QDRA Pty Ltd : QDRA Dynamic Macro

Year-to-Date
8.11%
Sep Performance
1.80%
Min Investment
$ 5,000k
Mgmt. Fee
0.80%
Perf. Fee
20.00%
Annualized Vol
18.46%
Sharpe (RFR=1%)
0.39
CAROR
6.77%
Assets
$ 37.1M
Worst DD
-36.89
S&P Correlation
-0.50

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
11/2007
QDRA Dynamic Macro 1.80 0.07 8.11 -7.31 4.61 -8.50 37.53 133.01
S&P 500 -3.92 8.47 4.09 12.98 32.33 73.37 191.64 124.71
+/- S&P 500 5.72 -8.40 4.02 -20.29 -27.72 -81.87 -154.12 8.30

Strategy Description

Investment Strategy

The strategy targets a beta of negative 0.5 to the S&P500 and a volatility of 16 to 18%.

Dynamically allocate risk to 50+ CTA models, using 4 key components: 1. A slow moving single variable econometric model that allocates risk based on where we are in the economic... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0.80%
Performance Fee 20.00%
Average Commission
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 400 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 75.00%
1-3 Months 25.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
33.00%
Other
67.00%
Strategy Pie Chart

Composition

Other
20.00%
Currency Futures
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Composition Pie Chart

Investment Strategy

The strategy targets a beta of negative 0.5 to the S&P500 and a volatility of 16 to 18%.

Dynamically allocate risk to 50+ CTA models, using 4 key components: 1. A slow moving single variable econometric model that allocates risk based on where we are in the economic cycle for 8 countries and how the CTA models have performed in relation to this 2. A faster moving volatility of equity market volatility model that allocates based on where we are in the equity volatility cycle 3. A bear bias model that allocates risk based on where we are in the US equity market cycle 4. These 3 models, are combined to propose a range of risk allocation for each model. This is then an input to a minimum variance portfolio construction that seeks to force diversification, to avoid the concentration risk that can come from dynamically allocating risk. The minimum variance portfolio that is calculated is scaled to the volatility of a "risk parity" portfolio of the unscaled models. If the underlying models have stronger than average signals, that are also more correlated than average, then the portfolio is scaled to a relatively higher volatility. The volatility scaling allows more information from the underlying models in final portfolio.

Risk Management

Stop losses and profit take levels are set at the model level, not at the individual position level. Stop losses are also related to the amount of risk allocated to a model at the start of the month, so that a stop for a model with a large risk allocation is wider than the stop for a model with a small risk allocation. If a model trades a spread position it isn't a concern that one side of the spread is losing if the other side of the spread is making more money. What matters is the model level profitability (or loss) relative to the risk being taken, hence basing stops on the models, not on the individual positions.

Trading futures is inherently risky and there is also risk of loss.

   

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
-36.89 31 - 2/1/2016 9/1/2018
-23.28 31 8 8/1/2011 3/1/2014
-14.38 9 4 6/1/2010 3/1/2011
-12.08 6 6 1/1/2015 7/1/2015
-12.05 3 6 1/1/2009 4/1/2009
-12.04 4 3 11/1/2009 3/1/2010
-8.37 2 3 3/1/2008 5/1/2008
-1.03 1 1 11/1/2008 12/1/2008
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
43.77 7 7/1/2014 1/1/2015
43.35 6 6/1/2008 11/1/2008
36.97 5 4/1/2011 8/1/2011
18.25 4 1/1/2020 4/1/2020
17.88 1 12/1/2018 12/1/2018
17.86 5 11/1/2007 3/1/2008
17.22 2 1/1/2016 2/1/2016
16.35 3 4/1/2010 6/1/2010
13.49 3 9/1/2009 11/1/2009
13.43 2 8/1/2015 9/1/2015
12.87 1 1/1/2009 1/1/2009
12.38 4 12/1/2012 3/1/2013
12.29 1 5/1/2019 5/1/2019
11.97 2 2/1/2018 3/1/2018
10.81 2 7/1/2019 8/1/2019
9.56 1 10/1/2018 10/1/2018
9.43 2 4/1/2014 5/1/2014
8.77 3 5/1/2009 7/1/2009
7.80 1 3/1/2019 3/1/2019
7.69 3 3/1/2017 5/1/2017
7.16 1 11/1/2011 11/1/2011
6.76 1 11/1/2013 11/1/2013
6.04 3 10/1/2010 12/1/2010
5.38 1 1/1/2010 1/1/2010
4.07 1 5/1/2013 5/1/2013
3.66 1 8/1/2013 8/1/2013
3.60 1 6/1/2016 6/1/2016
3.43 1 8/1/2017 8/1/2017
2.86 1 3/1/2015 3/1/2015
2.74 1 11/1/2015 11/1/2015
2.45 2 1/1/2012 2/1/2012
2.23 1 8/1/2012 8/1/2012
2.23 1 1/1/2014 1/1/2014
2.18 1 5/1/2012 5/1/2012
1.81 1 8/1/2010 8/1/2010
1.80 1 9/1/2020 9/1/2020
1.36 1 10/1/2016 10/1/2016
0.42 1 11/1/2019 11/1/2019
0.42 1 5/1/2018 5/1/2018
0.29 1 8/1/2018 8/1/2018
0.22 1 4/1/2016 4/1/2016
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-20.13 5 9/1/2017 1/1/2018
-13.38 2 9/1/2019 10/1/2019
-12.97 2 6/1/2013 7/1/2013
-12.05 3 2/1/2009 4/1/2009
-11.77 2 2/1/2014 3/1/2014
-11.18 1 7/1/2010 7/1/2010
-10.52 2 6/1/2012 7/1/2012
-10.34 3 1/1/2011 3/1/2011
-10.19 4 5/1/2020 8/1/2020
-10.09 1 12/1/2009 12/1/2009
-9.61 4 4/1/2015 7/1/2015
-9.02 1 12/1/2019 12/1/2019
-8.78 3 7/1/2016 9/1/2016
-8.64 3 9/1/2012 11/1/2012
-8.39 1 9/1/2018 9/1/2018
-8.37 2 4/1/2008 5/1/2008
-7.96 2 9/1/2011 10/1/2011
-7.16 2 2/1/2010 3/1/2010
-6.04 4 11/1/2016 2/1/2017
-5.96 1 4/1/2018 4/1/2018
-5.85 1 5/1/2016 5/1/2016
-5.73 1 10/1/2015 10/1/2015
-5.49 1 3/1/2016 3/1/2016
-5.44 1 2/1/2015 2/1/2015
-5.21 2 6/1/2018 7/1/2018
-4.81 2 9/1/2013 10/1/2013
-4.12 1 6/1/2014 6/1/2014
-4.05 1 12/1/2015 12/1/2015
-4.02 2 6/1/2017 7/1/2017
-3.78 1 4/1/2019 4/1/2019
-3.37 1 11/1/2018 11/1/2018
-3.20 2 1/1/2019 2/1/2019
-3.03 2 3/1/2012 4/1/2012
-2.54 1 12/1/2011 12/1/2011
-2.09 1 8/1/2009 8/1/2009
-1.47 1 4/1/2013 4/1/2013
-1.26 1 12/1/2013 12/1/2013
-1.03 1 12/1/2008 12/1/2008
-0.41 1 9/1/2010 9/1/2010
-0.22 1 6/1/2019 6/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods155.00153.00150.00144.00138.00132.00120.00108.0096.00
Percent Profitable52.9051.6352.6756.2559.4268.1873.3377.7890.63
Average Period Return0.692.034.078.0310.7312.7915.4620.6925.51
Average Gain4.659.1113.3720.8624.2024.6825.1428.5928.54
Average Loss-3.77-5.52-6.29-8.47-9.00-12.69-11.15-6.98-3.85
Best Period17.8826.1047.2265.0270.2283.5378.78117.2591.98
Worst Period-11.18-14.27-17.76-21.40-25.09-29.20-31.25-18.49-8.50
Standard Deviation5.338.9913.2018.8721.1423.2123.3828.4824.32
Gain Standard Deviation3.726.3811.3115.1816.4517.7319.0927.4723.52
Loss Standard Deviation2.663.574.645.686.897.988.894.812.82
Sharpe Ratio (1%)0.110.200.270.370.440.460.530.580.84
Average Gain / Average Loss1.231.652.132.462.691.952.254.107.41
Profit / Loss Ratio1.391.762.373.173.944.176.2014.3471.61
Downside Deviation (10%)3.395.306.829.6911.5313.8915.3315.4215.82
Downside Deviation (5%)3.214.715.657.297.989.418.615.672.99
Downside Deviation (0%)3.164.565.376.737.198.437.323.971.43
Sortino Ratio (10%)0.080.150.230.310.270.18-0.02-0.06-0.13
Sortino Ratio (5%)0.190.380.630.961.161.151.442.936.82
Sortino Ratio (0%)0.220.450.761.191.491.522.115.2117.80

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.