Worldwide Capital Strategies : Profit Quest Strategies

archived programs
Year-to-Date
N / A
Dec Performance
0.31%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.96%
Sharpe (RFR=1%)
0.21
CAROR
3.28%
Assets
$ 602k
Worst DD
-17.29
S&P Correlation
-0.09

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 YTD 1yr 3yr 5yr 10yr Since
9/2013
Profit Quest Strategies 0.31 14.32 - 16.02 20.97 - - 11.35
S&P 500 1.82 3.25 - 9.54 21.13 - - 33.14
+/- S&P 500 -1.51 11.06 - 6.48 -0.16 - - -21.79

Strategy Description

Summary

The Profit Quest Strategies are a combination of a day-trading program, a medium term currency trend following program, and a medium to long term diversified multi system approach which has a very low correlation to the S&P Index and to the major CTA Indexes. It is a long volatility... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$25.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1400 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
11.99%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
25.00%
1-3 Months
25.00%
1-30 Days
25.00%
Intraday
25.00%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
32.00%
Precious Metals
15.00%
Energy
15.00%
Grains
12.00%
Stock Indices
8.00%
Industrial Metals
7.00%
Softs
5.00%
Interest Rates
3.00%
Livestock
3.00%
Composition Pie Chart

Summary

The Profit Quest Strategies are a combination of a day-trading program, a medium term currency trend following program, and a medium to long term diversified multi system approach which has a very low correlation to the S&P Index and to the major CTA Indexes. It is a long volatility system that is a great addition for the standard stock and bond portfolio.

Investment Strategy

The Profit Quest Strategies is 95% systematic with a 5% money management overlay. It trades three models. (1) A day-trade multiple stock index system. (2) A medium-term currency system and (3) a traditional diversified medium to long-term trend following system. Approximately 20 of the most liquid futures contracts are traded including ags, metals, energies, currencies, interest rates and softs. The Alpha Quest program will generally have a low correlation to other CTAs and zero to slightly negative correlation to the S&P 500. It is designed to consistently go strongly negatively correlated to the stock indexes in a high volatility stock crises.

Risk Management

Stop protection is immediately entered when a trade is executed. Money management stops are place at 1% risk levels. Profitable trades have multiple strategies for exit to optimize performance.

   

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
-17.29 10 - 3/1/2015 1/1/2016
-15.74 5 8 1/1/0001 1/1/2014
-8.47 1 2 9/1/2014 10/1/2014
-2.47 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
19.69 3 7/1/2014 9/1/2014
17.57 3 11/1/2014 1/1/2015
14.32 3 10/1/2016 12/1/2016
9.64 2 2/1/2014 3/1/2014
8.25 1 11/1/2015 11/1/2015
7.80 1 2/1/2016 2/1/2016
4.02 1 3/1/2015 3/1/2015
3.58 1 4/1/2016 4/1/2016
1.27 2 7/1/2016 8/1/2016
0.90 1 12/1/2013 12/1/2013
0.86 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.33 5 4/1/2015 8/1/2015
-10.86 2 12/1/2015 1/1/2016
-8.77 3 9/1/2013 11/1/2013
-8.47 1 10/1/2014 10/1/2014
-8.46 1 1/1/2014 1/1/2014
-6.99 3 4/1/2014 6/1/2014
-3.56 1 9/1/2016 9/1/2016
-3.06 1 10/1/2015 10/1/2015
-2.47 1 2/1/2015 2/1/2015
-2.34 2 5/1/2016 6/1/2016
-1.52 1 3/1/2016 3/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable47.5050.0054.2962.0773.9182.35
Average Period Return0.401.042.225.135.858.29
Average Gain4.526.768.9411.8010.4210.56
Average Loss-3.33-4.67-5.77-5.79-7.12-2.30
Best Period13.8419.6924.9831.3518.6316.07
Worst Period-8.47-9.38-13.47-16.09-13.25-5.29
Standard Deviation5.197.329.3511.368.986.30
Gain Standard Deviation3.955.956.898.544.624.04
Loss Standard Deviation2.782.443.985.143.722.71
Sharpe Ratio (1%)0.060.110.180.360.481.00
Average Gain / Average Loss1.361.451.552.041.464.60
Profit / Loss Ratio1.231.451.843.344.1521.46
Downside Deviation (10%)3.344.506.167.367.885.89
Downside Deviation (5%)3.163.864.975.164.742.03
Downside Deviation (0%)3.113.714.694.674.031.34
Sortino Ratio (10%)0.00-0.04-0.040.02-0.22-0.33
Sortino Ratio (5%)0.100.210.350.800.923.09
Sortino Ratio (0%)0.130.280.471.101.456.19

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 3 11.97 11/2016
Systematic Trader Index Month 3 11.97 11/2016
IASG CTA Index Month 4 11.97 11/2016
Diversified Trader Index Month 4 11.97 11/2016
Trend Following Strategy Index Month 4 1.78 10/2016
Trend Following Strategy Index Month 2 1.11 8/2016
Trend Following Strategy Index Month 7 3.58 4/2016
Trend Following Strategy Index Month 8 7.80 2/2016

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