QCAM Asset Management AG : Total Intelligence Vol 10

Year-to-Date
N / A
Dec Performance
1.70%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.17%
Sharpe (RFR=1%)
1.41
CAROR
14.41%
Assets
$ 77.0M
Worst DD
-4.75
S&P Correlation
-0.11

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
Total Intelligence Vol 10 1.70 0.44 - 1.64 36.92 - - 67.52
S&P 500 2.86 8.53 - 28.87 42.84 - - 55.26
+/- S&P 500 -1.16 -8.09 - -27.23 -5.92 - - 12.26

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
Fund
Minimum Investment
$ 500k
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
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
15000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
-4.76%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
25.00%
1-30 Days
50.00%
Intraday
25.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
8.00%
Counter-trend
12.00%
Momentum
20.00%
Pattern Recognition
8.00%
Technical
25.00%
Trend-following
2.00%
Other
25.00%
Strategy Pie Chart

Composition

Currency FX
25.00%
Currency Futures
20.00%
Precious Metals
10.00%
Stock Indices
10.00%
Industrial Metals
5.00%
Energy
5.00%
Grains
5.00%
Interest Rates
5.00%
Livestock
5.00%
Softs
5.00%
VIX
5.00%
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 Total Intelligence Program (“TI”) is a combination of all alpha generating QCAM strategies, designed to achieve superior risk- adjusted returns with the inherent benefits of multi strategy investing. The multi strategy portfolio benefits from diversification across asset classes, trading frequencies, different economic theories and financial market patterns offering investors an all-weather portfolio. The Total Intelligence Multi Strategy portfolio offers investors the most attractive risk return ratio within the entire QCAM bandwidth of strategies.

Risk Management

100% Systematized across all 6 sub-strategies

   

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
-4.75 2 1 8/1/2016 10/1/2016
-4.09 3 3 6/1/2018 9/1/2018
-2.78 2 2 12/1/2018 2/1/2019
-2.71 1 2 2/1/2018 3/1/2018
-2.49 1 1 10/1/2017 11/1/2017
-2.43 3 - 5/1/2019 8/1/2019
-0.94 1 1 1/1/0001 3/1/2016
-0.54 1 1 2/1/2017 3/1/2017
-0.26 1 1 7/1/2017 8/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
21.87 5 4/1/2016 8/1/2016
10.87 3 12/1/2017 2/1/2018
8.97 4 4/1/2017 7/1/2017
8.28 4 11/1/2016 2/1/2017
7.43 3 4/1/2018 6/1/2018
6.34 2 9/1/2017 10/1/2017
6.28 3 10/1/2018 12/1/2018
4.82 3 3/1/2019 5/1/2019
1.77 1 9/1/2019 9/1/2019
1.70 1 12/1/2019 12/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.75 2 9/1/2016 10/1/2016
-4.09 3 7/1/2018 9/1/2018
-2.78 2 1/1/2019 2/1/2019
-2.71 1 3/1/2018 3/1/2018
-2.49 1 11/1/2017 11/1/2017
-2.43 3 6/1/2019 8/1/2019
-1.24 2 10/1/2019 11/1/2019
-0.94 1 3/1/2016 3/1/2016
-0.54 1 3/1/2017 3/1/2017
-0.26 1 8/1/2017 8/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable63.0479.5592.68100.00100.00100.00
Average Period Return1.163.486.7314.0522.5431.79
Average Gain2.614.777.3414.0522.5431.79
Average Loss-1.31-1.52-0.98
Best Period8.1916.5720.7225.0043.9254.72
Worst Period-4.62-4.09-1.931.643.6013.72
Standard Deviation2.654.255.317.9210.6211.20
Gain Standard Deviation2.133.755.027.9210.6211.20
Loss Standard Deviation1.201.410.89
Sharpe Ratio (1%)0.410.761.171.651.982.66
Average Gain / Average Loss1.993.147.50
Profit / Loss Ratio3.3912.2094.94
Downside Deviation (10%)1.261.421.120.831.07
Downside Deviation (5%)1.111.000.45
Downside Deviation (0%)1.070.910.33
Sortino Ratio (10%)0.601.593.8210.9413.91
Sortino Ratio (5%)0.973.2313.86
Sortino Ratio (0%)1.093.8120.38

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.