Tracking CTAs since 1994
QDRA Pty Ltd
QDRA Systematic Commodities Strategy
Principal(s): Chris Howland Ph.D., Simon Kitson
Strategy: Quantitative / Diversified Portfolio of Liquid Commodities
Investment Restrictions: 4.7 Exempt - QEPs Only
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
The portfolio combines 20 quantitative commodity trading models, covering Risk Premium (10), Trend Following (5), Mean Reversion (2), Spread Trading (2) and Break Out (1), of which 12 are long biased. This ensures the strategy is not just another long only source of beta returns, but one that aims to generate significant alpha throughout the economic cycle. Additionally, there are two indicators of regime change, which are used in combination to vary the risk allocated to the 20 trading models. The dynamic risk allocation is designed to avoid allocating too much risk to a model, when that model or trading style is not expected to perform well. Constraints such as limiting model and position volatility, net contract exposure and gross contract exposure are all enforced using linear programming.
The portfolio is rebalanced weekly, unless volatility rises significantly. Stop loss and profit taking levels are done at the model level, so that spreads are able to work effectively.
Dr Chris Howland - Portfolio Manager with 20+ years of investment experience
Chris was employed by Bell Laboratories in the USA, performing mathematical modelling & designing communications integrated circuits and was awarded patents in the US, EU and Japan, covering mathematical methods and the practical implementation of decoders for error correcting codes. Chris holds a Doctorate in Electronic Engineering, a Masters of Business Administration, a Bachelor of Engineering (Hons), a Bachelor of Science majoring in Mathematics and Computer Science and is a graduate member of the Australian Institute of Company Directors.
Simon Kitson - Portfolio Manager with 35+ years investment experience. Simon is co-founder of QDRA Pty Ltd in 2005 and has experience in financial markets as a market and economic analyst, risk products distributor and portfolio manager. He has worked with Citigroup London, Westpac and Deutsche Bank, plus at both the Victorian & South Australian Government Debt Management agencies, where he was responsible for actively managing up to $17 billion.
Simon holds a Masters of Business Administration from RMIT University.
QDRA Pty Ltd is owned wholly by Quadrant Dynamic Risk Allocation Pty Ltd, which is in turn wholly owned by the portfolio management team.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.54% | 0.55% | – | – | – | – | – | – | – | – | – | – | 5.11% | 0.00% |
| 2025 | -0.84% | 3.30% | 3.75% | 1.72% | -1.89% | -6.43% | -4.53% | 4.55% | 3.11% | -0.68% | -3.30% | 0.83% | -1.09% | -12.36% |
| 2024 | -4.36% | 0.44% | 20.03% | 10.30% | -12.07% | 0.30% | 4.09% | -0.09% | 0.23% | 7.77% | 4.75% | 0.39% | 32.50% | -12.07% |
| 2023 | 0.45% | 1.90% | -0.63% | -4.02% | -0.70% | -5.67% | -2.10% | -0.51% | 2.93% | -4.36% | 4.78% | -1.18% | -9.21% | -14.34% |
| 2022 | 1.08% | -1.42% | 2.20% | 4.38% | 6.19% | 4.07% | 0.62% | -0.35% | -3.10% | 4.31% | -4.69% | -2.35% | 10.80% | -6.93% |
| 2021 | – | – | – | – | – | – | – | 0.43% | -1.64% | 1.83% | 2.91% | 0.33% | 3.86% | -1.64% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.>
Risk Disclosure
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.