Quality Capital Management : Alpha Financials Program

archived programs
Year-to-Date
N / A
Jun Performance
0.37%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.70%
Sharpe (RFR=1%)
-0.18
CAROR
-2.65%
Assets
$ 3.0M
Worst DD
-35.63
S&P Correlation
0.35

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2012
Alpha Financials Program 0.37 -1.17 - -6.42 -23.08 -16.12 - -15.09
S&P 500 0.48 2.93 - 11.21 30.43 67.53 - 97.55
+/- S&P 500 -0.11 -4.11 - -17.63 -53.51 -83.65 - -112.64

Strategy Description

Summary

QCM’s financials-only product, the AFP, commenced trading in June 2012. The AFP trades 56 exchange traded futures in major exchanges worldwide. It diversifies within Financial Assets across major global economies, and through the three broad asset classes: Equities, Bonds, and,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
2300 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Interest Rates
38.00%
Currency Futures
32.00%
Stock Indices
30.00%
Composition Pie Chart

Summary

QCM’s financials-only product, the AFP, commenced trading in June 2012. The AFP trades 56 exchange traded futures in major exchanges worldwide. It diversifies within Financial Assets across major global economies, and through the three broad asset classes: Equities, Bonds, and, Currencies.

Investment Strategy

The strategy is actively managed and seeks longterm capital appreciation through a highly liquid non-correlated alternative investment. It is designed to be robust always looking for relative opportunities in financial markets. 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.

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.

   

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
-35.63 38 - 3/1/2015 5/1/2018
-19.85 11 10 4/1/2013 3/1/2014
-4.64 1 2 9/1/2012 10/1/2012
-0.90 1 1 1/1/0001 6/1/2012
-0.38 1 1 7/1/2012 8/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
28.73 5 11/1/2014 3/1/2015
18.53 6 11/1/2012 4/1/2013
11.10 3 9/1/2013 11/1/2013
8.82 3 4/1/2014 6/1/2014
7.05 2 1/1/2016 2/1/2016
5.97 2 6/1/2016 7/1/2016
5.56 2 8/1/2014 9/1/2014
5.07 1 10/1/2017 10/1/2017
4.82 1 1/1/2018 1/1/2018
4.06 1 2/1/2017 2/1/2017
3.42 1 12/1/2016 12/1/2016
3.30 1 7/1/2012 7/1/2012
2.91 1 7/1/2015 7/1/2015
1.75 3 9/1/2015 11/1/2015
1.74 2 7/1/2017 8/1/2017
1.46 1 5/1/2017 5/1/2017
0.74 1 9/1/2012 9/1/2012
0.67 1 2/1/2014 2/1/2014
0.37 1 6/1/2018 6/1/2018
0.24 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.57 4 5/1/2013 8/1/2013
-12.48 4 2/1/2018 5/1/2018
-9.64 4 8/1/2016 11/1/2016
-9.55 2 12/1/2013 1/1/2014
-9.09 1 8/1/2015 8/1/2015
-8.51 1 6/1/2015 6/1/2015
-8.42 1 4/1/2015 4/1/2015
-7.80 3 3/1/2016 5/1/2016
-6.48 1 12/1/2015 12/1/2015
-5.89 1 6/1/2017 6/1/2017
-4.64 1 10/1/2012 10/1/2012
-3.89 1 3/1/2014 3/1/2014
-3.40 1 1/1/2017 1/1/2017
-3.17 1 7/1/2014 7/1/2014
-2.56 1 9/1/2017 9/1/2017
-2.43 2 11/1/2017 12/1/2017
-1.56 2 3/1/2017 4/1/2017
-1.36 1 10/1/2014 10/1/2014
-0.90 1 6/1/2012 6/1/2012
-0.38 1 8/1/2012 8/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable53.4247.8936.7635.4830.3642.0034.2111.54
Average Period Return-0.13-0.44-0.76-2.07-3.24-3.72-7.09-8.29
Average Gain2.875.549.3710.8612.097.505.431.13
Average Loss-3.58-5.94-6.65-9.18-9.93-11.85-13.60-9.52
Best Period12.1223.0528.1241.2333.4317.5020.652.51
Worst Period-10.74-16.01-20.75-23.24-23.06-27.13-34.63-18.16
Standard Deviation4.247.459.8812.8312.4311.8112.495.82
Gain Standard Deviation2.565.158.0712.109.705.025.901.19
Loss Standard Deviation2.974.334.675.725.757.959.694.96
Sharpe Ratio (1%)-0.05-0.09-0.13-0.24-0.38-0.49-0.81-2.12
Average Gain / Average Loss0.800.931.411.181.220.630.400.12
Profit / Loss Ratio0.920.860.820.650.530.460.210.02
Downside Deviation (10%)3.386.038.1412.3415.4318.1525.9530.38
Downside Deviation (5%)3.205.436.779.3510.6512.1215.5513.61
Downside Deviation (0%)3.165.286.448.669.5410.8113.4610.05
Sortino Ratio (10%)-0.16-0.28-0.40-0.57-0.70-0.77-0.88-0.98
Sortino Ratio (5%)-0.07-0.13-0.19-0.33-0.45-0.47-0.65-0.91
Sortino Ratio (0%)-0.04-0.08-0.12-0.24-0.34-0.34-0.53-0.83

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 4.06 2/2017
Diversified Trader Index Month 9 6.24 5/2014
Systematic Trader Index Month 7 6.24 5/2014
Diversified Trader Index Month 6 4.65 9/2013

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.