QDRA Pty Ltd : QDRA Dynamic Macro Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 6.18% Dec Performance -4.39% Min Investment $ 5,000k Mgmt. Fee 0.80% Perf. Fee 20.00% Annualized Vol 18.47% Sharpe (RFR=1%) 0.33 CAROR 5.49% Assets $ 26.4M Worst DD -36.89 S&P Correlation -0.51 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since11/2007 QDRA Dynamic Macro -4.39 -13.21 -6.18 -6.18 1.46 -14.55 12.56 102.22 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 150.97 +/- S&P 500 -8.10 -24.90 -22.44 -22.44 -39.02 -96.45 -183.02 -48.76 Strategy Description Investment StrategyThe 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% 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% Investment StrategyThe 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 ManagementStop 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. 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 -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 -13.21 3 10/1/2020 12/1/2020 -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 Periods158.00156.00153.00147.00141.00135.00123.00111.0099.00 Percent Profitable51.9050.6451.6355.1058.8768.1573.1775.6887.88 Average Period Return0.591.853.757.7210.3012.6915.1219.9024.39 Average Gain4.659.1113.3720.8623.9524.4924.6328.5928.54 Average Loss-3.80-5.60-6.52-8.40-9.24-12.56-10.82-7.15-5.77 Best Period17.8826.1047.2265.0270.2283.5378.78117.2591.98 Worst Period-11.18-14.27-17.76-21.40-25.09-29.20-31.25-18.49-14.55 Standard Deviation5.339.0213.2618.8021.1623.0223.2028.4924.79 Gain Standard Deviation3.726.3811.3115.1816.5217.5819.1827.4723.52 Loss Standard Deviation2.633.634.695.586.897.938.954.674.72 Sharpe Ratio (1%)0.090.180.250.360.420.460.520.560.78 Average Gain / Average Loss1.221.632.052.482.591.952.284.004.95 Profit / Loss Ratio1.321.672.193.053.714.176.2112.4335.86 Downside Deviation (10%)3.445.437.069.7511.7513.8115.3116.0117.02 Downside Deviation (5%)3.254.835.867.318.169.348.515.984.19 Downside Deviation (0%)3.204.685.576.747.378.367.234.192.55 Sortino Ratio (10%)0.050.110.180.280.230.18-0.04-0.10-0.19 Sortino Ratio (5%)0.150.330.550.921.081.141.422.654.60 Sortino Ratio (0%)0.180.390.671.151.401.522.094.759.55 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. x {{title}} x {{title}} Add Cancel