QCAM Currency Asset Management AG : QCAM v-Pro Dynamic

archived programs
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

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 -0.75 - -5.73 -13.88 6.87 69.06 114.55
S&P 500 2.16 -0.32 - 11.04 27.07 64.22 91.20 83.99
+/- S&P 500 -1.08 -0.44 - -16.77 -40.95 -57.34 -22.14 30.56

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%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

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.

   

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
-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
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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
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods131.00129.00126.00120.00114.00108.0096.0084.0072.00
Percent Profitable57.2554.2658.7362.5068.4277.7894.7997.62100.00
Average Period Return0.631.893.868.0112.1316.3925.5233.1641.53
Average Gain2.125.639.8717.2921.9524.0827.4333.9941.53
Average Loss-1.37-2.55-4.70-7.45-9.13-10.54-9.33-0.98
Best Period27.1630.4140.1354.2759.5755.3866.5871.0884.42
Worst Period-5.10-9.03-11.15-16.99-16.53-19.28-13.88-1.166.87
Standard Deviation3.126.0710.1016.6019.7120.0715.7417.2220.49
Gain Standard Deviation3.305.869.0114.0715.7915.4713.7816.5620.49
Loss Standard Deviation1.141.872.614.555.076.123.460.26
Sharpe Ratio (1%)0.170.270.330.420.540.721.431.691.78
Average Gain / Average Loss1.552.212.102.322.402.282.9434.80
Profit / Loss Ratio2.072.622.993.875.218.0053.501426.81
Downside Deviation (10%)1.382.854.918.169.9510.396.556.406.39
Downside Deviation (5%)1.202.273.735.866.616.562.910.87
Downside Deviation (0%)1.162.133.455.335.855.712.240.15
Sortino Ratio (10%)0.160.230.280.370.460.591.491.812.18
Sortino Ratio (5%)0.450.720.901.201.612.197.7333.53
Sortino Ratio (0%)0.540.891.121.502.072.8711.37216.13

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Year Rolling 1 43.36 2014 - 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.