QTS Capital Management, LLC : Chimera

Year-to-Date
45.98%
Oct Performance
-8.16%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
36.32%
Sharpe (RFR=1%)
0.64
CAROR
20.79%
Assets
$ 27.3M
Worst DD
-16.79
S&P Correlation
-0.43

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Oct Qtr YTD 1yr 3yr 5yr 10yr Since
11/2018
Chimera -8.16 -13.16 45.98 46.43 - - - 48.53
S&P 500 -2.77 -0.04 1.21 7.65 - - - 18.46
+/- S&P 500 -5.39 -13.12 44.77 38.78 - - - 30.07

Strategy Description

Summary

Chimera Strategy is a hybrid of our Tail Reaper and VIX Timer strategies. It aims to provide a volatility neutral strategy that can profit under most market conditions, with nearly zero correlation to the US equity market index.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2376 RT/YR/$M
Avg. Margin-to-Equity 28%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 12.85%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 50.00%
Intraday 50.00%

Decision-Making

Discretionary
Systematic 100.00%

Strategy

Momentum
50.00%
Option-writing
50.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
VIX
50.00%
Composition Pie Chart

Summary

Chimera Strategy is a hybrid of our Tail Reaper and VIX Timer strategies. It aims to provide a volatility neutral strategy that can profit under most market conditions, with nearly zero correlation to the US equity market index.

Risk Management

1% intraday stop for momentum position based on notional market value. Machine-learning-based risk management layer prevents entries. Continuous monitoring of multiple risk indicators to exit position daily.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-16.79 4 - 6/1/2020 10/1/2020
-12.80 2 8 4/1/2019 6/1/2019
-1.39 1 1 1/1/2019 2/1/2019
-0.49 1 1 3/1/2020 4/1/2020
-0.18 1 1 1/1/0001 11/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
64.32 3 1/1/2020 3/1/2020
8.46 2 7/1/2019 8/1/2019
5.92 2 5/1/2020 6/1/2020
5.08 2 12/1/2018 1/1/2019
4.04 2 3/1/2019 4/1/2019
3.58 2 10/1/2019 11/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.79 4 7/1/2020 10/1/2020
-12.80 2 5/1/2019 6/1/2019
-3.05 1 9/1/2019 9/1/2019
-1.39 1 2/1/2019 2/1/2019
-0.95 1 12/1/2019 12/1/2019
-0.49 1 4/1/2020 4/1/2020
-0.18 1 11/1/2018 11/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable54.1777.2757.8992.31100.00
Average Period Return2.027.4417.7437.9754.68
Average Gain6.5612.2034.5241.2154.68
Average Loss-3.34-8.75-5.34-0.90
Best Period45.9356.9362.1975.8263.07
Worst Period-12.42-11.19-8.98-0.9038.23
Standard Deviation10.4918.6727.5629.968.72
Gain Standard Deviation12.2218.7225.0228.818.72
Loss Standard Deviation3.932.082.76
Sharpe Ratio (1%)0.180.390.631.236.10
Average Gain / Average Loss1.961.406.4645.96
Profit / Loss Ratio2.324.748.89551.54
Downside Deviation (10%)3.594.845.342.37
Downside Deviation (5%)3.444.384.140.54
Downside Deviation (0%)3.404.263.850.25
Sortino Ratio (10%)0.451.282.8613.91
Sortino Ratio (5%)0.561.644.1668.24
Sortino Ratio (0%)0.601.754.61152.69

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.