Loading...


Ascent Capital Management CTA Report
Report Start Date: Aug-2021 - Report End Date: Sep-2024
Please wait for your Report to Fully Load Print to PDF

Report Start Date Report End Date

QDRA Pty Ltd / QDRA Systematic Commodities Strategy
Accepting New Investors: Yes Quantitative / Diversified Portfolio of Liquid Commodities
4.7 Exempt - QEPs Only


Performance Since August 2021

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2021  0.43% -1.64% 1.83% 2.91% 0.33%
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%
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%
2024 -4.36% 0.44% 20.03% 10.30% -12.07% 0.30% 4.09% -0.09% 0.23%  

 2021202220232024 YTD
ROR3.86%10.80%-9.21%16.91%
Max DD-1.64%-6.93%-14.34%-12.07%

The Notes Below Are An Integral Part of this Report

Program Description: To use a diversified set of trading strategies to trade a diversified group of the most liquid commodity futures contracts while carefully limiting risk. By trading diversified strategies over a diversified set of commodities and managing the risk allocated an uncorrelated and robust return stream is sought that captures much of the upside in commodity bull markets and limits the downside in the inevitable deep corrections in commodity markets. The strategies traded, the regime identification risk allocation and the risk management have been used and proven while running the QDRA Dynamic Macro strategy since 2007. Whilst this strategy is relatively new as a standalone strategy, the trading models, dynamic risk allocation and systems used to create the strategy have all been part of another program that has generated significant alpha for over 14 years.

Investment Information
Program Start Date Aug-2021
Minimum Investment 0
Management Fee 0.00%
Incentive Fee 0.00%
Margin 0-12%
Round Turns per Million 1,000
Currency US Dollar
NFA No: #0519012
Trading Strategy       Market Segment      

Loading chart...

Program Statistics
Peak-to-Valley Drawdown (1) (Oct 2022 - Jan 2024) -19.19%
Worst Monthly Return (May 2024) -12.07%
Current Losing Streak -8.07%
Average Monthly Return 0.65%
Annualized Statistics
Annualized Compounded ROR (2) 6.52%
Standard Deviation 17.42%
Sharpe Ratio (4) 0.39
36 Month Calmar Ratio (3) 0.38
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: Aug-2021 - Report End Date: Sep-2024
Please wait for your Report to Fully Load Print to PDF



Time Window Analysis
Length Best Average Worst
1 mo 20% 0.6% -12.1%
3 mo 33% 2% -10.1%
6 mo 31.7% 4.1% -13%
12 mo 22.9% 4.1% -18.4%
18 mo 18.5% 1.1% -18.6%
24 mo 20.4% 2.6% -4.8%
36 mo 23.7% 22.3% 21.3%
Historical Drawdown and Recoveries***
Start Depth Length Recovery End
Nov-22 -19.19% 15 mo 3 mo Apr-24
May-24 -12.07% 1 mo 4 mo n/a
Aug-22 -3.44% 2 mo 1 mo Oct-22
Sep-21 -1.64% 1 mo 1 mo Oct-21
Feb-22 -1.42% 1 mo 1 mo Mar-22

Comparisons                                        ProgramAG CTA Index
Annualized Compound ROR 6.52%4.34%
Cumulative Return 22.15%14.40%
Cumulative VAMI (5) 12211144
Largest Monthly Gain 20.03%2.99%
Largest Monthly Loss -12.07%-1.18%
Correlation —0.212
Last 12 Months 15.78%7.04%
Last 36 Months 23.65%14.76%

Loading chart...

Loading chart...
Loading chart...
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: Aug-2021 - Report End Date: Sep-2024
Please wait for your Report to Fully Load Print to PDF



+ NOTES:

** 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 2021-08-31 to 2024-09-30

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.

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