Quality Capital Management Ltd. : Global Diversified Programme Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 10.05% Apr Performance 5.76% Min Investment $ 1,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 19.19% Sharpe (RFR=1%) 0.47 CAROR 8.45% Assets $ 21.0M Worst DD -53.56 S&P Correlation -0.04 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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since12/1995 Global Diversified Programme 5.76 12.14 10.05 8.51 62.73 33.66 -14.55 685.80 S&P 500 5.24 16.22 14.93 48.22 63.01 106.89 213.29 593.66 +/- S&P 500 0.52 -4.09 -4.88 -39.71 -0.28 -73.23 -227.84 92.14 Strategy Description SummaryQCM’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 $ 1,000k 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% 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% SummaryQCM’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 StrategyThe 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 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. 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. 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 -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 Show More 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 26.55 4 1/1/2020 4/1/2020 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 9.14 2 11/1/2020 12/1/2020 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 7.23 1 2/1/2021 2/1/2021 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 5.76 1 4/1/2021 4/1/2021 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 4.03 2 6/1/2020 7/1/2020 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 1.31 1 11/1/2019 11/1/2019 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 Show More 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 -12.27 3 8/1/2020 10/1/2020 -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 -4.95 1 12/1/2019 12/1/2019 -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 -1.86 1 1/1/2021 1/1/2021 -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 -1.12 1 3/1/2021 3/1/2021 -1.01 1 5/1/2020 5/1/2020 -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 Show More 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