QTS Capital Management, LLC : FX Managed Account

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

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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%

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.

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Index: Chart Type:

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

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Index:

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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	99.00	97.00	94.00	88.00	82.00	76.00	64.00	52.00	40.00
Percent Profitable	68.69	67.01	71.28	67.05	63.41	72.37	81.25	100.00	100.00
Average Period Return	1.93	6.38	11.05	19.05	31.02	44.66	78.34	126.76	155.19
Average Gain	3.92	11.71	18.07	30.57	50.21	62.75	97.41	126.76	155.19
Average Loss	-2.51	-4.44	-6.36	-4.39	-2.23	-2.71	-4.29
Best Period	45.06	101.19	165.32	86.13	117.95	154.50	180.71	360.82	469.08
Worst Period	-26.28	-37.49	-33.46	-19.50	-9.53	-8.74	-9.72	5.13	87.94
Standard Deviation	6.68	18.66	28.43	28.06	37.23	45.04	59.60	73.72	85.22
Gain Standard Deviation	6.46	19.77	30.44	27.49	34.24	40.13	49.09	73.72	85.22
Loss Standard Deviation	4.94	9.52	9.84	5.62	2.26	2.32	2.45
Sharpe Ratio (1%)	0.28	0.33	0.37	0.64	0.79	0.95	1.26	1.66	1.76
Average Gain / Average Loss	1.56	2.64	2.84	6.96	22.56	23.16	22.71
Profit / Loss Ratio	3.53	5.36	7.05	14.17	39.11	60.67	98.39
Downside Deviation (10%)	3.12	6.30	7.07	6.47	6.26	7.40	8.89	2.91
Downside Deviation (5%)	3.03	6.02	6.35	4.44	2.64	2.78	3.33
Downside Deviation (0%)	3.01	5.95	6.20	4.05	1.90	1.85	2.12
Sortino Ratio (10%)	0.49	0.82	1.21	2.17	3.74	4.65	7.04	36.15
Sortino Ratio (5%)	0.61	1.02	1.66	4.07	11.20	15.32	22.63
Sortino Ratio (0%)	0.64	1.07	1.78	4.70	16.30	24.08	37.00

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.

^#7

Top Performer

IASG CTA INDEX

2013-2018

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IASG Activity

Blends 115
Portfolios 32
Watchlists 49

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QTS Capital Management, LLC : FX Managed Account

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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