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Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Jul-2024
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Report Start Date Report End Date


Quality Capital Management Ltd / Systematic Macro Programme
Accepting New Investors: Yes
Systematic / Global Macro / Diversified
4.7 Exempt - QEPs Only



Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-2.06% 3.61% 10.26% 5.99% 9.36% 2.73% 0.94% 2.92% -2.18% -7.43% 1.31% -4.95%
2020 4.15% 8.75% 10.80% 0.84% -1.01% 0.48% 3.53% -0.91% -7.91% -3.86% 5.84% 3.12%
2021 -1.86% 7.23% -1.12% 5.76% 2.23% -1.99% -4.06% -0.89% -3.82% 5.55% -7.44% -5.01%
2022 5.59% 0.17% 6.95% 1.31% -1.36% 4.84% 1.89% -2.08% 2.74% -4.55% -0.47% -3.38%
2023 4.15% -0.07% -8.79% -1.27% -5.44% 3.01% 2.41% -7.61% -0.11% -3.41% 3.87% 13.81%
2024 -6.34% -5.58% 7.49% -2.72% -6.37% -4.64% -3.10%  

 201920202021202220232024 YTD
ROR20.69%24.78%-6.42%11.51%-1.48%-20.00%
Max DD-12.80%-12.27%-16.82%-8.21%-19.98%-20.00%

The Notes Below Are An Integral Part of this Report
| Track Record Compiled By: N/A

Program Description: QCM offers investors a directional systematic global macro strategy that is actively managed. The strategy strives to generate long-term capital appreciation in a liquid investment through a set of proprietary models that generate uncorrelated absolute returns. QCM's approach combines decades of fundamental knowledge and experience of the markets with sound mathematical and technical skills. The strategy engineered into the overall QCM systematic model uses a combination of innovative strategic and tactical tools, driven at the macro level by a proprietary dynamic asset allocation algorithm. The individual components of the model are not correlated. Risk is managed top-down and bottom-up covering individual components as well as the portfolio.

In November 2018 QCM implemented its most significant and powerful upgrade to the firm's proprietary Systematic Model that drives its QCM SMP. This runs a long/short systematic macro strategy on Financial and Commodity futures generating its alpha through a set of uncorrelated components that operate independently, each pursuing their own return and risk.


Investment Information
Program Start Date Dec-1995
Minimum Investment 500,000
Management Fee 1.00%
Incentive Fee 20%
Margin 10%-35%
Round Turns per Million 4,250
Currency US Dollar
NFA No: #0269229
Trading Strategy       Market Segment      

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Program Statistics
Peak-to-Valley Drawdown (1) (Sep 2022 - Jul 2024) -27.65%
Worst Monthly Return (Mar 2023) -8.79%
Current Losing Streak -27.65%
Average Monthly Return 0.45%
Annualized Statistics
Annualized Compounded ROR (2) 3.91%
Standard Deviation 17.59%
Sharpe Ratio (4) 0.25
36 Month Calmar Ratio (3) -0.29

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Jul-2024
Please wait for your Report to Fully Load Print to PDF




Time Window Analysis
Length Best Average Worst
1 mo 13.8% 0.4% -8.8%
3 mo 27.8% 1.6% -14.8%
6 mo 37.3% 2.9% -17.4%
12 mo 35.4% 3.8% -20.8%
18 mo 60.6% 5.6% -24.3%
24 mo 56.2% 7.8% -27.2%
36 mo 51.9% 10.1% -23%
Historical Drawdown and Recoveries***
Start Depth Length Recovery End
Oct-22 -27.65% 22 mo 0 mo n/a
Jun-21 -16.82% 7 mo 7 mo Jul-22
Sep-19 -12.80% 4 mo 3 mo Mar-20
Aug-20 -12.27% 3 mo 4 mo Feb-21
Aug-22 -2.08% 1 mo 1 mo Sep-22
Mar-21 -1.12% 1 mo 1 mo Apr-21


Comparisons                                        ProgramAG CTA Index SP 500 TR
Annualized Compound ROR 3.91%5.31%17.13%
Cumulative Return 23.87%33.49%141.82%
Cumulative VAMI (5) 123913352418
Largest Monthly Gain 13.81%2.99%12.82%
Largest Monthly Loss -8.79%-1.42%-12.35%
Correlation 0.510-0.042
Last 12 Months -15.69%5.49%22.15%
Last 36 Months -22.25%13.69%31.65%

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Jul-2024
Please wait for your Report to Fully Load Print to PDF




+ NOTES: In November 2018 QCM implemented milestone upgrades into its flagship GDP programme after a 3 year deep dive on its system. We opened up every piece of our portfolio management systems, re-examined all aspects of our strategy, identified weaknesses, corrected them and made them more future proof to handle newer environments more effectively. Over and above, we have added various new alpha tools to take the QCM Model that drives the investment process several levels higher.

A Qualified Eligible Person ('QEP') must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

** The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Statistical Notes

1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-07-31

2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.

3. Calmar Ratio Uses last 36 months of Data

ROR = Rate of Return

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document.


PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.


Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com