QCAM Asset Management AG : GRAB+

Year-to-Date
N / A
Dec Performance
0.62%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
12.15%
Sharpe (RFR=1%)
1.60
CAROR
21.64%
Assets
$ 350k
Worst DD
-4.08
S&P Correlation
-0.38

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
4/2016
GRAB+ 0.62 0.19 - 25.44 84.03 - - 108.45
S&P 500 2.86 8.53 - 28.87 42.84 - - 54.84
+/- S&P 500 -2.24 -8.34 - -3.42 41.20 - - 53.61

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
$ 1,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
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
-4.07%
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

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Softs
20.00%
Stock Indices
17.00%
Energy
10.00%
Grains
10.00%
Livestock
10.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Interest Rates
3.00%
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 GRAB utilises a swing and trend focused trading methodology with a focus on elliptical cycles in financial markets. The algorithm detects tradeable patterns across 30 markets and trades them in the most suitable sub-strategy based on daily observations. The strategy makes use of entry and exit algorithms to detect regimes and employs an active drawdown limiting system. The GRAB strategy was developed in 2013 and ongoing research has lead to further improvement implementations as recent as March 2019, leading to GRAB+.

Risk Management

Build in Drawdown Limiter

   

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
-4.08 2 1 10/1/2016 12/1/2016
-3.84 2 4 6/1/2017 8/1/2017
-3.51 1 5 10/1/2018 11/1/2018
-3.15 3 1 6/1/2018 9/1/2018
-2.69 1 - 10/1/2019 11/1/2019
-2.26 1 1 8/1/2016 9/1/2016
-1.58 1 1 2/1/2017 3/1/2017
-1.32 1 1 2/1/2018 3/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
30.55 8 3/1/2019 10/1/2019
23.76 3 12/1/2017 2/1/2018
14.89 3 4/1/2016 6/1/2016
9.94 3 4/1/2018 6/1/2018
5.67 2 1/1/2017 2/1/2017
5.52 3 4/1/2017 6/1/2017
4.68 1 10/1/2018 10/1/2018
2.96 2 9/1/2017 10/1/2017
2.95 1 12/1/2018 12/1/2018
2.75 1 10/1/2016 10/1/2016
2.34 1 8/1/2016 8/1/2016
0.62 1 12/1/2019 12/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.08 2 11/1/2016 12/1/2016
-3.84 2 7/1/2017 8/1/2017
-3.51 1 11/1/2018 11/1/2018
-3.15 3 7/1/2018 9/1/2018
-2.69 1 11/1/2019 11/1/2019
-2.26 1 9/1/2016 9/1/2016
-1.86 2 1/1/2019 2/1/2019
-1.58 1 3/1/2017 3/1/2017
-1.32 1 3/1/2018 3/1/2018
-0.15 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable64.4481.4092.50100.00100.00100.00
Average Period Return1.705.0110.1620.4333.5250.47
Average Gain3.496.4911.0420.4333.5250.47
Average Loss-1.75-1.46-0.71
Best Period12.1123.7629.2436.3159.8572.98
Worst Period-3.51-3.15-1.411.6610.6536.25
Standard Deviation3.516.459.7010.5310.5012.30
Gain Standard Deviation3.076.259.5510.5310.5012.30
Loss Standard Deviation0.970.970.65
Sharpe Ratio (1%)0.460.741.001.853.053.94
Average Gain / Average Loss1.994.4515.57
Profit / Loss Ratio4.1219.46192.07
Downside Deviation (10%)1.321.261.040.59
Downside Deviation (5%)1.150.840.37
Downside Deviation (0%)1.110.740.24
Sortino Ratio (10%)0.983.017.3826.24
Sortino Ratio (5%)1.415.7026.33
Sortino Ratio (0%)1.546.7741.91

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.