QCAM Asset Management AG : EVEREST Vol 10

Year-to-Date
N / A
Dec Performance
-2.34%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
0%
Annualized Vol
9.42%
Sharpe (RFR=1%)
1.03
CAROR
10.81%
Assets
$ 1.0M
Worst DD
-6.50
S&P Correlation
0.05

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 YTD 1yr 3yr 5yr 10yr Since
3/2016
EVEREST Vol 10 -2.34 -4.43 - -1.60 12.98 - - 48.19
S&P 500 2.86 8.53 - 28.87 42.84 - - 55.26
+/- S&P 500 -5.20 -12.96 - -30.47 -29.86 - - -7.07

Strategy Description

Summary

The Company 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... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
4.00
Management Fee
2.00%
Performance Fee
0%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
-6.50%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Momentum
50.00%
Strategy Pie Chart

Composition

Currency Futures
80.00%
Precious Metals
20.00%
Composition Pie Chart

Summary

The Company 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 Strategy The EVEREST Program is a fully systematic, diversified trading strategy which was designed to achieve superior risk-adjusted returns regardless of overall market direction. It is live since March 2016 and has achieved a double digit annualized net return with a controlled level of volatility. EVEREST is active in foreign exchange and precious metals markets employing a blend of complimentary market timing methodologies in order to diversify trading risk.

Risk Management

100% Systematic on a Strategy level

   

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
-6.50 6 7 10/1/2017 4/1/2018
-5.01 2 1 8/1/2016 10/1/2016
-4.43 3 - 9/1/2019 12/1/2019
-2.99 2 2 12/1/2018 2/1/2019
-2.51 1 1 4/1/2016 5/1/2016
-2.25 1 1 7/1/2019 8/1/2019
-2.10 2 3 1/1/2017 3/1/2017
-1.52 2 1 4/1/2019 6/1/2019
-0.77 1 1 8/1/2017 9/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
15.23 3 6/1/2016 8/1/2016
13.81 3 11/1/2016 1/1/2017
12.64 5 4/1/2017 8/1/2017
11.20 2 3/1/2016 4/1/2016
4.31 4 9/1/2018 12/1/2018
4.00 2 3/1/2019 4/1/2019
3.69 1 5/1/2018 5/1/2018
3.04 1 9/1/2019 9/1/2019
2.87 1 7/1/2019 7/1/2019
1.17 1 10/1/2017 10/1/2017
0.55 1 7/1/2018 7/1/2018
0.24 1 11/1/2019 11/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.50 6 11/1/2017 4/1/2018
-5.01 2 9/1/2016 10/1/2016
-2.99 2 1/1/2019 2/1/2019
-2.51 1 5/1/2016 5/1/2016
-2.37 1 10/1/2019 10/1/2019
-2.34 1 12/1/2019 12/1/2019
-2.25 1 8/1/2019 8/1/2019
-2.10 2 2/1/2017 3/1/2017
-1.52 2 5/1/2019 6/1/2019
-0.77 1 9/1/2017 9/1/2017
-0.62 1 8/1/2018 8/1/2018
-0.32 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable54.3568.1880.4988.5796.55100.00
Average Period Return0.892.625.079.2313.2515.86
Average Gain2.834.866.9110.6113.7915.86
Average Loss-1.41-2.20-2.54-1.49-1.89
Best Period7.9415.2324.9234.1748.9340.83
Worst Period-3.40-4.62-6.50-3.05-1.891.04
Standard Deviation2.724.876.469.5512.5611.30
Gain Standard Deviation2.134.245.729.2712.4411.30
Loss Standard Deviation0.981.272.601.23
Sharpe Ratio (1%)0.300.490.710.860.941.23
Average Gain / Average Loss2.012.212.737.117.29
Profit / Loss Ratio2.394.7411.2455.09204.05
Downside Deviation (10%)1.392.072.532.592.973.63
Downside Deviation (5%)1.191.541.720.920.640.26
Downside Deviation (0%)1.151.421.550.620.35
Sortino Ratio (10%)0.350.671.031.631.901.55
Sortino Ratio (5%)0.681.532.668.9118.3953.98
Sortino Ratio (0%)0.781.843.2714.8737.70

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.