Quality Capital Management : Global Natural Resources Programme

archived programsClosed to new investments
Year-to-Date
N / A
Mar Performance
-2.15%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.65%
Sharpe (RFR=1%)
0.18
CAROR
2.46%
Assets
$ 1.0M
Worst DD
-67.54
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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
8/2000
Global Natural Resources Programme -2.15 - - -22.61 -30.01 -59.33 16.79 35.72
S&P 500 3.60 - - 11.41 34.16 18.62 84.98 3.38
+/- S&P 500 -5.75 - - -34.02 -64.17 -77.95 -68.18 32.34

Strategy Description

Summary

The GNRP commenced trading in August 2000. The GNRP trades 37 futures markets (60 instruments) in the Real asset class (Commodities).... 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
4500 RT/YR/$M
Avg. Margin-to-Equity
16%
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 GNRP commenced trading in August 2000. The GNRP trades 37 futures markets (60 instruments) in the Real asset class (Commodities).

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 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 and some correlation to commodity benchmarks.

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
-67.54 57 - 6/1/2008 3/1/2013
-24.01 14 2 6/1/2006 8/1/2007
-15.61 10 8 8/1/2002 6/1/2003
-12.17 11 2 2/1/2004 1/1/2005
-11.29 2 3 3/1/2005 5/1/2005
-11.02 1 3 2/1/2008 3/1/2008
-9.71 3 5 11/1/2001 2/1/2002
-9.08 1 2 1/1/2006 2/1/2006
-5.44 1 3 3/1/2001 4/1/2001
-5.16 1 1 9/1/2005 10/1/2005
-3.78 1 1 7/1/2001 8/1/2001
-3.37 2 4 8/1/2000 10/1/2000
-0.80 1 1 10/1/2007 11/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
62.20 3 12/1/2007 2/1/2008
38.56 3 11/1/2005 1/1/2006
37.72 2 9/1/2007 10/1/2007
32.11 4 3/1/2006 6/1/2006
28.52 4 9/1/2010 12/1/2010
25.31 3 4/1/2008 6/1/2008
15.66 2 10/1/2006 11/1/2006
14.45 2 9/1/2003 10/1/2003
14.43 2 2/1/2005 3/1/2005
12.99 2 7/1/2002 8/1/2002
11.48 2 8/1/2005 9/1/2005
11.26 3 10/1/2008 12/1/2008
10.96 2 2/1/2001 3/1/2001
10.14 3 12/1/2002 2/1/2003
9.64 1 2/1/2004 2/1/2004
9.49 3 9/1/2001 11/1/2001
9.16 3 9/1/2004 11/1/2004
8.25 2 1/1/2012 2/1/2012
7.69 1 6/1/2005 6/1/2005
7.55 3 5/1/2001 7/1/2001
7.40 1 7/1/2004 7/1/2004
6.47 1 8/1/2000 8/1/2000
6.47 2 10/1/2009 11/1/2009
6.07 1 3/1/2002 3/1/2002
4.95 3 6/1/2012 8/1/2012
4.10 1 2/1/2007 2/1/2007
3.61 1 3/1/2010 3/1/2010
3.40 1 5/1/2002 5/1/2002
3.11 2 11/1/2000 12/1/2000
3.01 1 1/1/2013 1/1/2013
3.00 1 12/1/2003 12/1/2003
2.89 1 4/1/2011 4/1/2011
2.58 1 2/1/2011 2/1/2011
2.49 1 8/1/2009 8/1/2009
1.89 1 7/1/2003 7/1/2003
1.82 1 7/1/2010 7/1/2010
1.77 1 5/1/2003 5/1/2003
1.02 1 6/1/2007 6/1/2007
0.94 1 7/1/2011 7/1/2011
0.60 1 5/1/2004 5/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.68 3 7/1/2008 9/1/2008
-23.22 7 1/1/2009 7/1/2009
-19.36 3 12/1/2009 2/1/2010
-15.00 5 8/1/2011 12/1/2011
-14.53 2 5/1/2011 6/1/2011
-14.08 4 9/1/2012 12/1/2012
-13.59 3 7/1/2006 9/1/2006
-12.47 2 3/1/2003 4/1/2003
-12.41 3 3/1/2007 5/1/2007
-11.29 2 4/1/2005 5/1/2005
-11.02 1 3/1/2008 3/1/2008
-10.88 2 2/1/2013 3/1/2013
-10.68 2 12/1/2004 1/1/2005
-10.56 2 12/1/2006 1/1/2007
-10.13 3 9/1/2002 11/1/2002
-9.71 3 12/1/2001 2/1/2002
-9.44 3 4/1/2010 6/1/2010
-9.08 1 2/1/2006 2/1/2006
-8.10 1 8/1/2004 8/1/2004
-7.70 2 7/1/2007 8/1/2007
-7.59 3 3/1/2012 5/1/2012
-7.13 1 6/1/2004 6/1/2004
-5.97 1 9/1/2009 9/1/2009
-5.44 1 4/1/2001 4/1/2001
-5.16 1 10/1/2005 10/1/2005
-4.30 1 6/1/2003 6/1/2003
-4.06 1 3/1/2011 3/1/2011
-3.78 1 8/1/2001 8/1/2001
-3.64 1 7/1/2005 7/1/2005
-3.37 2 9/1/2000 10/1/2000
-3.16 1 4/1/2002 4/1/2002
-2.53 1 11/1/2003 11/1/2003
-2.32 1 6/1/2002 6/1/2002
-2.31 2 3/1/2004 4/1/2004
-2.13 1 1/1/2011 1/1/2011
-2.02 1 1/1/2001 1/1/2001
-1.87 1 8/1/2010 8/1/2010
-1.76 1 8/1/2003 8/1/2003
-1.70 1 1/1/2004 1/1/2004
-0.80 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 Periods151.00150.00147.00141.00135.00129.00117.00105.0093.00
Percent Profitable49.0147.3348.9854.6158.5261.2470.0975.2476.34
Average Period Return0.461.463.006.659.3913.3725.1838.6156.87
Average Gain5.7011.5917.7025.5728.9535.1148.4363.1881.51
Average Loss-4.59-7.65-11.12-16.12-18.20-20.99-29.29-36.05-22.64
Best Period34.0362.20121.60128.0598.34122.48218.39234.96278.92
Worst Period-19.10-38.86-39.51-44.31-47.64-58.01-56.22-66.06-63.02
Standard Deviation7.1213.1821.3630.1432.2335.3356.6362.1965.22
Gain Standard Deviation6.0111.2221.1028.1126.6625.4951.7450.8453.67
Loss Standard Deviation3.566.457.7610.0814.0916.1114.2618.0218.96
Sharpe Ratio (1%)0.050.090.120.190.240.320.390.560.79
Average Gain / Average Loss1.241.511.591.591.591.671.651.753.60
Profit / Loss Ratio1.201.361.531.912.242.643.875.3311.62
Downside Deviation (10%)4.377.9511.1715.7518.9621.9326.2230.4226.37
Downside Deviation (5%)4.187.399.9613.3615.5517.4219.2821.8116.24
Downside Deviation (0%)4.147.259.6612.7814.7716.4117.7719.9814.23
Sortino Ratio (10%)0.010.030.050.100.090.140.360.561.11
Sortino Ratio (5%)0.090.160.250.420.510.651.151.583.19
Sortino Ratio (0%)0.110.200.310.520.640.811.421.934.00

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.