QERI LLC : QERI LLC Fundamental Commodity Strategy

archived programs
Year-to-Date
N / A
Sep Performance
0.02%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.92%
Sharpe (RFR=1%)
0.80
CAROR
8.04%
Assets
$ 972k
Worst DD
-7.66
S&P Correlation
-0.02

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
7/2012
QERI LLC Fundamental Commodity Strategy 0.02 -1.31 - -3.76 21.28 - - 28.58
S&P 500 -2.64 -6.94 - -2.65 33.27 - - 39.20
+/- S&P 500 2.66 5.62 - -1.11 -11.99 - - -10.62

Strategy Description

Summary

QERI LLC (“QERI”) is an asset management firm founded by Todd Gross and Joanne Spears, commodity industry professionals each with 20+ years experience in the Energy sector. Omer Ahmed joined QERI in January 2014 to focus on firm strategy and business development. The team’s complementary... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
4.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$1.50
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
4%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
3.70%
Sector Focus
Energy Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
5.00%
1-30 Days
85.00%
Intraday
10.00%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Fundamental
25.00%
Pattern Recognition
15.00%
Seasonal/cyclical
25.00%
Technical
10.00%
Other
25.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

QERI LLC (“QERI”) is an asset management firm founded by Todd Gross and Joanne Spears, commodity industry professionals each with 20+ years experience in the Energy sector. Omer Ahmed joined QERI in January 2014 to focus on firm strategy and business development. The team’s complementary backgrounds are comprised of trading, research, asset management, asset allocation, risk/hedge consulting, and brokerage. The firm invests client capital in fundamental strategies based on the supply/demand balances of Energy markets. These investments are expressed in financially traded, liquid and transparent contracts listed on major U.S. and European exchanges.

Investment Strategy

Strategy Description: Hybrid Systematic/Discretionary. QERI’s Fundamental Commodity Strategy actively manages investments in Energy markets. QERI’s model deconstructs and re-assembles all key strategy contributors systematically. This comprehensive approach leverages the team’s trading talent and illuminates mitigating factors such as specific bottom up as well as common global macro issues. QERI’s approach is tailored to monetize unique and uncorrelated opportunities that can enhance an investor’s commodity exposure as a standalone strategy or as a complement to the investor’s existing allocations to passive long only indices and long trend following techniques. The investment portfolio is comprised of highly liquid futures and options traded and cleared on major U.S. and European exchanges. Products traded: WTI and Brent Crude Oil, Rbob Gasoline, Heating Oil, Gasoil, Natural Gas. Average holding period: 2-14 days.

Risk Management

Having a model identifying a consistent flow of investment ideas enables the investment team to apportion risk “democratically” to strategies in the portfolio, avoiding risk concentration in any single strategy (average 1% of AUM per strategy) as opposed to a traditional fundamental strategy which risks capital in a few major themes per year. We look to capitalize on investment themes within a medium term time frame, i.e. 2-14 days, as opposed to a traditional fundamental strategy which may hold a position 3-6 months, weathering significant drawdowns, before the thesis is or is not verified in market price. Our implementation of quantitative analytics lends skillful timing and valuation of entry/exit. We can better identify when an investment is fulfilling its potential or not performing up to expectations, which leads to more precise methods of profit taking and stop losses.

   

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
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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
-7.66 17 - 3/1/2014 8/1/2015
-3.69 2 1 11/1/2012 1/1/2013
-1.33 1 1 8/1/2012 9/1/2012
-0.72 1 1 2/1/2013 3/1/2013
-0.11 1 1 9/1/2013 10/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
16.43 6 4/1/2013 9/1/2013
8.86 2 10/1/2012 11/1/2012
7.45 1 8/1/2012 8/1/2012
5.30 1 2/1/2013 2/1/2013
3.01 5 11/1/2013 3/1/2014
2.27 2 10/1/2014 11/1/2014
1.57 3 1/1/2015 3/1/2015
0.35 1 6/1/2014 6/1/2014
0.13 1 7/1/2015 7/1/2015
0.02 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.91 3 4/1/2015 6/1/2015
-3.69 2 12/1/2012 1/1/2013
-2.30 1 12/1/2014 12/1/2014
-2.23 2 4/1/2014 5/1/2014
-2.19 3 7/1/2014 9/1/2014
-1.46 1 8/1/2015 8/1/2015
-1.33 1 9/1/2012 9/1/2012
-0.72 1 3/1/2013 3/1/2013
-0.11 1 10/1/2013 10/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable58.9756.7664.7157.1472.7375.00
Average Period Return0.682.003.818.1510.8714.54
Average Gain1.934.837.4716.3916.7220.36
Average Loss-1.20-1.72-2.91-2.83-4.75-2.94
Best Period8.6513.7919.6032.9538.4236.60
Worst Period-3.46-3.91-5.17-4.62-7.64-4.97
Standard Deviation2.574.606.9912.6314.6313.51
Gain Standard Deviation2.624.236.0010.8312.769.97
Loss Standard Deviation0.890.931.421.202.662.39
Sharpe Ratio (1%)0.230.380.470.570.640.93
Average Gain / Average Loss1.612.812.575.793.526.94
Profit / Loss Ratio2.473.684.717.739.3820.81
Downside Deviation (10%)1.142.053.365.327.156.97
Downside Deviation (5%)0.961.432.182.623.532.68
Downside Deviation (0%)0.911.281.912.002.791.80
Sortino Ratio (10%)0.240.380.400.590.460.62
Sortino Ratio (5%)0.621.231.522.732.654.67
Sortino Ratio (0%)0.741.562.004.083.908.09

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.