Quality Capital Management Limited : Global Diversified Programme

Year-to-Date
25.31%
Oct Performance
-7.43%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
19.33%
Sharpe (RFR=1%)
0.43
CAROR
7.74%
Assets
$ 10.5M
Worst DD
-53.56
S&P Correlation
-0.03

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
12/1995
Global Diversified Programme -7.43 -6.80 25.31 33.09 3.38 1.08 -21.30 494.26
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 388.07
+/- S&P 500 -9.47 -8.72 4.15 21.08 -38.03 -47.91 -211.42 106.19

Strategy Description

Summary

QCM’s GDP is its majorly upgraded flagship product that commenced trading in December 1995. The upgrades were implemented in November 2018. The GDP trades 116 exchange-traded Financial and Commodities futures in exchanges worldwide. It was overhauled through a three-year research... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$10.00
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
3350 RT/YR/$M
Avg. Margin-to-Equity
17%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
30.00%
4-12 Months
25.00%
1-3 Months
40.00%
1-30 Days
5.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
30.00%
Fundamental
20.00%
Momentum
20.00%
Technical
30.00%
Strategy Pie Chart

Composition

Interest Rates
32.00%
Stock Indices
25.00%
Currency Futures
15.00%
Industrial Metals
10.00%
Energy
10.00%
Precious Metals
2.00%
Grains
2.00%
Livestock
2.00%
Softs
2.00%
Composition Pie Chart

Summary

QCM’s GDP is its majorly upgraded flagship product that commenced trading in December 1995. The upgrades were implemented in November 2018. The GDP trades 116 exchange-traded Financial and Commodities futures in exchanges worldwide. It was overhauled through a three-year research deep-dive into the engineering of the QCM trading strategies and systems. Component by component, we re-examined, re-thought and re-learnt from the market experience of the Great Recession and its consequent sustained low to negative rates that adversely affected volatility and market opportunity. An effort that not only substantially refines and enhances what we had - but builds on it. We open up NEW sources of alpha by implementing a suite of independent and uncorrelated tools.

Investment Strategy

The strategy is actively managed and seeks long-term capital appreciation through a highly liquid non-correlated alternative investment. The process is designed to be robust always looking for relative opportunities in financial and commodity markets. Additionally short, medium and long term components are used that are not correlated and work with independent risk management. 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. Each component of the systematic process is a self-contained alpha generating tool.

Risk Management

The 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. The upgraded system sources its returns from five major alpha generating components. Each runs its own risk management with an overall portfolio level risk manager.

   

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
-53.56 91 - 4/1/2011 11/1/2018
-22.24 3 2 6/1/2008 9/1/2008
-21.03 14 10 12/1/2008 2/1/2010
-20.21 11 11 2/1/2004 1/1/2005
-17.24 5 2 4/1/1996 9/1/1996
-14.24 9 1 11/1/2006 8/1/2007
-14.16 6 4 10/1/2001 4/1/2002
-12.21 2 3 9/1/2002 11/1/2002
-9.92 3 3 2/1/1998 5/1/1998
-9.45 4 2 4/1/2006 8/1/2006
-9.19 3 5 12/1/1998 3/1/1999
-9.15 6 3 3/1/1997 9/1/1997
-8.50 1 1 1/1/1996 2/1/1996
-8.46 4 2 3/1/2001 7/1/2001
-6.69 7 4 12/1/1999 7/1/2000
-6.28 1 3 2/1/2008 3/1/2008
-5.50 1 1 9/1/1999 10/1/1999
-5.41 3 2 5/1/2003 8/1/2003
-5.00 1 2 1/1/2006 2/1/2006
-4.52 2 1 2/1/2003 4/1/2003
-2.85 1 1 2/1/2011 3/1/2011
-1.51 1 1 9/1/1998 10/1/1998
-0.89 1 1 10/1/2003 11/1/2003
-0.52 1 1 12/1/2010 1/1/2011
-0.42 1 1 12/1/2000 1/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
76.77 6 9/1/2007 2/1/2008
48.94 3 10/1/2008 12/1/2008
41.29 7 2/1/2019 8/1/2019
38.96 6 10/1/1996 3/1/1997
35.52 5 11/1/2014 3/1/2015
29.58 3 11/1/2005 1/1/2006
26.72 5 5/1/2002 9/1/2002
22.80 2 3/1/2006 4/1/2006
18.57 4 7/1/2010 10/1/2010
18.52 2 3/1/1996 4/1/1996
18.33 2 8/1/1998 9/1/1998
17.86 3 8/1/2001 10/1/2001
16.97 3 12/1/2002 2/1/2003
16.79 5 2/1/2005 6/1/2005
16.43 2 12/1/1995 1/1/1996
15.74 3 9/1/2006 11/1/2006
14.39 3 12/1/1997 2/1/1998
13.61 3 12/1/2003 2/1/2004
13.29 2 2/1/2001 3/1/2001
12.31 3 10/1/2000 12/1/2000
12.12 3 4/1/2008 6/1/2008
11.05 1 12/1/2018 12/1/2018
10.74 1 5/1/2003 5/1/2003
10.05 2 9/1/2003 10/1/2003
8.96 2 11/1/1999 12/1/1999
8.93 1 8/1/2005 8/1/2005
8.82 2 11/1/1998 12/1/1998
8.71 1 11/1/2009 11/1/2009
8.65 2 3/1/2010 4/1/2010
8.48 2 7/1/2012 8/1/2012
8.47 3 4/1/2014 6/1/2014
8.36 1 12/1/2010 12/1/2010
8.13 1 4/1/2007 4/1/2007
7.01 1 5/1/2009 5/1/2009
6.95 2 10/1/2004 11/1/2004
6.77 1 10/1/2017 10/1/2017
6.72 2 8/1/2009 9/1/2009
6.68 2 1/1/2012 2/1/2012
5.92 1 4/1/1999 4/1/1999
5.90 4 6/1/1999 9/1/1999
5.70 1 3/1/2002 3/1/2002
5.67 2 10/1/2013 11/1/2013
5.56 1 5/1/1997 5/1/1997
5.26 2 1/1/2016 2/1/2016
5.20 2 6/1/2016 7/1/2016
5.12 1 1/1/2013 1/1/2013
5.12 1 8/1/2014 8/1/2014
5.04 1 4/1/2011 4/1/2011
4.65 1 2/1/2017 2/1/2017
4.38 1 1/1/2018 1/1/2018
4.02 1 10/1/1997 10/1/1997
3.72 1 6/1/1998 6/1/1998
3.62 1 7/1/2011 7/1/2011
2.75 1 7/1/1997 7/1/1997
2.64 1 8/1/2000 8/1/2000
2.60 1 4/1/2013 4/1/2013
2.46 1 5/1/2000 5/1/2000
2.40 2 7/1/2017 8/1/2017
2.35 1 7/1/2015 7/1/2015
2.26 1 2/1/2014 2/1/2014
2.10 1 12/1/2016 12/1/2016
2.09 1 2/1/2011 2/1/2011
1.79 1 2/1/1999 2/1/1999
1.79 1 9/1/2016 9/1/2016
1.35 1 11/1/2015 11/1/2015
0.89 1 7/1/2004 7/1/2004
0.88 1 11/1/2012 11/1/2012
0.70 1 8/1/2018 8/1/2018
0.55 1 9/1/2015 9/1/2015
0.49 1 12/1/2001 12/1/2001
0.39 1 5/1/2017 5/1/2017
0.19 1 8/1/1996 8/1/1996
0.05 1 2/1/2007 2/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.24 3 7/1/2008 9/1/2008
-19.62 6 2/1/2018 7/1/2018
-19.36 5 8/1/2011 12/1/2011
-17.57 5 5/1/2013 9/1/2013
-17.30 3 4/1/2015 6/1/2015
-17.05 4 1/1/2009 4/1/2009
-16.60 3 12/1/2009 2/1/2010
-16.12 3 5/1/1996 7/1/1996
-13.23 4 3/1/2004 6/1/2004
-12.21 2 10/1/2002 11/1/2002
-11.19 2 9/1/2012 10/1/2012
-9.92 3 3/1/1998 5/1/1998
-9.79 4 5/1/2007 8/1/2007
-9.73 2 9/1/2005 10/1/2005
-9.45 4 5/1/2006 8/1/2006
-9.45 2 9/1/2019 10/1/2019
-9.30 1 8/1/2015 8/1/2015
-8.87 2 1/1/2002 2/1/2002
-8.72 2 5/1/2011 6/1/2011
-8.65 1 6/1/2017 6/1/2017
-8.50 1 2/1/1996 2/1/1996
-8.46 4 4/1/2001 7/1/2001
-8.43 1 4/1/2002 4/1/2002
-8.38 2 8/1/1997 9/1/1997
-8.31 2 10/1/2016 11/1/2016
-8.24 3 9/1/2018 11/1/2018
-8.09 2 12/1/2004 1/1/2005
-7.69 1 1/1/1999 1/1/1999
-7.34 2 12/1/2006 1/1/2007
-7.28 2 8/1/2004 9/1/2004
-6.84 2 12/1/2013 1/1/2014
-6.50 2 5/1/2010 6/1/2010
-6.44 3 3/1/2016 5/1/2016
-6.28 1 3/1/2008 3/1/2008
-6.23 4 3/1/2012 6/1/2012
-5.54 2 9/1/2014 10/1/2014
-5.50 1 10/1/1999 10/1/1999
-5.44 1 4/1/1997 4/1/1997
-5.41 3 6/1/2003 8/1/2003
-5.16 1 3/1/2007 3/1/2007
-5.00 1 2/1/2006 2/1/2006
-4.99 4 1/1/2000 4/1/2000
-4.68 2 6/1/2009 7/1/2009
-4.52 2 3/1/2003 4/1/2003
-4.44 2 2/1/2013 3/1/2013
-4.14 2 6/1/2000 7/1/2000
-4.12 1 7/1/2005 7/1/2005
-3.93 1 12/1/2015 12/1/2015
-3.53 1 10/1/2009 10/1/2009
-3.35 1 3/1/1999 3/1/1999
-3.32 1 6/1/1997 6/1/1997
-3.29 1 9/1/2017 9/1/2017
-3.16 1 11/1/2001 11/1/2001
-3.07 1 7/1/2014 7/1/2014
-2.85 1 3/1/2011 3/1/2011
-2.78 1 8/1/2016 8/1/2016
-2.70 1 3/1/2014 3/1/2014
-2.22 1 7/1/1998 7/1/1998
-2.15 2 3/1/2017 4/1/2017
-2.06 1 1/1/2019 1/1/2019
-1.76 2 11/1/2017 12/1/2017
-1.52 1 9/1/1996 9/1/1996
-1.51 1 10/1/1998 10/1/1998
-1.30 1 1/1/2017 1/1/2017
-1.25 1 11/1/1997 11/1/1997
-0.89 1 11/1/2003 11/1/2003
-0.76 1 12/1/2012 12/1/2012
-0.75 1 5/1/1999 5/1/1999
-0.69 1 11/1/2010 11/1/2010
-0.52 1 1/1/2011 1/1/2011
-0.45 1 10/1/2015 10/1/2015
-0.42 1 1/1/2001 1/1/2001
-0.34 1 9/1/2000 9/1/2000
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods287.00285.00282.00276.00270.00264.00252.00240.00228.00
Percent Profitable50.1755.0959.5762.6868.8973.4869.8465.8369.74
Average Period Return0.772.314.578.8012.5917.1328.2641.1656.56
Average Gain5.039.1012.7519.9023.9928.9947.6571.6390.10
Average Loss-3.51-6.01-7.47-9.85-12.64-15.73-16.62-17.55-20.72
Best Period20.5648.9476.7768.1395.6095.11163.17207.80185.66
Worst Period-12.33-22.24-22.81-25.41-26.50-31.40-37.35-38.88-36.07
Standard Deviation5.589.8913.8719.0523.1527.3640.2853.2662.90
Gain Standard Deviation4.197.7211.6814.7918.3121.4931.9839.4243.75
Loss Standard Deviation2.854.345.567.027.338.3910.917.538.38
Sharpe Ratio (1%)0.120.210.290.410.480.550.630.700.82
Average Gain / Average Loss1.431.511.712.021.901.842.874.084.35
Profit / Loss Ratio1.441.862.513.394.205.116.647.8610.02
Downside Deviation (10%)3.425.657.2410.0612.1014.2419.0723.4727.49
Downside Deviation (5%)3.235.106.177.888.8810.0912.3313.3714.93
Downside Deviation (0%)3.194.965.917.388.149.1610.9011.1512.28
Sortino Ratio (10%)0.110.190.290.380.410.480.660.841.05
Sortino Ratio (5%)0.210.410.660.991.251.502.052.773.45
Sortino Ratio (0%)0.240.470.771.191.551.872.593.694.60

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.