The enduring success of any trading program relies heavily on the risk management used in implementing the strategy. QIM applies highly sophisticated risk management procedures that take into account the price, size, volatility, liquidity, and inter-relationships of the contracts traded. Each position in our portfolio is balanced in a manner that results in no individual market's P&L being more than 32% correlated to the P&L of the overall program on a daily basis.
On the portfolio level, account risk is monitored on a daily basis to target a specific standard deviation of daily returns. For the Global Program, this is equivalent to 12% annualized volatility, which is lower than most CTA programs. This volatility is similar to the S&P 500, but without the directional risk of the stock market. During significant drawdowns in equity, QIM reduces market exposure by scaling back the overall leverage.