Quality Capital Management : Global Diversified Programme

Year-to-Date
3.75%
Apr Performance
-0.85%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.54%
Sharpe (RFR=1%)
0.47
CAROR
8.67%
Assets
$ 23.0M
Worst DD
-39.07
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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/1995
Global Diversified Programme -0.85 5.12 3.75 0.97 3.03 -19.23 32.89 493.60
S&P 500 0.91 4.62 6.49 15.44 26.55 70.55 60.81 283.54
+/- S&P 500 -1.76 0.50 -2.74 -14.47 -23.52 -89.78 -27.92 210.06

Strategy Description

Summary

QCM’s Flagship product, the GDP, commenced trading in December 1995. The GDP trades 116 exchange-traded Financial and Commodities futures in major exchanges worldwide.... 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
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
4500 RT/YR/$M
Avg. Margin-to-Equity
18%
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
80.00%
Strategy Pie Chart

Composition

Currency Futures
22.00%
Stock Indices
19.00%
Interest Rates
15.00%
Precious Metals
14.00%
Energy
11.00%
Softs
6.00%
Livestock
5.00%
Currency FX
4.00%
Industrial Metals
2.00%
Grains
2.00%
Composition Pie Chart

Summary

QCM’s Flagship product, the GDP, commenced trading in December 1995. The GDP trades 116 exchange-traded Financial and Commodities futures in major exchanges worldwide.

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 financial and 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 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
-39.07 67 - 4/1/2011 11/1/2016
-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
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
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
6.72 2 8/1/2009 9/1/2009
6.68 2 1/1/2012 2/1/2012
6.02 2 2/1/2017 3/1/2017
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
4.02 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
2.35 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
0.55 1 9/1/2015 9/1/2015
0.49 1 12/1/2001 12/1/2001
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
-19.36 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
-9.30 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
-8.50 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
-8.09 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
-3.16 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
-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
-0.85 1 4/1/2017 4/1/2017
-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 Periods257.00255.00252.00246.00240.00234.00222.00210.00198.00
Percent Profitable50.9756.0861.1167.4874.1780.3476.5873.8177.27
Average Period Return0.852.464.779.9515.0020.6334.2449.2567.65
Average Gain5.079.0812.3619.2924.4329.4249.1972.9393.48
Average Loss-3.54-5.98-7.17-9.43-12.08-15.29-14.63-17.49-20.15
Best Period20.5648.9476.7768.1395.6095.11163.17207.80185.66
Worst Period-12.33-22.24-22.81-25.41-26.50-31.40-37.35-28.70-36.07
Standard Deviation5.649.8713.4218.5822.9226.6438.9551.9359.98
Gain Standard Deviation4.247.6711.2214.7818.4821.6631.4438.6641.06
Loss Standard Deviation2.894.405.657.147.869.2410.795.279.05
Sharpe Ratio (1%)0.140.220.320.480.590.700.800.871.04
Average Gain / Average Loss1.431.521.722.052.021.923.364.174.64
Profit / Loss Ratio1.491.942.714.255.807.8710.9911.7515.77
Downside Deviation (10%)3.425.596.979.2210.8712.2715.9020.3123.49
Downside Deviation (5%)3.245.055.937.197.968.689.9911.3512.78
Downside Deviation (0%)3.204.925.686.737.317.908.779.3410.51
Sortino Ratio (10%)0.130.220.330.540.680.851.161.361.70
Sortino Ratio (5%)0.240.440.721.241.692.153.123.984.90
Sortino Ratio (0%)0.270.500.841.482.052.613.915.276.44

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 5 Year Rolling 8 171.01 2004 - 2009
IASG CTA Index 3 Year Rolling 9 152.99 2005 - 2008
Trend Following Strategy Index Month 2 12.76 12/2008
Systematic Trader Index Month 4 12.76 12/2008
Diversified Trader Index Month 4 12.76 12/2008
IASG CTA Index Month 6 12.76 12/2008
Diversified Trader Index Month 5 16.10 11/2008
IASG CTA Index Month 5 16.10 11/2008
Systematic Trader Index Month 5 16.10 11/2008
Trend Following Strategy Index Month 3 16.10 11/2008
Trend Following Strategy Index Month 8 2.11 4/2008
Trend Following Strategy Index Month 9 20.56 9/2007
Systematic Trader Index Month 9 20.56 9/2007
IASG CTA Index Year Rolling 10 35.01 2005 - 2006
IASG CTA Index Month 9 10.39 10/2006
Diversified Trader Index Month 6 10.39 10/2006
Systematic Trader Index Month 5 10.39 10/2006
Trend Following Strategy Index Month 4 10.39 10/2006
Trend Following Strategy Index Month 10 16.83 4/2006
Systematic Trader Index Month 10 16.83 4/2006
Diversified Trader Index Month 6 12.16 1/2006
IASG CTA Index Month 8 12.16 1/2006
Trend Following Strategy Index Month 6 12.16 1/2006
Systematic Trader Index Month 6 12.16 1/2006
Trend Following Strategy Index Month 8 7.61 12/2005
Systematic Trader Index Month 9 7.61 12/2005
IASG CTA Index Month 7 8.93 8/2005
Systematic Trader Index Month 6 8.93 8/2005
Diversified Trader Index Month 4 8.93 8/2005
Trend Following Strategy Index Month 4 8.93 8/2005
Trend Following Strategy Index Month 8 7.64 6/2005
Systematic Trader Index Month 9 7.64 6/2005
Diversified Trader Index Month 9 7.64 6/2005
Systematic Trader Index Month 8 2.34 4/2005
Diversified Trader Index Month 7 2.34 4/2005
Trend Following Strategy Index Month 5 2.34 4/2005
Trend Following Strategy Index Month 10 6.81 11/1999
Trend Following Strategy Index Month 10 1.74 8/1999
Systematic Trader Index Month 10 5.92 4/1999
Trend Following Strategy Index Month 8 5.92 4/1999
Trend Following Strategy Index Month 7 5.69 12/1998
Systematic Trader Index Month 9 5.69 12/1998
Systematic Trader Index Month 9 2.96 11/1998
Trend Following Strategy Index Month 6 2.96 11/1998
Diversified Trader Index Month 10 2.96 11/1998
Trend Following Strategy Index Month 9 -1.51 10/1998
IASG CTA Index Month 9 3.72 6/1998
Diversified Trader Index Month 6 3.72 6/1998
Systematic Trader Index Month 5 3.72 6/1998
Trend Following Strategy Index Month 3 3.72 6/1998
Trend Following Strategy Index Month 10 2.69 2/1998
Diversified Trader Index Month 9 7.56 12/1997
IASG CTA Index Month 9 7.56 12/1997
Trend Following Strategy Index Month 7 7.56 12/1997
Systematic Trader Index Month 7 7.56 12/1997
Systematic Trader Index Month 3 4.02 10/1997
Diversified Trader Index Month 2 4.02 10/1997
IASG CTA Index Month 3 4.02 10/1997
Trend Following Strategy Index Month 2 4.02 10/1997
Trend Following Strategy Index Month 4 5.56 5/1997
Systematic Trader Index Month 4 5.56 5/1997
Diversified Trader Index Month 4 5.56 5/1997
IASG CTA Index Month 7 5.56 5/1997
Trend Following Strategy Index Month 10 2.71 3/1997
Diversified Trader Index Month 4 4.64 12/1996
IASG CTA Index Month 4 4.64 12/1996
Trend Following Strategy Index Month 2 4.64 12/1996
Systematic Trader Index Month 2 4.64 12/1996
Trend Following Strategy Index Month 10 0.19 8/1996
Trend Following Strategy Index Month 2 11.62 3/1996
Systematic Trader Index Month 3 11.62 3/1996
Diversified Trader Index Month 5 11.62 3/1996
IASG CTA Index Month 6 11.62 3/1996

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