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QDRA Pty Ltd - QDRA Dynamic Macro

Principal(s): Dr Chris Howland, Simon Kitson
Strategy: Systematic / Trend Following
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Investment Restrictions: 4.7 Exempt - QEPs Only++
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Statistics & Program Information

May Return -1.96%	Worst Drawdown ⁽²⁾ -46.19%	Minimum Investment $5,000,000
YTD Return -4.60%	Losing Streak ⁽³⁾ -46.19 %	AUM⁽⁵⁾ $1,959,000
Annual CROR ⁽¹⁾ 2.59	Sharpe Ratio ⁽⁴⁾ 0.18	Calmar Ratio ⁽⁶⁾ -0.39

Trading Methodology 100% Systematic	Style Sub-Categories Momentum Mean Reversion	Trading Style 33% Trend Following 67% Risk Premium. Mean Reversion
Market Sector 10% Stock Indices 10% Currencies 10% Financials 10% Metals 10% Agriculturals 10% Meats 10% Softs 20%	Holding Period 75% Long Term 25% Medium Term	Sector Global Contracts Futures

Start Date Nov-2007	Currency US Dollar	Margin ⁽⁷⁾ 11.6% - 20.1%
New Money Yes	AUM ⁽⁵⁾ $1,959,000	Management Fee 0.80%
Min Investment $5,000,000	Annual CROR ⁽¹⁾ 2.59	Incentive Fee 20.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -46.19 %	Other Fees No
Notional Funds Yes	Worst Drawdown ⁽²⁾ -46.19 %	Avg Comm ⁽⁸⁾
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.18	Max Comm ⁽⁹⁾
NFA Number 0519012	Calmar Ratio ⁽⁶⁾ -0.39	Round Turns ⁽¹⁰⁾ 400

Starting Date: Nov-2007	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $1,959,000
Open to US Investors: Yes	Annual CROR: 2.59%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -46.19
Minimum Managed Account: $5,000,000	Current Losing Streak: -46.19 %
Domocile:	Calmar: -0.39
Subscriptions: N/A	Sharpe Ratio: 0.18
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: 0.80%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Other Fees: No	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Correlations:

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each. 1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity. 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. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return. 2. 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. 3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown. 4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown. 5. Annualzied 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. 6. 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. 7. The 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. 8. The 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%. 9. The 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. 10. The 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. 11. 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. 12. Minimum Investment represents the minimum account size. 13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager. 14. The Number of Winning Months represents the months with positive return. 15. The Number of Losing Months represents the months with negative return. 16. The Percentage of Winning Months represents the % of winning months. 17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account. 18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account. 19. 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. 20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Trading Description

The strategy targets a beta of negative 0.5 to the S&P500 and a volatility of 16 to 18%.

Dynamically allocate risk to 50+ CTA models, using 4 key components: 1. A slow moving single variable econometric model that allocates risk based on where we are in the economic cycle for 8 countries and how the CTA models have performed in relation to this 2. A faster moving volatility of equity market volatility model that allocates based on where we are in the equity volatility cycle 3. A bear bias model that allocates risk based on where we are in the US equity market cycle 4. These 3 models, are combined to propose a range of risk allocation for each model. This is then an input to a minimum variance portfolio construction that seeks to force diversification, to avoid the concentration risk that can come from dynamically allocating risk. The minimum variance portfolio that is calculated is scaled to the volatility of a "risk parity" portfolio of the unscaled models. If the underlying models have stronger than average signals, that are also more correlated than average, then the portfolio is scaled to a relatively higher volatility. The volatility scaling allows more information from the underlying models in final portfolio.

Risk Strategy

Stop losses and profit take levels are set at the model level, not at the individual position level. Stop losses are also related to the amount of risk allocated to a model at the start of the month, so that a stop for a model with a large risk allocation is wider than the stop for a model with a small risk allocation. If a model trades a spread position it isn't a concern that one side of the spread is losing if the other side of the spread is making more money. What matters is the model level profitability (or loss) relative to the risk being taken, hence basing stops on the models, not on the individual positions.

Trading futures is inherently risky and there is also risk of loss.

Background

Dr Chris Howland - Portfolio Manager with 17 years of investment experience Chris was employed by Bell Laboratories in the USA, performing mathematical modelling & designing communications integrated circuits and was awarded patents in the US, EU and Japan, covering mathematical methods and the practical implementation of decoders for error correcting codes. Chris holds a Doctorate in Electronic Engineering, a Masters of Business Administration, a Bachelor of Engineering (Hons), a Bachelor of Science majoring in Mathematics and Computer Science and is a graduate member of the Australian Institute of Company Directors.

Simon Kitson - Portfolio Manager with 33 years investment experience. Simon is co-founder of QDRA Pty Ltd in 2005 and has experience in financial markets as a market and economic analyst, risk products distributor and portfolio manager. He has worked with Citigroup London, Westpac and Deutsche Bank, plus at both the Victorian & South Australian Government Debt Management agencies, where he was responsible for actively managing up to $17 billion. Simon holds a Masters of Business Administration from RMIT University.

QDRA Pty Ltd is owned wholly by Quadrant Dynamic Risk Allocation Pty Ltd, which is in turn wholly owned by the portfolio management team.

Monthly Performance Since November 2007

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2023	-0.52%	-3.99%	8.59%	-6.18%	-1.96%								-4.6%	-8.02%
2022	3.06%	-3.50%	-5.21%	8.52%	9.53%	-1.30%	3.05%	-12.88%	-3.23%	0.37%	-9.42%	-3.74%	-15.91%	-26.22%
2021	-2.57%	-2.58%	0.42%	-6.07%	7.86%	1.72%	6.16%	-1.35%	-6.96%	-10.13%	7.37%	-0.41%	-8.02%	-17.51%
2020	9.70%	7.63%	0.11%	0.04%	0.04%	-6.02%	-2.79%	-0.42%	-1.28%	1.80%	-2.93%	-6.49%	-4.39%	-6.14%	-20.66%
2019	-1.38%	-1.85%	7.80%	-3.78%	12.29%	-0.22%	2.20%	8.42%	-7.69%	-6.16%	0.42%	-9.02%	-1.35%	-20.86%
2018	-4.61%	7.88%	3.79%	-5.96%	0.42%	-2.29%	-2.99%	0.29%	-8.39%	9.56%	-3.37%	17.88%	9.62%	-17.76%
2017	-0.65%	-2.30%	0.29%	3.39%	3.86%	-2.24%	-1.82%	3.43%	-6.43%	-1.43%	-3.35%	-6.07%	-13.11%	-16.88%
2016	13.48%	3.30%	-5.49%	0.22%	-5.85%	3.60%	-0.97%	-3.37%	-4.67%	1.36%	-1.58%	-1.65%	-3.07%	-17.31%
2015	11.04%	-5.44%	2.86%	-3.39%	-0.25%	-1.06%	-5.20%	4.44%	8.61%	-5.73%	2.74%	-4.05%	2.91%	-12.08%
2014	2.23%	-4.57%	-7.55%	4.47%	4.75%	-4.12%	6.10%	3.38%	1.24%	7.54%	7.21%	1.13%	22.53%	-11.77%
2013	4.74%	2.76%	3.14%	-1.47%	4.07%	-10.12%	-3.17%	3.66%	-3.93%	-0.92%	6.76%	-1.26%	3.04%	-14.13%
2012	2.28%	0.17%	-1.28%	-1.77%	2.18%	-6.34%	-4.46%	2.23%	-4.14%	-4.62%	-0.08%	1.23%	-14.11%	-17.19%
2011	-7.50%	-0.30%	-2.78%	6.77%	2.81%	0.67%	8.61%	14.12%	-3.27%	-4.85%	7.16%	-2.54%	18.04%	-10.34%
2010	5.38%	-0.58%	-6.62%	3.89%	7.12%	4.55%	-11.18%	1.81%	-0.41%	1.84%	3.78%	0.33%	8.7%	-11.18%
2009	12.87%	-0.21%	-5.93%	-6.31%	5.68%	0.02%	2.90%	-2.09%	5.26%	1.67%	6.05%	-10.09%	7.87%	-12.05%
2008	3.84%	5.46%	6.64%	-4.31%	-4.24%	5.34%	3.26%	5.28%	11.15%	7.76%	4.51%	-1.03%	51.82%	-8.37%
2007											0.16%	0.76%	0.92%	0%

Annual Performance

Years	2007	2008	2009	2010	2011	2012
ROR	0.92%	51.82%	7.87%	8.70%	18.04%	-14.11%
Max DD	0.00%	-8.37%	-12.05%	-11.18%	-10.34%	-17.19%

Years	2013	2014	2015	2016	2017	2018
ROR	3.04%	22.53%	2.91%	-3.07%	-13.11%	9.62%
Max DD	-14.13%	-11.77%	-12.08%	-17.31%	-16.88%	-17.76%

Years	2019	2020	2021	2022	2023 YTD
ROR	-1.35%	-6.14%	-8.02%	-15.91%	-4.60%
Max DD	-20.86%	-20.66%	-17.51%	-26.22%	-8.02%

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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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.

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