Worldwide Capital Strategies : Profit Quest Macro World

Year-to-Date
16.88%
Sep Performance
-3.29%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
34.89%
Sharpe (RFR=1%)
0.52
CAROR
14.55%
Assets
$ 3.8M
Worst DD
-39.16
S&P Correlation
-0.05

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2010
Profit Quest Macro World -3.29 -1.67 16.88 4.35 2.21 54.09 - 275.97
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 174.33
+/- S&P 500 -5.01 -2.85 -1.86 2.21 -33.68 4.70 - 101.64

Strategy Description

Summary

Trend identification program seeking absolute alpha.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$20.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
16%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
39.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
20.00%
1-3 Months
30.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
5.00%
Fundamental
5.00%
Momentum
10.00%
Pattern Recognition
10.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Energy
25.00%
Precious Metals
15.00%
Grains
10.00%
Interest Rates
10.00%
Industrial Metals
5.00%
Livestock
5.00%
Softs
5.00%
Composition Pie Chart

Summary

Trend identification program seeking absolute alpha.

Investment Strategy

Trend-following diversified portfolio in all sectors of the economy. Strong, consistent money management. Cut losses short, let profits run.

Risk Management

Maximum 2% stop. Trailing stop. money management stop

   

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
-39.16 6 41 12/1/2010 6/1/2011
-37.17 23 - 12/1/2016 11/1/2018
-20.25 10 10 3/1/2015 1/1/2016
-19.76 1 1 9/1/2010 10/1/2010
-3.10 1 1 3/1/2010 4/1/2010
-0.33 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
79.46 2 11/1/2010 12/1/2010
63.13 3 11/1/2014 1/1/2015
61.26 5 5/1/2010 9/1/2010
55.51 4 6/1/2014 9/1/2014
29.68 3 10/1/2016 12/1/2016
27.57 7 12/1/2018 6/1/2019
20.18 3 7/1/2011 9/1/2011
14.14 1 2/1/2016 2/1/2016
13.66 1 8/1/2019 8/1/2019
12.79 1 5/1/2012 5/1/2012
12.71 2 2/1/2014 3/1/2014
11.90 1 7/1/2012 7/1/2012
11.26 2 2/1/2012 3/1/2012
10.96 2 1/1/2018 2/1/2018
10.78 2 5/1/2013 6/1/2013
10.50 1 4/1/2011 4/1/2011
10.13 2 2/1/2010 3/1/2010
8.83 1 7/1/2017 7/1/2017
7.93 1 3/1/2015 3/1/2015
7.33 1 4/1/2016 4/1/2016
6.11 1 6/1/2018 6/1/2018
6.04 2 8/1/2013 9/1/2013
6.01 2 8/1/2018 9/1/2018
5.36 1 11/1/2015 11/1/2015
4.70 1 11/1/2012 11/1/2012
4.43 1 9/1/2012 9/1/2012
2.62 1 3/1/2013 3/1/2013
2.59 2 11/1/2013 12/1/2013
2.20 1 3/1/2017 3/1/2017
1.58 1 4/1/2018 4/1/2018
1.43 1 8/1/2016 8/1/2016
1.03 1 6/1/2016 6/1/2016
0.40 1 5/1/2015 5/1/2015
0.30 1 5/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.61 3 1/1/2011 3/1/2011
-20.15 2 1/1/2017 2/1/2017
-19.76 1 10/1/2010 10/1/2010
-16.81 2 10/1/2018 11/1/2018
-13.96 5 6/1/2015 10/1/2015
-13.61 1 4/1/2013 4/1/2013
-13.14 2 5/1/2011 6/1/2011
-12.63 3 12/1/2012 2/1/2013
-11.39 5 8/1/2017 12/1/2017
-11.01 1 6/1/2012 6/1/2012
-10.97 2 12/1/2015 1/1/2016
-10.54 1 7/1/2019 7/1/2019
-9.62 1 10/1/2013 10/1/2013
-8.50 2 4/1/2014 5/1/2014
-8.15 1 4/1/2017 4/1/2017
-7.66 4 10/1/2011 1/1/2012
-6.98 1 7/1/2013 7/1/2013
-6.71 1 9/1/2016 9/1/2016
-6.43 1 7/1/2018 7/1/2018
-6.19 1 5/1/2018 5/1/2018
-6.18 1 10/1/2012 10/1/2012
-5.75 1 3/1/2018 3/1/2018
-4.22 1 8/1/2012 8/1/2012
-3.44 1 10/1/2014 10/1/2014
-3.29 1 9/1/2019 9/1/2019
-3.10 1 4/1/2010 4/1/2010
-2.93 1 1/1/2014 1/1/2014
-2.78 1 4/1/2012 4/1/2012
-2.24 1 5/1/2016 5/1/2016
-2.14 1 3/1/2016 3/1/2016
-1.58 1 4/1/2015 4/1/2015
-0.68 1 6/1/2017 6/1/2017
-0.42 1 7/1/2016 7/1/2016
-0.33 1 2/1/2015 2/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods117.00115.00112.00106.00100.0094.0082.0070.0058.00
Percent Profitable52.9953.9155.3655.6659.0058.5169.5190.00100.00
Average Period Return1.594.659.8618.3925.2734.9555.7583.76131.73
Average Gain7.8315.1625.0641.4350.4967.0384.6694.34131.73
Average Loss-5.54-7.64-9.00-10.53-11.01-10.28-10.18-11.45
Best Period55.6666.69114.64160.37166.33163.03206.57164.50284.33
Worst Period-19.76-36.61-39.16-32.05-27.72-36.71-36.75-14.7040.92
Standard Deviation10.0716.6628.0144.0449.5155.8061.5051.4758.38
Gain Standard Deviation9.4015.5329.1647.3650.6852.8551.4242.5458.38
Loss Standard Deviation4.806.337.998.007.357.819.033.50
Sharpe Ratio (1%)0.150.260.330.390.480.590.861.552.17
Average Gain / Average Loss1.411.982.783.934.586.528.328.24
Profit / Loss Ratio1.622.323.454.946.609.1918.9774.14
Downside Deviation (10%)5.177.379.3211.6512.9314.3715.4411.05
Downside Deviation (5%)5.006.848.269.329.279.358.785.01
Downside Deviation (0%)4.966.718.018.778.458.287.453.76
Sortino Ratio (10%)0.230.460.791.151.371.722.595.63
Sortino Ratio (5%)0.300.641.131.872.563.526.0015.90
Sortino Ratio (0%)0.320.691.232.102.994.227.4922.26

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 4 13.66 8/2019
Trend Following Strategy Index Month 6 13.66 8/2019
Systematic Trader Index Month 6 13.66 8/2019
Diversified Trader Index Month 6 13.66 8/2019
Trend Following Strategy Index Month 10 2.91 5/2019
Trend Following Strategy Index Month 10 5.27 3/2019
Trend Following Strategy Index Month 7 4.02 1/2019
Systematic Trader Index Month 7 7.33 12/2018
Diversified Trader Index Month 7 7.33 12/2018
IASG CTA Index 5 Year Rolling 6 105.25 2013 - 2018
Trend Following Strategy Index Month 3 7.33 12/2018
IASG CTA Index Month 4 7.33 12/2018
Diversified Trader Index Month 6 2.81 9/2018
Trend Following Strategy Index Month 2 2.81 9/2018
Systematic Trader Index Month 10 2.81 9/2018
Systematic Trader Index Month 10 2.81 9/2018
Trend Following Strategy Index Month 2 2.81 9/2018
Diversified Trader Index Month 6 2.81 9/2018
Diversified Trader Index Month 3 6.11 6/2018
Systematic Trader Index Month 4 6.11 6/2018
IASG CTA Index Month 5 6.11 6/2018
Trend Following Strategy Index Month 2 6.11 6/2018
Trend Following Strategy Index Month 3 2.20 2/2018
Trend Following Strategy Index Month 9 8.57 1/2018
IASG CTA Index 5 Year Rolling 9 78.53 2012 - 2017
Trend Following Strategy Index Month 2 8.83 7/2017
Systematic Trader Index Month 2 8.83 7/2017
Diversified Trader Index Month 2 8.83 7/2017
IASG CTA Index Month 2 8.83 7/2017
Trend Following Strategy Index Month 5 2.20 3/2017
IASG CTA Index Year Rolling 2 36.60 2015 - 2016
IASG CTA Index 5 Year Rolling 2 183.28 2011 - 2016
IASG CTA Index 3 Year Rolling 2 204.36 2013 - 2016
IASG CTA Index Month 1 24.17 11/2016
Trend Following Strategy Index Month 1 24.17 11/2016
Systematic Trader Index Month 1 24.17 11/2016
Diversified Trader Index Month 1 24.17 11/2016
Trend Following Strategy Index Month 1 3.68 10/2016
Systematic Trader Index Month 2 3.68 10/2016
Diversified Trader Index Month 4 3.68 10/2016
IASG CTA Index Month 8 3.68 10/2016
Trend Following Strategy Index Month 1 1.43 8/2016
Diversified Trader Index Month 9 1.43 8/2016

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