QCM : Alpha Financials Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jun Performance 0.37% Min Investment $ 10,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 14.70% Sharpe (RFR=1%) -0.18 CAROR -2.65% Assets $ 3.0M Worst DD -35.63 S&P Correlation 0.35 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since6/2012 Alpha Financials Program 0.37 - - - -8.02 -17.78 - -15.09 S&P 500 0.48 - - - 30.43 67.53 - 154.35 +/- S&P 500 -0.11 - - - -38.45 -85.30 - -169.44 Strategy Description SummaryQCM’s financials-only product, the AFP, commenced trading in June 2012. The AFP trades 56 exchange traded futures in major exchanges worldwide. It diversifies within Financial Assets across major global economies, and through the three broad asset classes: Equities, Bonds, and,... Read More Account & Fees Type Managed Account Minimum Investment $ 10,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 2300 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition Interest Rates 38.00% Currency Futures 32.00% Stock Indices 30.00% SummaryQCM’s financials-only product, the AFP, commenced trading in June 2012. The AFP trades 56 exchange traded futures in major exchanges worldwide. It diversifies within Financial Assets across major global economies, and through the three broad asset classes: Equities, Bonds, and, Currencies.Investment StrategyThe strategy is actively managed and seeks longterm capital appreciation through a highly liquid non-correlated alternative investment. It is designed to be robust always looking for relative opportunities in financial markets. QCM is best described as a systematic global macro manager. QCM’s profile is largely long volatility, taking advantage of directional moves, which is modulated by short volatility elements. The strategy is agnostic in market direction and positions are both long and short. At its core, the strategy takes a long term macro approach in establishing directional bets in each market based on momentum, and continuously rebalances the portfolio through use of a unique proprietary risk allocation model. It does not compromise on return opportunities in the long run bull markets and attempts to bear low correlation with major asset classes such as stocks and bonds.Risk ManagementThe emphasis is on portfolio management rather than market timing. Controlled leverage is applied on the portfolio, systematically, targeting risk. Both market as well as portfolio risks are actively monitored. By trading only exchange-trade futures, the level of transparency and liquidity in the strategy is taken to the highest level. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -35.63 38 - 3/1/2015 5/1/2018 -19.85 11 10 4/1/2013 3/1/2014 -4.64 1 2 9/1/2012 10/1/2012 -0.90 1 1 1/1/0001 6/1/2012 -0.38 1 1 7/1/2012 8/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 28.73 5 11/1/2014 3/1/2015 18.53 6 11/1/2012 4/1/2013 11.10 3 9/1/2013 11/1/2013 8.82 3 4/1/2014 6/1/2014 7.05 2 1/1/2016 2/1/2016 5.97 2 6/1/2016 7/1/2016 5.56 2 8/1/2014 9/1/2014 5.07 1 10/1/2017 10/1/2017 4.82 1 1/1/2018 1/1/2018 4.06 1 2/1/2017 2/1/2017 3.42 1 12/1/2016 12/1/2016 3.30 1 7/1/2012 7/1/2012 2.91 1 7/1/2015 7/1/2015 1.75 3 9/1/2015 11/1/2015 1.74 2 7/1/2017 8/1/2017 1.46 1 5/1/2017 5/1/2017 0.74 1 9/1/2012 9/1/2012 0.67 1 2/1/2014 2/1/2014 0.37 1 6/1/2018 6/1/2018 0.24 1 5/1/2015 5/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -17.57 4 5/1/2013 8/1/2013 -12.48 4 2/1/2018 5/1/2018 -9.64 4 8/1/2016 11/1/2016 -9.55 2 12/1/2013 1/1/2014 -9.09 1 8/1/2015 8/1/2015 -8.51 1 6/1/2015 6/1/2015 -8.42 1 4/1/2015 4/1/2015 -7.80 3 3/1/2016 5/1/2016 -6.48 1 12/1/2015 12/1/2015 -5.89 1 6/1/2017 6/1/2017 -4.64 1 10/1/2012 10/1/2012 -3.89 1 3/1/2014 3/1/2014 -3.40 1 1/1/2017 1/1/2017 -3.17 1 7/1/2014 7/1/2014 -2.56 1 9/1/2017 9/1/2017 -2.43 2 11/1/2017 12/1/2017 -1.56 2 3/1/2017 4/1/2017 -1.36 1 10/1/2014 10/1/2014 -0.90 1 6/1/2012 6/1/2012 -0.38 1 8/1/2012 8/1/2012 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00 Percent Profitable53.4247.8936.7635.4830.3642.0034.2111.54 Average Period Return-0.13-0.44-0.76-2.07-3.24-3.72-7.09-8.29 Average Gain2.875.549.3710.8612.097.505.431.13 Average Loss-3.58-5.94-6.65-9.18-9.93-11.85-13.60-9.52 Best Period12.1223.0528.1241.2333.4317.5020.652.51 Worst Period-10.74-16.01-20.75-23.24-23.06-27.13-34.63-18.16 Standard Deviation4.247.459.8812.8312.4311.8112.495.82 Gain Standard Deviation2.565.158.0712.109.705.025.901.19 Loss Standard Deviation2.974.334.675.725.757.959.694.96 Sharpe Ratio (1%)-0.05-0.09-0.13-0.24-0.38-0.49-0.81-2.12 Average Gain / Average Loss0.800.931.411.181.220.630.400.12 Profit / Loss Ratio0.920.860.820.650.530.460.210.02 Downside Deviation (10%)3.386.038.1412.3415.4318.1525.9530.38 Downside Deviation (5%)3.205.436.779.3510.6512.1215.5513.61 Downside Deviation (0%)3.165.286.448.669.5410.8113.4610.05 Sortino Ratio (10%)-0.16-0.28-0.40-0.57-0.70-0.77-0.88-0.98 Sortino Ratio (5%)-0.07-0.13-0.19-0.33-0.45-0.47-0.65-0.91 Sortino Ratio (0%)-0.04-0.08-0.12-0.24-0.34-0.34-0.53-0.83 Top Performer Badges Index Award Type Rank Performance Period Diversified Trader Index Month 9 4.06 2/2017 Diversified Trader Index Month 9 6.24 5/2014 Systematic Trader Index Month 7 6.24 5/2014 Diversified Trader Index Month 6 4.65 9/2013 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel