QTS Capital Management, LLC : FX Managed Account

archived programsClosed to new investments
Year-to-Date
0.06%
Mar Performance
-0.05%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
23.13%
Sharpe (RFR=1%)
0.96
CAROR
22.79%
Assets
$ 12.1M
Worst DD
-37.49
S&P Correlation
0.14

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
FX Managed Account -0.05 0.06 0.06 0.56 -2.35 87.94 - 444.06
S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 - 118.13
+/- S&P 500 -1.84 -13.01 -13.01 -6.77 -38.57 38.09 - 325.93

Strategy Description

Investment Strategy

This strategy seeks profits from the intraday mean reversion of certain co-integrated FX pairs.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
0%
Performance Fee
25.00%
Average Commission
$0
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
0 RT/YR/$M
Avg. Margin-to-Equity
40%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
37.50%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Investment Strategy

This strategy seeks profits from the intraday mean reversion of certain co-integrated FX pairs.

Risk Management

Positions are entered piecemeal based on market conditions, so full leverage not usually deployed immediately. Intraday stop loss of 15%, and market value adjustment based on Kelly formula for multi-period drawdown.

   

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
-37.49 3 26 7/1/2011 10/1/2011
-9.99 34 - 6/1/2015 4/1/2018
-1.32 1 2 6/1/2014 7/1/2014
-0.53 1 1 12/1/2013 1/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
174.87 7 1/1/2011 7/1/2011
85.12 11 8/1/2014 6/1/2015
23.22 8 9/1/2012 4/1/2013
22.93 5 11/1/2011 3/1/2012
19.94 5 2/1/2014 6/1/2014
9.50 3 5/1/2012 7/1/2012
3.47 3 6/1/2013 8/1/2013
3.15 1 10/1/2015 10/1/2015
2.74 2 12/1/2015 1/1/2016
1.97 3 10/1/2013 12/1/2013
1.75 2 1/1/2017 2/1/2017
1.48 1 4/1/2017 4/1/2017
1.09 2 12/1/2017 1/1/2018
0.70 3 9/1/2018 11/1/2018
0.54 3 5/1/2018 7/1/2018
0.53 1 7/1/2017 7/1/2017
0.36 2 7/1/2016 8/1/2016
0.28 1 1/1/2019 1/1/2019
0.27 1 10/1/2017 10/1/2017
0.26 1 5/1/2016 5/1/2016
0.17 1 3/1/2016 3/1/2016
0.06 2 10/1/2016 11/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-37.49 3 8/1/2011 10/1/2011
-8.40 3 7/1/2015 9/1/2015
-4.22 1 4/1/2012 4/1/2012
-3.29 1 2/1/2016 2/1/2016
-3.11 1 5/1/2013 5/1/2013
-2.37 1 6/1/2016 6/1/2016
-1.58 2 5/1/2017 6/1/2017
-1.32 1 7/1/2014 7/1/2014
-1.22 2 8/1/2017 9/1/2017
-1.19 1 11/1/2015 11/1/2015
-1.19 3 2/1/2018 4/1/2018
-0.84 1 11/1/2017 11/1/2017
-0.84 1 9/1/2013 9/1/2013
-0.74 1 3/1/2017 3/1/2017
-0.59 1 8/1/2012 8/1/2012
-0.54 1 4/1/2016 4/1/2016
-0.53 1 1/1/2014 1/1/2014
-0.47 1 12/1/2018 12/1/2018
-0.41 1 9/1/2016 9/1/2016
-0.22 2 2/1/2019 3/1/2019
-0.02 1 8/1/2018 8/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods99.0097.0094.0088.0082.0076.0064.0052.0040.00
Percent Profitable68.6967.0171.2867.0563.4172.3781.25100.00100.00
Average Period Return1.936.3811.0519.0531.0244.6678.34126.76155.19
Average Gain3.9211.7118.0730.5750.2162.7597.41126.76155.19
Average Loss-2.51-4.44-6.36-4.39-2.23-2.71-4.29
Best Period45.06101.19165.3286.13117.95154.50180.71360.82469.08
Worst Period-26.28-37.49-33.46-19.50-9.53-8.74-9.725.1387.94
Standard Deviation6.6818.6628.4328.0637.2345.0459.6073.7285.22
Gain Standard Deviation6.4619.7730.4427.4934.2440.1349.0973.7285.22
Loss Standard Deviation4.949.529.845.622.262.322.45
Sharpe Ratio (1%)0.280.330.370.640.790.951.261.661.76
Average Gain / Average Loss1.562.642.846.9622.5623.1622.71
Profit / Loss Ratio3.535.367.0514.1739.1160.6798.39
Downside Deviation (10%)3.126.307.076.476.267.408.892.91
Downside Deviation (5%)3.036.026.354.442.642.783.33
Downside Deviation (0%)3.015.956.204.051.901.852.12
Sortino Ratio (10%)0.490.821.212.173.744.657.0436.15
Sortino Ratio (5%)0.611.021.664.0711.2015.3222.63
Sortino Ratio (0%)0.641.071.784.7016.3024.0837.00

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 5 Year Rolling 7 97.66 2013 - 2018
IASG CTA Index 5 Year Rolling 4 112.15 2012 - 2017
IASG CTA Index 3 Year Rolling 5 104.94 2013 - 2016
IASG CTA Index 5 Year Rolling 1 206.84 2011 - 2016
IASG CTA Index 5 Year Rolling 1 514.09 2010 - 2015
IASG CTA Index 3 Year Rolling 2 132.47 2012 - 2015
IASG CTA Index Year Rolling 7 25.04 2014 - 2015
Systematic Trader Index Month 10 2.98 10/2015
IASG CTA Index Month 10 6.09 6/2015
Systematic Trader Index Month 6 6.09 6/2015
Systematic Trader Index Month 3 7.91 4/2015
IASG CTA Index Month 4 7.91 4/2015
Systematic Trader Index Month 8 7.68 2/2015
IASG CTA Index Month 9 7.68 2/2015
IASG CTA Index Month 9 11.06 12/2014
IASG CTA Index Year Rolling 7 69.84 2013 - 2014
IASG CTA Index 3 Year Rolling 3 154.07 2011 - 2014

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