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Quality Capital Management Ltd - Systematic Macro Programme

Principal(s): Aref Karim
Strategy: Systematic / Global Macro / Diversified
Request a Stat Report & Disclosure Document
Investment Restrictions: 4.7 Exempt - QEPs Only++

Statistics & Program Information

Jul Return -3.10%	Worst Drawdown ⁽²⁾ -53.55%	Minimum Investment $500,000
YTD Return -20.00%	Losing Streak ⁽³⁾ -36.11 %	AUM⁽⁵⁾ $10,000,000
Annual CROR:¹ 6.37%	Sharpe Ratio ⁽⁴⁾ 0.37	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 100% Systematic	Style Sub-Categories Momentum Volatility Trend Anticipatory Mean Reversion	Trading Style 100% Multi-System with Trend & Counter Trend
Market Sector 25% Stock Indices 15% Currencies 30% Financials 10% Metals 10% Energies 6% Agriculturals 2% Meats 2% Softs	Holding Period 25% Long Term 20% Medium Term 35% Short Term 20% Intraday	Geographic Sector: Global Contracts: Futures

Start Date Dec-1995	Currency US Dollar	Margin ⁽⁷⁾ 10%-35%
New Money Yes	AUM ⁽⁵⁾ $10,000,000	Management Fee 1.00%
Min Investment $500,000	Annual CROR ¹ 6.37%	Incentive Fee 20%
Fund Minimum $0	Losing Streak ⁽³⁾ -36.11 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -53.55 %	Avg Comm ⁽⁸⁾ $5
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.37	Max Comm ⁽⁹⁾
NFA Number 0269229	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 4,250

Starting Date: Dec-1995	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $10,000,000
Open to US Investors: Yes	Annual CROR: 6.37%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -53.55
Minimum Managed Account: $500,000	Current Losing Streak: -36.11 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 0.37
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 1.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: N/A

Correlations: AG CTA Index: 0.666

Trading Description, Risk Strategy & Background

Trading 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.

QCM's systematic macro product, the SMP, operates with a portfolio of stocks, bonds, currencies and commodities. Implementation is through exchange-traded futures. Running the strategy through a model-based approach means our rules, disciplines and signals can be applied systematically and consistently, devoid of emotional biases.

Risk Strategy

Risk is managed on various levels including market based stops, exposure caps & portfolio VAR level algo's on multiple time frames

Background

Aref Karim, FCA, Founder and Board Member, is a thirty five year veteran of the Alternative Investment industry. He is the company's Chief Executive Officer and Chief Investment Officer, carrying responsibility for the running of the business as well as its investment strategies and research. Aref qualified as a Chartered Accountant and holds a Fellowship of its Institute in the UK. After working in London with a public practice as Senior Audit Manager, he moved overseas to join the Alternative Investment Department of Abu Dhabi Investment Authority ("ADIA"), one of the world's largest sovereign wealth funds. The institution invests globally in all asset classes including equities, fixed income, real estate and alternative investments. As Senior Investment Manager, he was responsible for launching ADIA's multi-billion dollar Alternative Portfolio and looking after its investment policies, strategies and asset allocation. He was with ADIA from 1982 to 1995 before returning to the UK to found QCM.

Ershadul Haq, CFA, Board Member and Director of Research joined QCM in June 2000. Ershadul works closely with the CIO to research and build all aspects of investment strategies for the firm. Prior to QCM, Ershadul worked as an analyst with alternative investment firm, Northwater Capital Management Inc, and hedge fund group Concordia. Ershadul is a Chartered Financial Analyst, and holds a MSc in Mathematical Trading and Finance from Cass Business School where he graduated with distinction. He also holds a BSc in Actuarial Sciences & Statistics and MA in Economics from University of Toronto.

Accounting 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.

Monthly Performance Since December 1995

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-6.34%	-5.58%	7.49%	-2.72%	-6.37%	-4.64%	-3.10%						-20%	-20%
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%	-1.48%	-19.98%
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%	11.51%	-8.21%
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%	-6.42%	-16.82%
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%	24.78%	-12.27%
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%	20.69%	-12.8%
2018	4.38%	-7.72%	-5.43%	-3.76%	-2.09%	-0.98%	-1.28%	0.70%	-2.15%	-1.95%	-4.36%	11.05%	-13.9%	-25.72%
2017	-1.30%	4.65%	-1.31%	-0.85%	0.39%	-8.65%	1.25%	1.14%	-3.29%	6.77%	-1.38%	-0.39%	-3.72%	-11.13%
2016	2.63%	2.56%	-5.29%	-1.07%	-0.15%	4.37%	0.80%	-2.78%	1.79%	-5.94%	-2.52%	2.10%	-4.02%	-10.69%
2015	13.51%	1.68%	3.10%	-9.34%	-0.96%	-7.90%	2.35%	-9.30%	0.55%	-0.45%	1.35%	-3.93%	-10.97%	-25.18%
2014	-4.78%	2.26%	-2.70%	2.31%	4.92%	1.05%	-3.07%	5.12%	-1.89%	-3.72%	11.94%	1.74%	12.65%	-5.54%
2013	5.12%	-3.25%	-1.23%	2.60%	-3.54%	-10.09%	-0.99%	-3.62%	-0.40%	3.30%	2.29%	-2.16%	-12.17%	-19.18%
2012	2.58%	4.00%	-1.44%	-0.35%	-1.24%	-3.33%	6.83%	1.54%	-0.31%	-10.91%	0.88%	-0.76%	-3.5%	-11.18%
2011	-0.52%	2.09%	-2.85%	5.04%	-4.94%	-3.98%	3.62%	-3.26%	-9.58%	-3.10%	-4.00%	-0.90%	-20.96%	-23.73%
2010	-10.20%	-0.12%	7.37%	1.19%	-5.99%	-0.54%	1.90%	5.61%	3.57%	6.38%	-0.69%	8.36%	16.26%	-10.31%
2009	-6.15%	-3.12%	-4.63%	-4.34%	7.01%	-3.30%	-1.43%	4.95%	1.69%	-3.53%	8.71%	-7.02%	-11.95%	-17.05%
2008	9.21%	20.02%	-6.28%	2.11%	2.00%	7.65%	-12.33%	-3.14%	-8.43%	13.77%	16.10%	12.76%	59.51%	-22.24%
2007	-5.89%	0.05%	-5.16%	8.13%	-0.12%	-0.22%	-3.16%	-6.53%	20.56%	7.33%	0.40%	3.81%	17.48%	-12.89%
2006	12.16%	-5.00%	5.11%	16.83%	-2.46%	-0.13%	-6.63%	-0.45%	0.42%	10.39%	4.41%	-1.54%	35.01%	-9.45%
2005	-4.36%	0.49%	2.85%	2.34%	2.58%	7.65%	-4.12%	8.93%	-0.65%	-9.14%	7.36%	7.61%	21.68%	-9.73%
2004	0.82%	7.33%	-2.39%	-3.53%	-2.98%	-5.02%	0.89%	-6.37%	-0.97%	2.24%	4.61%	-3.90%	-9.71%	-18.83%
2003	4.18%	4.44%	-2.97%	-1.60%	10.74%	-3.56%	-0.46%	-1.47%	0.32%	9.70%	-0.89%	4.99%	24.61%	-5.42%
2002	-2.49%	-6.54%	5.70%	-8.43%	1.34%	6.93%	4.90%	4.26%	6.92%	-7.11%	-5.49%	7.50%	5.48%	-12.2%
2001	-0.42%	2.52%	10.51%	-6.88%	-0.27%	-0.92%	-0.52%	1.85%	9.84%	5.35%	-3.17%	0.50%	18.44%	-8.47%
2000	-0.38%	-0.40%	-1.77%	-2.52%	2.46%	-1.18%	-3.00%	2.64%	-0.34%	1.94%	5.81%	4.12%	7.18%	-6.69%
1999	-7.69%	1.79%	-3.35%	5.92%	-0.75%	3.54%	0.51%	1.74%	0.02%	-5.50%	6.81%	2.01%	4.1%	-9.18%
1998	3.56%	2.69%	-0.73%	-8.02%	-1.35%	3.72%	-2.22%	15.43%	2.51%	-1.51%	2.96%	5.69%	23.21%	-9.92%
1997	2.22%	4.57%	2.71%	-5.44%	5.56%	-3.32%	2.75%	-5.71%	-2.83%	4.02%	-1.25%	7.56%	10.19%	-9.15%
1996	1.68%	-8.50%	11.62%	6.18%	-9.46%	-0.14%	-7.23%	0.19%	-1.53%	15.14%	5.05%	4.64%	15.48%	-17.25%
1995												14.51%	14.51%	0%

Annual Performance

Years	1995	1996	1997	1998	1999	2000
ROR	14.51%	15.48%	10.19%	23.21%	4.10%	7.18%
Max DD	0.00%	-17.25%	-9.15%	-9.92%	-9.18%	-6.69%

Years	2001	2002	2003	2004	2005	2006
ROR	18.44%	5.48%	24.61%	-9.71%	21.68%	35.01%
Max DD	-8.47%	-12.20%	-5.42%	-18.83%	-9.73%	-9.45%

Years	2007	2008	2009	2010	2011	2012
ROR	17.48%	59.51%	-11.95%	16.26%	-20.96%	-3.50%
Max DD	-12.89%	-22.24%	-17.05%	-10.31%	-23.73%	-11.18%

Years	2013	2014	2015	2016	2017	2018
ROR	-12.17%	12.65%	-10.97%	-4.02%	-3.72%	-13.90%
Max DD	-19.18%	-5.54%	-25.18%	-10.69%	-11.13%	-25.72%

Years	2019	2020	2021	2022	2023	2024
ROR	20.69%	24.78%	-6.42%	11.51%	-1.48%	-20.00%
Max DD	-12.80%	-12.27%	-16.82%	-8.21%	-19.98%	-20.00%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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++Qualified Eligible Investors Only:

A Qualified Eligible Person 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 $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE 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 ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

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.

Footnotes & Definitions:

P - Proprietary Trading Results
C - Client Trading Results
Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.

Rates of Return: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. Annual CROR is not applicable to CTAs that sum their monthly returns.
Worst Peak-to-Valley Drawdown: The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.
Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
Annualzied Standard Deviation: Annualized Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.
Downside Deviation: Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.
Sharpe Ratio: Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
Sortino Ratio: Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.
Sterling Ratio: Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.
Calmar Ratio: Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
Omega Function: The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.
Minimum Investment: Minimum Investment represents the minimum account size.
Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
Number of Winning Months: Number of Winning Months represents the months with positive return.
Number of Losing Months: Number of Losing Months represents the months with negative return.
Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
Average Commission: The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.
Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS