Quality Capital Management : Enhanced Commodity Beta Programme

archived programs
Year-to-Date
N / A
May Performance
-4.59%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
34.65%
Sharpe (RFR=1%)
0.19
CAROR
1.97%
Assets
$ 2.0M
Worst DD
-72.42
S&P Correlation
0.28

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
4/2005
Enhanced Commodity Beta Programme -4.59 -11.86 - -26.74 -32.68 -68.09 - 17.23
S&P 500 2.08 7.66 - 24.45 49.67 16.43 - 40.94
+/- S&P 500 -6.67 -19.53 - -51.19 -82.34 -84.52 - -23.71

Strategy Description

Summary

The ECBP commenced trading in April 2005 and trades 37 futures markets (60 instruments) in the Real asset class (Commodities). However, the ECBP trades commodities from a net long perspective thus having a long bias. Historical tests and actual trading experience show the product to... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
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
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
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

Counter-trend
20.00%
Trend-following
60.00%
Other
20.00%
Strategy Pie Chart

Composition

Energy
37.00%
Precious Metals
31.00%
Grains
14.00%
Softs
12.00%
Livestock
5.00%
Industrial Metals
1.00%
Composition Pie Chart

Summary

The ECBP commenced trading in April 2005 and trades 37 futures markets (60 instruments) in the Real asset class (Commodities). However, the ECBP trades commodities from a net long perspective thus having a long bias. Historical tests and actual trading experience show the product to have no correlation to financial markets. It also has low correlation to hedge fund indices and managed futures indices. As an enhanced beta product it is designed to have a relatively high correlation to commodity benchmarks such as the S&PGSCI and the Dow Jones UBS. The ECBP additionally offers investors an ‘alpha’ through QCM’s active management. It is a hybrid product that takes advantage of all QCM’s active strategies and targets enhanced returns on the commodity indices.

Investment Strategy

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

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
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-72.42 59 - 6/1/2008 5/1/2013
-20.14 9 1 11/1/2006 8/1/2007
-16.78 1 3 2/1/2008 3/1/2008
-16.25 3 2 6/1/2006 9/1/2006
-9.86 1 2 1/1/2006 2/1/2006
-6.08 2 1 1/1/0001 5/1/2005
-5.51 1 1 9/1/2005 10/1/2005
-1.31 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
71.86 3 12/1/2007 2/1/2008
57.31 6 9/1/2010 2/1/2011
51.35 3 11/1/2005 1/1/2006
40.15 4 3/1/2006 6/1/2006
36.61 2 9/1/2007 10/1/2007
28.86 3 4/1/2008 6/1/2008
24.91 4 6/1/2005 9/1/2005
20.67 2 10/1/2006 11/1/2006
17.94 2 1/1/2012 2/1/2012
15.72 3 6/1/2012 8/1/2012
10.64 3 10/1/2009 12/1/2009
9.16 2 3/1/2010 4/1/2010
8.56 1 1/1/2013 1/1/2013
7.31 1 5/1/2009 5/1/2009
6.54 1 2/1/2007 2/1/2007
6.16 1 4/1/2011 4/1/2011
5.99 1 7/1/2010 7/1/2010
4.63 3 5/1/2007 7/1/2007
3.40 1 7/1/2011 7/1/2011
3.30 2 7/1/2009 8/1/2009
1.72 2 11/1/2008 12/1/2008
0.09 1 10/1/2011 10/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-51.87 4 7/1/2008 10/1/2008
-24.32 4 9/1/2012 12/1/2012
-23.22 2 8/1/2011 9/1/2011
-22.94 4 2/1/2013 5/1/2013
-22.29 2 5/1/2011 6/1/2011
-16.95 2 5/1/2010 6/1/2010
-16.78 1 3/1/2008 3/1/2008
-16.25 3 7/1/2006 9/1/2006
-14.06 3 3/1/2012 5/1/2012
-12.97 2 1/1/2010 2/1/2010
-11.79 2 12/1/2006 1/1/2007
-9.98 2 3/1/2007 4/1/2007
-9.87 2 11/1/2011 12/1/2011
-9.86 1 2/1/2006 2/1/2006
-9.77 1 8/1/2007 8/1/2007
-6.10 1 6/1/2009 6/1/2009
-6.08 2 4/1/2005 5/1/2005
-5.51 1 10/1/2005 10/1/2005
-4.29 4 1/1/2009 4/1/2009
-4.19 1 9/1/2009 9/1/2009
-4.14 1 3/1/2011 3/1/2011
-3.58 1 8/1/2010 8/1/2010
-1.31 1 11/1/2007 11/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods98.0096.0093.0087.0081.0075.0063.0051.0039.00
Percent Profitable52.0448.9650.5450.5754.3253.3336.5150.9848.72
Average Period Return0.642.375.9911.3710.5513.1019.199.6815.90
Average Gain7.7416.9328.6144.7141.1547.5683.4450.7261.40
Average Loss-7.06-11.59-17.13-22.74-25.83-26.29-17.75-33.00-27.32
Best Period36.1171.86131.71124.59128.05162.10322.92127.58114.97
Worst Period-24.07-47.58-51.04-52.78-48.30-59.20-48.14-61.31-68.09
Standard Deviation10.0018.5031.6144.2443.4549.1780.1550.5954.13
Gain Standard Deviation7.6713.8527.6538.0035.6540.79105.0136.6336.64
Loss Standard Deviation5.549.3113.4413.1313.2018.9612.5814.5523.49
Sharpe Ratio (1%)0.060.110.170.230.210.230.200.110.20
Average Gain / Average Loss1.101.461.671.971.591.814.701.542.25
Profit / Loss Ratio1.191.401.712.011.892.072.701.602.13
Downside Deviation (10%)6.4111.2816.6621.5424.2728.1028.7239.6943.13
Downside Deviation (5%)6.2310.7215.5319.0220.4623.1719.2927.8128.42
Downside Deviation (0%)6.1910.5815.2518.4119.5522.0417.2625.1725.53
Sortino Ratio (10%)0.040.100.210.300.120.100.12-0.30-0.27
Sortino Ratio (5%)0.090.200.350.550.440.480.840.200.38
Sortino Ratio (0%)0.100.220.390.620.540.591.110.380.62

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.