QCAM Asset Management AG : Multi-Strategy Vol 30

Year-to-Date
4.16%
Oct Performance
-7.44%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
26.93%
Sharpe (RFR=1%)
0.75
CAROR
19.18%
Assets
$ 5,000.0M
Worst DD
-34.23
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
8/2011
Multi-Strategy Vol 30 -7.44 -12.23 -4.16 16.95 39.79 76.56 - 325.28
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 146.64
+/- S&P 500 -9.48 -14.15 -25.32 4.94 -1.62 27.57 - 178.64

Strategy Description

Summary

SteppenWolf Capital (‘SteppenWolf’) is an award winning multi strategy company with a focus on Systematic, Fixed Income, Equity and Option-Arbitrage strategies, offered and implemented via distinct in-house investment teams. SteppenWolf is a Member of the Financial Services Standards... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.50
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$0
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
9000 RT/YR/$M
Avg. Margin-to-Equity
45%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
34.00%
1-3 Months
33.00%
1-30 Days
33.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
33.00%
Momentum
33.00%
Pattern Recognition
34.00%
Strategy Pie Chart

Composition

VIX
20.00%
Interest Rates
18.00%
Currency Futures
16.00%
Stock Indices
16.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Energy
5.00%
Grains
5.00%
Livestock
5.00%
Softs
5.00%
Composition Pie Chart

Summary

SteppenWolf Capital (‘SteppenWolf’) is an award winning multi strategy company with a focus on Systematic, Fixed Income, Equity and Option-Arbitrage strategies, offered and implemented via distinct in-house investment teams. SteppenWolf is a Member of the Financial Services Standards Association (VQF), the largest Swiss association that assures quality in financial services, supervised by FINMA. The firm also registered with the National Futures Association (NFA), and U.S. Commodity Futures Trading Commission (CFTC) as a CTA. The Systematic Intelligence program 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 globally by investing in 80 different equity, currency, commodity, interest rate and volatility markets via highly liquid instruments to maximize diversification and limit volatility. The SteppenWolf Systematic Intelligence Strategy (“SI”) commenced trading in December 2015. Returns prior to that correspond to real traded figures of the ecamos Core Fund from August 2011 to December 2014. Net performance calculated for all years is net of a 1% management fee per annum and a 20% performance fee per annum and reflects the reinvestment of income. Past performance is not indicative of future results, which will vary, and a loss of principal may occur. From December 2015 through the date of this report performance is based on the asset weighted performance of all accounts invested in the SI, scaled to the respective volatility target, including both commingled and managed accounts. Performance fees are accrued daily, paid quarterly and a high water mark is employed. Performance is in USD and all returns and statistics are based on monthly returns. Performance information is not a measure of return to the investor, is not based on audited financial statements, and is dated; return may have decreased since the issuance of this report. Alternative Investments by their nature involve a substantial degree of risk and performance may be volatile which can lead to a partial or total loss of the invested capital. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCESBETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Investment Strategy

A diversified systematic portfolio with 3 core investment strategies in Equities, FX, Interest Rates and Commodities. The strategies are dynamically weighted, allowing complete de-allocation from an asset class and avoiding over fitting and a pre-established bias. All Strategies are lowly correlated to each other, supported by the use of fundamentally different economic theories.

Risk Management

The number of markets traded: The aim is to diversify risk as broadly as possible and to systematically manage it with human oversight at multiple levels throughout the investment process Multiple Trading Strategies: Sophisticated risk management procedures that take into account price, volatility, correlation, liquidity and size are applied across all strategies. New models are tested over a broad range of market conditions prior to being deployed in the strategy. Allocation of Capital: Dynamic risk budget for each market and strategy. The models are robust and stable, not causing massive changes in portfolio from day to day. In the trend following strategy, as markets fall out due to adverse trends, the funds are not reallocated to the remaining markets. This naturally deleverages the entire strategy during adverse trend periods and increases cash usage during trending market environments across markets and sectors. Market exposure is scaled back quickly in loss producing markets. Multiple Parameters within each strategy: Risk management is used within strategies as well as on a portfolio level. Strategies with weaker performance output gradually decrease in importance and weight. Portfolio risk is monitored on a daily basis to target a specific standard deviation of daily returns. The different sectors traded: Concentration caps are in place to address risks during times of very high or overly low volatility.

   

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
-34.23 2 8 4/1/2013 6/1/2013
-32.36 9 - 1/1/2018 10/1/2018
-13.40 3 1 2/1/2016 5/1/2016
-13.32 3 2 7/1/2016 10/1/2016
-9.57 1 5 9/1/2012 10/1/2012
-9.39 1 4 6/1/2014 7/1/2014
-9.00 2 3 8/1/2011 10/1/2011
-7.82 1 1 11/1/2015 12/1/2015
-5.65 3 2 2/1/2012 5/1/2012
-3.34 1 2 7/1/2017 8/1/2017
-3.22 2 1 4/1/2017 6/1/2017
-0.89 1 1 10/1/2017 11/1/2017
-0.53 1 1 12/1/2016 1/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
75.89 6 1/1/2014 6/1/2014
30.21 4 11/1/2011 2/1/2012
25.62 2 6/1/2016 7/1/2016
23.10 3 9/1/2013 11/1/2013
22.52 3 2/1/2017 4/1/2017
22.16 2 11/1/2014 12/1/2014
22.05 4 6/1/2012 9/1/2012
22.02 2 11/1/2018 12/1/2018
20.91 1 7/1/2013 7/1/2013
19.94 3 2/1/2019 4/1/2019
18.94 2 1/1/2016 2/1/2016
17.89 2 9/1/2017 10/1/2017
16.52 2 3/1/2013 4/1/2013
15.85 2 11/1/2016 12/1/2016
8.96 2 12/1/2017 1/1/2018
8.45 2 8/1/2014 9/1/2014
7.50 1 11/1/2012 11/1/2012
5.76 2 4/1/2018 5/1/2018
5.11 1 7/1/2017 7/1/2017
4.44 1 6/1/2019 6/1/2019
2.82 1 8/1/2011 8/1/2011
2.79 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.23 2 5/1/2013 6/1/2013
-20.42 2 2/1/2018 3/1/2018
-19.63 5 6/1/2018 10/1/2018
-14.31 4 7/1/2019 10/1/2019
-13.40 3 3/1/2016 5/1/2016
-13.32 3 8/1/2016 10/1/2016
-9.57 1 10/1/2012 10/1/2012
-9.39 1 7/1/2014 7/1/2014
-9.00 2 9/1/2011 10/1/2011
-8.92 1 1/1/2019 1/1/2019
-7.82 12 1/1/2015 12/1/2015
-5.65 3 3/1/2012 5/1/2012
-5.22 1 12/1/2013 12/1/2013
-3.69 1 12/1/2012 12/1/2012
-3.34 1 8/1/2017 8/1/2017
-3.22 2 5/1/2017 6/1/2017
-2.55 1 2/1/2013 2/1/2013
-1.96 1 5/1/2019 5/1/2019
-1.20 1 10/1/2014 10/1/2014
-0.89 1 11/1/2017 11/1/2017
-0.84 1 8/1/2013 8/1/2013
-0.53 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods99.0097.0094.0088.0082.0076.0064.0052.0040.00
Percent Profitable49.4959.7965.9681.8286.5998.68100.00100.00100.00
Average Period Return1.775.5411.7725.1038.9756.63101.42145.04208.67
Average Gain7.5813.5821.0932.8345.7657.58101.42145.04208.67
Average Loss-5.03-8.34-7.75-9.67-4.83-14.58
Best Period20.9139.6375.89146.05191.81191.81223.08312.24339.80
Worst Period-21.09-28.33-23.23-26.96-15.34-14.5823.5935.2776.56
Standard Deviation7.7712.9617.4831.7640.4640.8448.9872.7562.08
Gain Standard Deviation5.479.3313.6929.8039.2940.2748.9872.7562.08
Loss Standard Deviation5.116.825.898.324.61
Sharpe Ratio (1%)0.220.410.640.760.931.342.011.943.28
Average Gain / Average Loss1.511.632.723.399.483.95
Profit / Loss Ratio1.893.156.4915.2761.17296.11
Downside Deviation (10%)4.666.516.217.174.972.95
Downside Deviation (5%)4.516.065.305.702.831.90
Downside Deviation (0%)4.475.955.085.372.391.67
Sortino Ratio (10%)0.290.661.502.806.3115.70
Sortino Ratio (5%)0.370.872.134.2313.2528.70
Sortino Ratio (0%)0.400.932.324.6816.3033.85

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.