W.G. Wealth Guardian Ltd. : QT Program (QTP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 59.49% Dec Performance 1.71% Min Investment $ 300k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 27.75% Sharpe (RFR=1%) 0.86 CAROR 23.83% Assets $ 1.5M Worst DD -18.83 S&P Correlation -0.32 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since6/2017 QT Program (QTP) 1.71 25.95 59.49 59.49 85.75 - - 115.09 S&P 500 3.71 11.69 16.26 16.26 40.48 - - 53.65 +/- S&P 500 -2.00 14.26 43.23 43.23 45.28 - - 61.44 Strategy Description SummaryThe 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% Composition VIX 20.00% Currency Futures 16.00% Precious Metals 16.00% Energy 16.00% Interest Rates 16.00% Stock Indices 16.00% SummaryThe 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 StrategyThe 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 ManagementHovering 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -18.83 2 2 7/1/2020 9/1/2020 -13.78 2 7 2/1/2018 4/1/2018 -13.40 3 1 3/1/2020 6/1/2020 -9.70 4 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 Show More Consecutive Gains Run-up Length (Mos.) Start End 55.60 5 11/1/2019 3/1/2020 25.95 3 10/1/2020 12/1/2020 19.66 4 10/1/2018 1/1/2019 16.52 1 7/1/2020 7/1/2020 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -18.83 2 8/1/2020 9/1/2020 -13.78 2 3/1/2018 4/1/2018 -13.40 3 4/1/2020 6/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods43.0041.0038.0032.0026.0020.00 Percent Profitable62.7960.9873.6893.75100.00100.00 Average Period Return2.085.8611.1321.8630.8543.14 Average Gain5.8712.5016.9723.4130.8543.14 Average Loss-4.32-4.52-5.24-1.31 Best Period36.4054.6054.3559.4978.6281.90 Worst Period-11.56-13.40-18.09-2.414.958.10 Standard Deviation8.0113.2816.4617.7117.1623.28 Gain Standard Deviation7.5512.8415.0517.2017.1623.28 Loss Standard Deviation3.364.275.531.55 Sharpe Ratio (1%)0.250.420.651.181.711.77 Average Gain / Average Loss1.362.773.2417.82 Profit / Loss Ratio2.304.329.07267.27 Downside Deviation (10%)3.504.424.791.610.520.48 Downside Deviation (5%)3.343.943.990.64 Downside Deviation (0%)3.303.823.800.43 Sortino Ratio (10%)0.481.051.8110.4544.8468.50 Sortino Ratio (5%)0.601.422.6632.59 Sortino Ratio (0%)0.631.532.9351.11 Top Performer Badges Index Award Type Rank Performance Period Diversified Trader Index Month 7 10.24 11/2020 IASG CTA Index Month 9 10.24 11/2020 Systematic Trader Index Month 9 10.24 11/2020 Systematic Trader Index Month 1 12.33 10/2020 Diversified Trader Index Month 1 12.33 10/2020 IASG CTA Index Month 2 12.33 10/2020 IASG CTA Index Month 5 16.52 7/2020 Diversified Trader Index Month 5 16.52 7/2020 Systematic Trader Index Month 5 16.52 7/2020 Diversified Trader Index Month 5 36.40 3/2020 Systematic Trader Index Month 6 36.40 3/2020 Diversified Trader Index Month 6 12.14 2/2020 Systematic Trader Index Month 8 12.14 2/2020 Diversified Trader Index Month 9 2.27 9/2019 Diversified Trader Index Month 5 10.08 6/2019 Systematic 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. x {{title}} x {{title}} Add Cancel