Quality Capital Management Ltd. : Global Diversified Programme

Year-to-Date: 13.26%
Feb Performance: 8.75%

Min Investment: $ 500k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 19.31%
Sharpe (RFR=1%): 0.44
CAROR: 8.01%

Assets: $ 12.4M
Worst DD: -53.56
S&P Correlation: -0.05

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Growth of 1,000 - VAMI

Monthly Performance

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	Feb	Qtr	YTD	1yr	3yr	5yr	10yr	Since 12/1995
Global Diversified Programme	8.75	7.66	13.26	34.68	9.68	-16.13	-5.32	548.14
S&P 500	-8.41	-5.95	-8.56	6.09	23.71	38.95	164.71	374.68
+/- S&P 500	17.16	13.60	21.82	28.59	-14.04	-55.08	-170.03	173.47

Strategy Description

Summary

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%

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.

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Index: Chart Type:

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:

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

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
13.26	2	1/1/2020	2/1/2020
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
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

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
-4.95	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
-1.76	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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	291.00	289.00	286.00	280.00	274.00	268.00	256.00	244.00	232.00
Percent Profitable	50.52	55.02	58.74	63.21	69.34	73.88	70.31	65.16	68.53
Average Period Return	0.80	2.24	4.44	9.12	12.84	17.02	27.91	40.46	55.33
Average Gain	5.03	9.03	12.75	20.16	24.10	28.60	46.72	71.20	90.10
Average Loss	-3.52	-6.06	-7.38	-9.85	-12.64	-15.73	-16.62	-17.04	-20.42
Best Period	20.56	48.94	76.77	68.13	95.60	95.11	163.17	207.80	185.66
Worst Period	-12.33	-22.24	-22.81	-25.41	-26.50	-31.40	-37.35	-38.88	-36.07
Standard Deviation	5.57	9.87	13.82	19.12	23.08	27.18	40.06	53.10	63.06
Gain Standard Deviation	4.17	7.70	11.68	14.76	18.15	21.47	32.23	39.67	43.75
Loss Standard Deviation	2.84	4.33	5.52	7.02	7.33	8.39	10.91	7.86	8.32
Sharpe Ratio (1%)	0.13	0.20	0.29	0.42	0.49	0.55	0.62	0.69	0.80
Average Gain / Average Loss	1.43	1.49	1.73	2.05	1.91	1.82	2.81	4.18	4.41
Profit / Loss Ratio	1.46	1.82	2.46	3.52	4.31	5.14	6.66	7.81	9.61
Downside Deviation (10%)	3.41	5.68	7.26	9.99	12.01	14.15	18.97	23.47	27.83
Downside Deviation (5%)	3.22	5.13	6.17	7.83	8.81	10.02	12.23	13.29	15.05
Downside Deviation (0%)	3.18	4.99	5.91	7.32	8.08	9.10	10.81	11.07	12.35
Sortino Ratio (10%)	0.11	0.18	0.27	0.41	0.44	0.48	0.64	0.81	1.00
Sortino Ratio (5%)	0.22	0.39	0.64	1.04	1.29	1.50	2.03	2.74	3.34
Sortino Ratio (0%)	0.25	0.45	0.75	1.25	1.59	1.87	2.58	3.66	4.48

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.

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Quality Capital Management Ltd. : Global Diversified Programme

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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