W.G. Wealth Guardian Ltd. : QT Program

Year-to-Date
0.86%
Oct Performance
-2.30%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.64%
Sharpe (RFR=1%)
0.79
CAROR
12.87%
Assets
$ 1.5M
Worst DD
-13.78
S&P Correlation
0.14

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
6/2017
QT Program -2.30 -3.48 -0.86 6.51 - - - 33.99
S&P 500 2.04 1.92 21.16 12.01 - - - 21.77
+/- S&P 500 -4.34 -5.40 -22.02 -5.50 - - - 12.22

Strategy Description

Summary

The QT Program (QT) is a medium-to-long-term systematic trading program that trades a select portfolio of futures contracts. It is a long-short program and currently trades 6 of the most liquid futures contracts - spanning the currency, bonds, stock index, commodity and volatility... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 300k
Trading Level Incremental Increase
$ 300k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.50
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
11%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
24.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
28.00%
1-30 Days
70.00%
Intraday
2.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
60.00%
Trend-following
25.00%
Other
15.00%
Strategy Pie Chart

Composition

VIX
20.00%
Currency Futures
16.00%
Precious Metals
16.00%
Energy
16.00%
Interest Rates
16.00%
Stock Indices
16.00%
Composition Pie Chart

Summary

The QT Program (QT) is a medium-to-long-term systematic trading program that trades a select portfolio of futures contracts. It is a long-short program and currently trades 6 of the most liquid futures contracts - spanning the currency, bonds, stock index, commodity and volatility sectors. With the exception of the volatility product, the program is always invested in every market. The strategy attempts to capture medium-to-long-term directional movement through a combination of statistical and technical analysis that identifies market direction. QT was designed to be closer to trend-following in nature and follows market action more broadly. The program seeks to provide superior risk-adjusted returns whilst minimizing drawdowns in this systematic category.

Investment Strategy

The strategy is primarily driven by momentum indicators which determine market direction. Trend analysis is performed through a statistical determination of a combination of oscillators and moving averages. Market data is sampled at regular intervals throughout the day to determine the continuation of the current trend or a change in the trend. The objective of the strategy is to profit from long-term and significant directional market movement. Therefore, the trend analysis is necessarily expansive to avoid excessive signal generation in congestive markets and yet must trail market turns closely enough to maximize the profit window - a delicate balance is required. A simple and unobtrusive filter is used to confirm a change in market direction before a new position is taken. Consistency, robustness and low margin-utilization are also key features of the QT program. The strategy was created and developed by investment professionals with over 50 years’ combined trading experience using observable market behavior and statistics.

Risk Management

Hovering in the trend-following category, the QT program will be more prone to false signals in congested markets and can potentially suffer longer drawdowns from false breakouts. The strategy attempts to counter this by applying a volatility-based filter to corroborate a change in trend. The filter has a small in-built lag to allow for false breakouts before confirming the signal. When a strong trend is determined, the strategy systematically increases position size with a dynamic profit target that is adjusted to market conditions. This “booster” attempts to increase profitability in a low-risk, short-term window in a trending market. A low leverage, low margin-to-equity ratio approach is adopted from the outset, consistent with the investment ethos of the other trading strategies under management. The strategy does not use any traditional hard stops but dynamically transitions to changing market conditions following directional changes. The program also has an embedded portfolio limit threshold that once triggered will initiate liquidation of the entire portfolio. This only occurs rarely and under extreme market conditions. The mechanism takes into account both individual and collective market volatility and correlation risks and when an extraordinary level is detected all open positions are closed out. This automated process also determines when the portfolio can then be reinstated once the volatility and concentration risks subside.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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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
-13.78 2 7 2/1/2018 4/1/2018
-9.70 4 - 6/1/2019 10/1/2019
-4.92 3 2 1/1/2019 4/1/2019
-0.21 1 1 10/1/2017 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
19.66 4 10/1/2018 1/1/2019
13.49 5 6/1/2017 10/1/2017
12.83 3 12/1/2017 2/1/2018
11.74 2 5/1/2019 6/1/2019
8.70 2 5/1/2018 6/1/2018
2.27 1 9/1/2019 9/1/2019
1.25 1 8/1/2018 8/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.78 2 3/1/2018 4/1/2018
-9.63 2 7/1/2019 8/1/2019
-4.92 3 2/1/2019 4/1/2019
-2.65 1 7/1/2018 7/1/2018
-2.30 1 10/1/2019 10/1/2019
-1.12 1 9/1/2018 9/1/2018
-0.21 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable62.0759.2679.17100.00100.00
Average Period Return1.113.206.6713.6221.15
Average Gain3.758.059.4813.6221.15
Average Loss-3.21-3.86-4.00
Best Period10.0815.8019.8023.9130.81
Worst Period-10.30-12.63-7.624.334.95
Standard Deviation4.516.997.855.537.96
Gain Standard Deviation3.013.666.025.537.96
Loss Standard Deviation2.933.823.37
Sharpe Ratio (1%)0.230.420.792.282.47
Average Gain / Average Loss1.172.082.37
Profit / Loss Ratio1.913.039.00
Downside Deviation (10%)2.813.993.280.160.76
Downside Deviation (5%)2.663.512.47
Downside Deviation (0%)2.623.392.29
Sortino Ratio (10%)0.250.491.2854.7517.75
Sortino Ratio (5%)0.390.842.50
Sortino Ratio (0%)0.420.942.92

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 2.27 9/2019
Systematic Trader Index Month 5 10.08 6/2019
Diversified Trader Index Month 5 10.08 6/2019

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