QCM
Systematic Macro Programme
Principal(s): Aref Karim, Raami Karim, Ershdul Haq
Strategy: Systematic / Global Macro / Diversified
Investment Restrictions: 4.7 Exempt - QEPs Only
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
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.
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.
The upgrades resulted from an in-depth research into all facets of the QCM Systematic Model. Today's QCM SMP synergistically combines old components that have been majorly overhauled, with radically uplifting new alpha tools. The strategy has at the core an enhanced active dynamic asset allocation process that varies daily market exposure as risk and opportunities change. A suite of powerful tactical tools takes care of market weaknesses, participating in short to medium term corrections as well as major market declines. The strategy often protects and profits when facing major systemic events.
Risk is managed on various levels including market based stops, exposure caps & portfolio VAR level algo's on multiple time frames
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.
Raami Karim is Deputy Chief Executive Officer of QCM and a member of its Board. Raami also serves as the Chief Operating Officer. Since joining the firm in 2012, he has worked closely with the CEO on strategic business initiatives and investment research. Over his tenure, Raami has built deep experience across all areas of the firm's operations, with a particular focus on systematic product design and client engagement. He holds a BA (Hons) in Economics from the University of Manchester and pursued graduate studies at the London School of Economics. Raami is a Chartered Financial Analyst (CFA) and serves as the firm's product specialist for its core systematic strategies and operations.
Performance
| 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% | – | – | – | – | – | -20.00% | -20.00% |
| 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% | -12.80% |
| 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% | -13.90% | -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% | -3.50% | -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% | -12.20% |
| 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% | 4.10% | -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% | 0.00% |
Track Record Compiled By: N/A
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.
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.