Global Markets Program
Systematic (Statistics & Probability)
We employ quantitative algorithms derived from mathematics and physics such as digital signal processing and noise reduction techniques. The algorithms decompose market price series into a complex sum of individual linear and non-linear components representing both market "signal" and "noise". After extracting noise, models statistically project the highest probability directional move. Trade duration is adaptive and reflects the market's estimated frequency. A variety of risk management techniques are imbedded in the models including active stop losses which attempt to mitigate downside risk. The strategy's diversified portfolio comprises futures and forwards in currencies, interest rates, equities and commodities.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -34.28% |
| From Feb 2016 to Jan 2019 | |
| Worst Month (Feb 2018) | -8.95% |
| Current Losing Streak | -7.46% |
| Average Monthly Return | 0.37% |
| Monthly Std. Deviation | 3.46% |
| Gain Deviation (127 months) | 2.47% |
| Loss Deviation (117 months) | 1.93% |
| Gain to Loss Ratio | 1.22 |
| Omega Ratio (5% Threshold) | 0.97 |
| Annualized Performance |
|
| Compound ROR (1) | 3.79% |
| Standard Deviation | 12% |
| Downside Deviation | 7.37% |
| Sharpe Ratio (3) 2% RF ROR | 0.34 |
| Sortino Ratio (4) 5% MAR | 0.5 |
| Calmar Ratio (5) | 0.13 |
| Sterling Ratio (6) | 0.09 |
| Gain Deviation | 8.57% |
| Loss Deviation | 6.69% |
| Profit Loss Ratio | 1.32 |
| Investment Information |
|
| Program Start Date | Jul-2005 |
| Percent Systematic | 100% |
| Currency Denomination - US Dollars | |
| Minimum Investment | $3,000,000 |
| Management Fee | 2.00% |
| Incentive Fee | 0.00 |
| Margin | 12% |
| Round Turns per Million | 900 |
| NFA No: | #0392936 |
| 4.7 Exempt - QEP Investors Only | |
| Performance Since July 2005 | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.04% | 0.30% | 2.18% | 0.02% | -0.78% | -1.14% | -0.03% | -1.65% | 0.94% | 3.84% | – | – | 3.59% | -3.56% |
| 2024 | 1.81% | 1.71% | -0.96% | 3.48% | -0.77% | 1.35% | 0.05% | -2.40% | 0.08% | -2.05% | -2.86% | 0.28% | -0.49% | -7.07% |
| 2023 | 0.90% | -0.34% | -2.51% | 8.92% | 1.94% | -4.82% | 0.03% | 1.33% | -0.56% | -2.81% | -3.05% | -0.68% | -2.29% | -10.23% |
| 2022 | 3.50% | 11.74% | 8.34% | 6.43% | -3.77% | -0.94% | -0.67% | -1.03% | 4.33% | 0.39% | 1.92% | 1.76% | 35.74% | -6.29% |
| 2021 | 3.82% | -0.32% | -2.72% | 5.20% | -0.18% | -1.74% | -0.71% | -1.65% | -1.21% | 3.52% | -6.74% | 0.97% | -2.32% | -8.65% |
| 2020 | 1.58% | 4.41% | 5.35% | 0.08% | -1.04% | -0.83% | -0.09% | 0.90% | 2.60% | 0.23% | -4.62% | 4.08% | 12.94% | -4.62% |
| 2019 | -6.92% | 0.08% | 5.95% | 1.51% | 4.46% | -1.36% | 0.69% | 8.38% | -7.70% | -4.46% | -1.27% | 1.02% | -0.92% | -12.94% |
| 2018 | 8.30% | -8.95% | -1.31% | -1.19% | -0.75% | 0.46% | 0.26% | 1.75% | -0.59% | -4.70% | -2.95% | 1.54% | -8.68% | -16.96% |
| 2017 | 1.76% | 0.40% | -1.66% | -2.61% | -0.92% | -1.94% | 2.35% | -2.80% | 0.40% | 4.70% | 2.20% | 1.22% | 2.87% | -7.43% |
| 2016 | 6.46% | 2.98% | -6.19% | -4.59% | -2.86% | 1.77% | -1.13% | -3.51% | -2.71% | -6.41% | -2.23% | 0.00% | -17.59% | -24.84% |
| 2015 | 11.38% | 1.12% | 2.45% | -6.08% | 1.79% | -6.60% | 6.23% | -0.47% | 2.18% | -5.43% | 5.12% | -3.01% | 7.31% | -10.72% |
| 2014 | -4.26% | 0.52% | -0.21% | -1.38% | 0.00% | 0.04% | 0.06% | 1.05% | 5.65% | 1.14% | 8.71% | 4.94% | 16.79% | -5.29% |
| 2013 | 2.05% | 1.46% | -1.37% | 5.27% | -3.49% | -0.43% | -2.18% | -2.08% | -1.59% | 2.97% | 1.74% | 1.21% | 3.24% | -9.43% |
| 2012 | -1.59% | -6.31% | -1.91% | -1.46% | 8.58% | -6.60% | 2.18% | -2.98% | 4.09% | -3.27% | 2.05% | 4.10% | -4.15% | -10.88% |
| 2011 | -0.66% | 3.41% | -0.85% | 4.73% | -3.66% | -3.11% | 2.70% | -1.12% | -2.42% | -4.67% | -2.54% | 0.34% | -8.02% | -14.06% |
| 2010 | -2.92% | -1.59% | 4.85% | 1.35% | -2.70% | -3.09% | 1.64% | 1.96% | 3.80% | 2.95% | -1.51% | 4.50% | 9.11% | -5.71% |
| 2009 | 1.00% | 4.09% | -1.66% | -6.38% | -3.31% | -0.56% | -1.12% | 1.07% | 0.66% | -0.89% | 2.32% | -2.24% | -7.20% | -12.47% |
| 2008 | -0.05% | 6.13% | -1.16% | -4.72% | -0.11% | 3.78% | 0.08% | -2.06% | 0.33% | 4.74% | 4.18% | -0.26% | 10.83% | -5.93% |
| 2007 | 4.87% | -2.38% | -0.73% | 4.76% | 5.22% | 1.67% | -3.18% | -3.28% | 4.99% | 4.96% | -2.01% | -0.32% | 14.80% | -6.36% |
| 2006 | 3.70% | -0.57% | 3.33% | 4.62% | -3.60% | 0.02% | -3.13% | 2.24% | -0.33% | 3.94% | 0.86% | 6.00% | 17.91% | -6.60% |
| 2005 | – | – | – | – | – | – | 2.37% | -0.74% | 5.12% | -3.92% | 2.73% | 0.86% | 6.33% | -3.92% |
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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
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