QCAM Asset Management AG : Swarm Strategy

Year-to-Date
1.63%
Oct Performance
1.26%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.67%
Sharpe (RFR=1%)
1.24
CAROR
17.12%
Assets
$ 5,000.0M
Worst DD
-6.61
S&P Correlation
0.10

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
1/2016
Swarm Strategy 1.26 -0.47 -1.63 5.82 66.99 - - 83.26
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 54.96
+/- S&P 500 -0.78 -2.39 -22.79 -6.19 25.58 - - 28.30

Strategy Description

Summary

The SWARM Program (SWARM) is a fully systematic investment strategy based entirely on machine learning approaches. It is designed to achieve superior risk-adjusted returns irrespective of the direction of the broader market. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
20000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
Sector Focus
Currency Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
10.00%
Counter-trend
10.00%
Fundamental
10.00%
Pattern Recognition
10.00%
Seasonal/cyclical
10.00%
Technical
10.00%
Other
40.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The SWARM Program (SWARM) is a fully systematic investment strategy based entirely on machine learning approaches. It is designed to achieve superior risk-adjusted returns irrespective of the direction of the broader market.

Investment Strategy

The strategy screens assets globally and then build positions via 20+ FX spot pairs. Various sub-strategies diversify trading approaches and contribute their inputs to their respective regularized neural networks. The execution of the strategy is systematic, and all facets of the models, risk management and trade allocation are fully automated. Average holding periods approx. 10 hours and maximum holding periods approx. 2.3 days allowing for fast reaction times and no trend dependence. Margin to equity for the SWARM strategy is approx. 30%. Managed accounts give single position transparency and allow for different risk targets.

Risk Management

QCAM has implemented a rigorous and independent monitoring and risk management process in order to prevent its investors from any losses due to errors in that field. 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. QCAM’s programs use a number of approaches that limit position taking and aim to reduce losses. All of these methods, described below, are systematically applied “hard” rules: Position Reduction: we calculate the potential for future losses for each position in the portfolio based on recent market events. If the forecast loss is in excess of a pre- defined position reduction level, the position is reduced in size. Positions are re-entered when the loss is no longer in excess of the position reduction level. Strategy Reduction: this is similar to Position Reduction, but applied at an investment strategy level. This helps protect the portfolio when market conditions are unfavourable with respect to a particular strategy, rather than for an individual position. Portfolio Risk Control: portfolio VaR is measured in near real time. When VaR exceeds predefined limits, positions across the portfolio are reduced in size to bring portfolio risk towards its target level. Strategy Drawdown De-allocation: the profitability of every investment strategy is monitored on a daily basis. When losses experienced by an investment strategy reach an historic maximum drawdown threshold, a review by the Investment Committee is triggered to evaluate the reasons behind it. Intra-month De-gear: when losses experienced reach a predefined intra-month level, strategies scale back risk systematically. In addition, position sizes are normalised with respect to market volatility on an intraday basis in order to achieve the desired level of risk exposure. Accordingly, as the strategies forecasts of market risk increase, position sizes shrink.

   

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
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Sharpe Ratio: (RF=1%)
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Compound RoR:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-6.61 2 8 2/1/2018 4/1/2018
-6.44 3 3 1/1/0001 3/1/2016
-5.30 7 - 1/1/2019 8/1/2019
-2.89 1 6 11/1/2016 12/1/2016
-1.07 1 1 6/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
51.83 7 8/1/2017 2/1/2018
26.73 8 4/1/2016 11/1/2016
11.96 4 10/1/2018 1/1/2019
5.09 3 5/1/2018 7/1/2018
4.01 2 5/1/2017 6/1/2017
1.83 2 9/1/2019 10/1/2019
1.53 3 1/1/2017 3/1/2017
1.37 2 3/1/2019 4/1/2019
1.24 1 6/1/2019 6/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.61 2 3/1/2018 4/1/2018
-6.44 3 1/1/2016 3/1/2016
-4.35 2 8/1/2018 9/1/2018
-3.55 1 5/1/2019 5/1/2019
-2.97 2 7/1/2019 8/1/2019
-2.89 1 12/1/2016 12/1/2016
-1.40 1 2/1/2019 2/1/2019
-1.07 1 7/1/2017 7/1/2017
-0.99 1 4/1/2017 4/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable69.5770.4580.49100.0096.55100.00
Average Period Return1.394.5710.3223.2940.1260.47
Average Gain2.957.5013.3623.2941.5760.47
Average Loss-2.18-2.40-2.25-0.47
Best Period15.8724.3745.0155.1868.3591.31
Worst Period-4.75-6.44-3.961.43-0.4723.72
Standard Deviation3.667.1211.3815.7219.2715.55
Gain Standard Deviation3.216.4510.5915.7217.9415.55
Loss Standard Deviation1.411.631.51
Sharpe Ratio (1%)0.360.610.861.422.003.76
Average Gain / Average Loss1.353.125.9388.31
Profit / Loss Ratio3.097.4424.482472.55
Downside Deviation (10%)1.612.162.180.681.57
Downside Deviation (5%)1.461.681.370.37
Downside Deviation (0%)1.421.561.180.09
Sortino Ratio (10%)0.611.553.6026.9120.74
Sortino Ratio (5%)0.902.587.18105.33
Sortino Ratio (0%)0.982.938.78458.96

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.