3.14 1 8/1/2016 8/1/2016
2.26 1 12/1/2019 12/1/2019
2.10 2 1/1/2016 2/1/2016
2.08 1 2/1/2017 2/1/2017
1.28 2 9/1/2019 10/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.19 4 7/1/2018 10/1/2018
-4.60 1 9/1/2016 9/1/2016
-3.63 1 3/1/2018 3/1/2018
-3.47 3 6/1/2019 8/1/2019
-2.76 1 3/1/2016 3/1/2016
-2.59 1 1/1/2019 1/1/2019
-2.02 2 7/1/2017 8/1/2017
-1.90 2 10/1/2017 11/1/2017
-1.48 2 12/1/2016 1/1/2017
-1.07 1 11/1/2019 11/1/2019
-0.65 1 7/1/2016 7/1/2016
-0.09 1 3/1/2017 3/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods48.0046.0043.0037.0031.0025.0013.00
Percent Profitable58.3373.9188.37100.00100.00100.00100.00
Average Period Return1.053.136.5413.5222.3033.1746.00
Average Gain2.895.027.6413.5222.3033.1746.00
Average Loss-1.53-2.21-1.86
Best Period8.2115.7922.9229.2036.7549.1159.23
Worst Period-4.60-6.08-3.280.591.6214.3634.21
Standard Deviation2.924.676.268.6310.249.338.57
Gain Standard Deviation2.273.795.798.6310.249.338.57
Loss Standard Deviation1.322.011.40
Sharpe Ratio (1%)0.330.620.961.452.033.345.02
Average Gain / Average Loss1.892.274.11
Profit / Loss Ratio2.646.4331.26
Downside Deviation (10%)1.502.021.711.281.66
Downside Deviation (5%)1.331.600.910.07
Downside Deviation (0%)1.291.500.76
Sortino Ratio (10%)0.430.942.386.648.84
Sortino Ratio (5%)0.721.816.61185.78
Sortino Ratio (0%)0.812.098.56

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.