QCAM Currency Asset Management AG : QCAM v-Pro Dynamic

Year-to-Date: N / A
May Performance: 1.08%

Min Investment: € 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 10.82%
Sharpe (RFR=1%): 0.60
CAROR: 7.24%

Assets: € 554.0M
Worst DD: -20.75
S&P Correlation: -0.20

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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 7/2007
QCAM v-Pro Dynamic	1.08	-	-	-	-3.78	-17.79	30.14	114.55
S&P 500	2.16	-	-	-	27.07	64.22	91.20	128.70
+/- S&P 500	-1.08	-	-	-	-30.86	-82.01	-61.06	-14.15

Strategy Description

Summary

v-Pro is offered as an Irish UCITS V fund (v-Pro Dynamic only), a Luxembourg based SICAV-SIF fund (v-Pro only) and as managed account. v-Pro Dynamic is the 2XL-version of standard v-Pro... 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	20.00%
Average Commission	$0
Available to US Investors	No

Subscriptions

High Water Mark	Yes
Subscription Frequency	Daily
Redemption Frequency	Daily
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	15.00%
1-3 Months	35.00%
1-30 Days	50.00%
Intraday	0%

Decision-Making

Discretionary	100.00%
Systematic	0%

Strategy

Fundamental: 10.00%
Momentum: 10.00%
Option-purchasing: 15.00%
Option-spreads: 15.00%
Option-writing: 15.00%
Spreading/hedging: 10.00%
Other: 25.00%

Composition

Currency FX: 100.00%

Summary

v-Pro is offered as an Irish UCITS V fund (v-Pro Dynamic only), a Luxembourg based SICAV-SIF fund (v-Pro only) and as managed account. v-Pro Dynamic is the 2XL-version of standard v-Pro

Investment Strategy

v-Pro dynamic is a long/short FX volatility program. Four different volatility strategies are adopted in order to achieve stable returns in various market environments. v-Pro dynamic uses a blended approach: Profitable trades are identified through quantitative analysis of the volatility and spot markets combined with discretionary filtering through QCAM's volatility trading team. Investments are mainly done in high liquid major currencies, completed by opportunity trades in emerging currencies.

Risk Management

We have regulatory risk limits as well as internal risk limits. We check them on a daily basis. The management company checks the regulatory risk limits also on daily basis and report us their results.

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Index: Chart Type:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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Index:

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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
-20.75	26	-	2/1/2016	4/1/2018
-17.98	13	7	5/1/2013	6/1/2014
-10.92	12	4	8/1/2010	8/1/2011
-3.00	1	1	4/1/2009	5/1/2009
-2.98	1	3	12/1/2008	1/1/2009
-2.89	4	1	8/1/2012	12/1/2012
-2.26	1	1	1/1/2015	2/1/2015
-2.00	2	2	8/1/2009	10/1/2009
-1.61	1	2	11/1/2015	12/1/2015
-1.24	1	1	2/1/2010	3/1/2010
-0.99	1	1	6/1/2012	7/1/2012

Consecutive Gains

Run-up	Length (Mos.)	Start	End
44.00	18	7/1/2007	12/1/2008
31.09	2	12/1/2014	1/1/2015
21.73	10	9/1/2011	6/1/2012
17.23	9	3/1/2015	11/1/2015
12.00	5	1/1/2013	5/1/2013
10.28	4	11/1/2009	2/1/2010
6.46	5	4/1/2010	8/1/2010
6.16	3	6/1/2009	8/1/2009
5.92	2	9/1/2014	10/1/2014
4.02	3	2/1/2009	4/1/2009
2.71	1	7/1/2014	7/1/2014
2.02	2	11/1/2016	12/1/2016
1.94	2	1/1/2016	2/1/2016
1.08	1	5/1/2018	5/1/2018
1.08	1	8/1/2012	8/1/2012
0.87	1	10/1/2012	10/1/2012
0.79	1	5/1/2014	5/1/2014
0.54	1	5/1/2011	5/1/2011
0.40	1	10/1/2013	10/1/2013
0.33	1	5/1/2016	5/1/2016
0.04	1	2/1/2011	2/1/2011
0.01	1	1/1/2014	1/1/2014

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-16.14	16	1/1/2017	4/1/2018
-10.12	4	6/1/2013	9/1/2013
-5.55	3	2/1/2014	4/1/2014
-4.69	5	9/1/2010	1/1/2011
-4.55	3	6/1/2011	8/1/2011
-4.36	2	3/1/2016	4/1/2016
-3.46	5	6/1/2016	10/1/2016
-3.21	1	6/1/2014	6/1/2014
-3.00	1	5/1/2009	5/1/2009
-2.98	1	1/1/2009	1/1/2009
-2.64	2	3/1/2011	4/1/2011
-2.57	2	11/1/2012	12/1/2012
-2.26	1	2/1/2015	2/1/2015
-2.00	2	9/1/2009	10/1/2009
-1.61	1	12/1/2015	12/1/2015
-1.38	2	11/1/2013	12/1/2013
-1.24	1	3/1/2010	3/1/2010
-1.18	1	9/1/2012	9/1/2012
-0.99	1	7/1/2012	7/1/2012
-0.52	1	11/1/2014	11/1/2014
-0.23	1	8/1/2014	8/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	131.00	129.00	126.00	120.00	114.00	108.00	96.00	84.00	72.00
Percent Profitable	57.25	54.26	58.73	62.50	68.42	77.78	94.79	97.62	100.00
Average Period Return	0.63	1.89	3.86	8.01	12.13	16.39	25.52	33.16	41.53
Average Gain	2.12	5.63	9.87	17.29	21.95	24.08	27.43	33.99	41.53
Average Loss	-1.37	-2.55	-4.70	-7.45	-9.13	-10.54	-9.33	-0.98
Best Period	27.16	30.41	40.13	54.27	59.57	55.38	66.58	71.08	84.42
Worst Period	-5.10	-9.03	-11.15	-16.99	-16.53	-19.28	-13.88	-1.16	6.87
Standard Deviation	3.12	6.07	10.10	16.60	19.71	20.07	15.74	17.22	20.49
Gain Standard Deviation	3.30	5.86	9.01	14.07	15.79	15.47	13.78	16.56	20.49
Loss Standard Deviation	1.14	1.87	2.61	4.55	5.07	6.12	3.46	0.26
Sharpe Ratio (1%)	0.17	0.27	0.33	0.42	0.54	0.72	1.43	1.69	1.78
Average Gain / Average Loss	1.55	2.21	2.10	2.32	2.40	2.28	2.94	34.80
Profit / Loss Ratio	2.07	2.62	2.99	3.87	5.21	8.00	53.50	1426.81
Downside Deviation (10%)	1.38	2.85	4.91	8.16	9.95	10.39	6.55	6.40	6.39
Downside Deviation (5%)	1.20	2.27	3.73	5.86	6.61	6.56	2.91	0.87
Downside Deviation (0%)	1.16	2.13	3.45	5.33	5.85	5.71	2.24	0.15
Sortino Ratio (10%)	0.16	0.23	0.28	0.37	0.46	0.59	1.49	1.81	2.18
Sortino Ratio (5%)	0.45	0.72	0.90	1.20	1.61	2.19	7.73	33.53
Sortino Ratio (0%)	0.54	0.89	1.12	1.50	2.07	2.87	11.37	216.13

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Annual	1	43.36	2015
Discretionary Trader Index	Month	4	4.32	5/2015
Discretionary Trader Index	Month	9	4.36	3/2015
Discretionary Trader Index	Month	2	27.16	1/2015
IASG CTA Index	Month	3	27.16	1/2015
Discretionary Trader Index	Month	10	3.09	12/2014

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#1

Top Performer

IASG CTA INDEX

2015

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QCAM Currency Asset Management AG : QCAM v-Pro Dynamic

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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QCAM Currency Asset Management AG : QCAM v-Pro Dynamic

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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