QTS Capital Management, LLC : FX Managed Account Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2011 FX Managed Account -0.05 - - - 0.33 -2.18 344.78 444.06 S&P 500 1.79 - - - 36.22 49.85 251.60 202.80 +/- S&P 500 -1.84 - - - -35.89 -52.03 93.18 241.26 Strategy Description Investment StrategyThis 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% Composition Currency FX 100.00% Investment StrategyThis strategy seeks profits from the intraday mean reversion of certain co-integrated FX pairs.Risk ManagementPositions 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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 7 97.66 2013 - 2018 IASG CTA Index 5 Year 4 112.15 2012 - 2017 IASG CTA Index 3 Year 5 104.94 2013 - 2016 IASG CTA Index 5 Year 1 206.84 2011 - 2016 IASG CTA Index 5 Year 1 514.09 2010 - 2015 IASG CTA Index 3 Year 2 132.47 2012 - 2015 IASG CTA Index Annual 7 25.04 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 Annual 7 69.84 2014 IASG CTA Index 3 Year 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. x {{title}} x {{title}} Add Cancel