QCAM Currency Asset Management AG : FX-MMP

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
0.00%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
10.00%
Annualized Vol
8.36%
Sharpe (RFR=1%)
-0.32
CAROR
-2.24%
Assets
$ 0k
Worst DD
-29.99
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 May Qtr YTD 1yr 3yr 5yr 10yr Since
4/2008
FX-MMP 0.00 - - - - 0.00 -25.89 -16.76
S&P 500 1.53 - - - - 55.85 65.08 150.01
+/- S&P 500 -1.53 - - - - -55.85 -90.96 -166.77

Strategy Description

Summary

-The Quaesta Capital Foreign Exchange Multi-Manager Program 2XL portfolio (‘FX-MMP 2XL’) is a diversified pure FX fund of funds, investing into the best currency managers globally. The program is constructed for investors looking for higher target returns and having higher risk tolerances... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 10.00%
Average Commission $0
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 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

-The Quaesta Capital Foreign Exchange Multi-Manager Program 2XL portfolio (‘FX-MMP 2XL’) is a diversified pure FX fund of funds, investing into the best currency managers globally. The program is constructed for investors looking for higher target returns and having higher risk tolerances than the standard FX-MMP investor. The goal of the program is to deliver robust, sustainable and risk-adjusted returns with low correlation to traditional markets. FX-MMP 2XL is the result of an extensive and thorough systematic due diligence selection process of single funds. The portfolio is optimised and diversified over three dimensions - style, currency and time horizon - and it is tactically rebalanced on a monthly basis. FX-MMP 2XL typically consists of 8 to 12 selected single managers with different weightings.

   

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
-29.99 39 - 9/1/2010 12/1/2013
-14.31 13 8 12/1/2008 1/1/2010
-0.35 1 1 10/1/2008 11/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
17.80 7 4/1/2008 10/1/2008
12.24 6 2/1/2010 7/1/2010
5.85 1 9/1/2010 9/1/2010
5.76 1 9/1/2011 9/1/2011
5.11 3 2/1/2011 4/1/2011
4.76 1 5/1/2009 5/1/2009
4.04 2 2/1/2013 3/1/2013
3.76 1 5/1/2013 5/1/2013
3.61 1 7/1/2012 7/1/2012
2.86 3 11/1/2011 1/1/2012
2.66 1 9/1/2009 9/1/2009
2.40 2 4/1/2012 5/1/2012
0.73 1 12/1/2008 12/1/2008
0.12 1 11/1/2009 11/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.34 36 6/1/2013 5/1/2016
-13.55 4 5/1/2011 8/1/2011
-9.32 6 8/1/2012 1/1/2013
-9.16 4 1/1/2009 4/1/2009
-7.96 3 6/1/2009 8/1/2009
-5.82 4 10/1/2010 1/1/2011
-4.86 1 10/1/2011 10/1/2011
-4.28 1 4/1/2013 4/1/2013
-3.79 2 12/1/2009 1/1/2010
-1.98 2 2/1/2012 3/1/2012
-1.87 1 6/1/2012 6/1/2012
-1.24 1 8/1/2010 8/1/2010
-1.07 1 10/1/2009 10/1/2009
-0.35 1 11/1/2008 11/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods97.0096.0093.0087.0081.0075.0063.0051.0039.00
Percent Profitable31.9631.2526.8820.6919.7517.3311.119.802.56
Average Period Return-0.14-0.46-1.11-3.35-5.44-7.46-12.90-17.02-21.28
Average Gain2.264.386.588.235.915.567.733.491.39
Average Loss-2.26-4.40-5.96-8.45-9.91-11.09-15.48-19.25-21.88
Best Period5.8515.0317.7713.2511.8910.3817.664.611.39
Worst Period-6.51-16.76-16.76-17.90-22.55-22.55-29.28-29.99-29.99
Standard Deviation2.414.906.718.048.209.2010.479.528.39
Gain Standard Deviation1.833.825.623.712.533.615.960.85
Loss Standard Deviation1.783.674.315.175.867.167.676.987.62
Sharpe Ratio (1%)-0.09-0.15-0.24-0.54-0.85-1.03-1.52-2.22-3.14
Average Gain / Average Loss1.001.001.100.970.600.500.500.180.06
Profit / Loss Ratio0.840.750.610.340.180.110.060.020.00
Downside Deviation (10%)1.994.376.7011.3615.3719.9330.4939.7149.60
Downside Deviation (5%)1.813.815.398.3210.4713.0018.8723.0927.65
Downside Deviation (0%)1.773.685.107.649.3811.4816.2619.4222.83
Sortino Ratio (10%)-0.28-0.39-0.54-0.73-0.85-0.89-0.94-0.97-0.99
Sortino Ratio (5%)-0.12-0.19-0.30-0.52-0.66-0.73-0.84-0.91-0.95
Sortino Ratio (0%)-0.08-0.13-0.22-0.44-0.58-0.65-0.79-0.88-0.93

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.