QTS Capital Management, LLC : QTS Partners, L.P.

Year-to-Date
0.44%
Jun Performance
-1.10%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
23.12%
Sharpe (RFR=1%)
0.58
CAROR
12.86%
Assets
$ 4.2M
Worst DD
-35.29
S&P Correlation
0.11

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
QTS Partners, L.P. -1.10 -1.87 0.44 2.92 3.54 24.54 - 179.64
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 126.38
+/- S&P 500 -7.99 -5.65 -16.90 -5.29 -35.19 -24.01 - 53.26

Strategy Description

Summary

Absolute returns, multi-strategy commodity pool. Algorithmic and quantamental strategies. Focus on highly liquid instruments with predominantly intraday positions. Low correlation with equity market index. Low volatility and low leverage (currently <=1). No management fee. Monthly... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
35.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
5.00%
1-30 Days
5.00%
Intraday
90.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
10.00%
Fundamental
37.00%
Momentum
50.00%
Option-writing
3.00%
Strategy Pie Chart

Composition

Currency FX
30.00%
Stock Indices
30.00%
Precious Metals
15.00%
Other
15.00%
VIX
4.00%
Energy
3.00%
Grains
3.00%
Composition Pie Chart

Summary

Absolute returns, multi-strategy commodity pool. Algorithmic and quantamental strategies. Focus on highly liquid instruments with predominantly intraday positions. Low correlation with equity market index. Low volatility and low leverage (currently <=1). No management fee. Monthly redemptions. The performance data for the period from January to June 2011 represents the performance of Ernest Chan’s personal brokerage account, and is not Pool performance. However, the strategies deployed in this account are substantially the same as the initial strategies deployed in the Pool. The performance data for the period from July 2011 onwards represents returns of the Pool net of all fees and expenses. Performance data for the period January 2012 onwards are audited. All returns are filed quarterly with the National Futures Association.

Investment Strategy

Market neutral, volatility neutral, short-term trading strategies in spot FX, equity index, physical commodities futures, sector ETFs, and long-short individual equities. Balanced between mean reversion and momentum, long and short volatility strategies.

Risk Management

Utilize constant proportion portfolio insurance to keep maximum drawdown from exceeding 5%. Except for first year of operation when leverage was 10, maximum leverage has been and will be less than or equal to 5. Currently, leverage is 1.5.

   

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
-35.29 9 - 7/1/2011 4/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
188.39 7 1/1/2011 7/1/2011
18.87 10 9/1/2014 6/1/2015
9.45 6 11/1/2012 4/1/2013
8.75 5 5/1/2012 9/1/2012
6.61 3 1/1/2018 3/1/2018
5.50 2 10/1/2011 11/1/2011
5.45 1 1/1/2012 1/1/2012
4.42 4 10/1/2013 1/1/2014
3.26 2 6/1/2013 7/1/2013
3.06 2 10/1/2018 11/1/2018
2.69 4 1/1/2019 4/1/2019
2.64 3 10/1/2015 12/1/2015
1.25 1 8/1/2015 8/1/2015
1.03 2 4/1/2014 5/1/2014
0.64 1 7/1/2014 7/1/2014
0.43 3 7/1/2016 9/1/2016
0.33 1 2/1/2017 2/1/2017
0.23 1 3/1/2016 3/1/2016
0.21 1 7/1/2017 7/1/2017
0.20 1 7/1/2018 7/1/2018
0.14 1 4/1/2017 4/1/2017
0.09 1 12/1/2016 12/1/2016
0.05 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-32.70 2 8/1/2011 9/1/2011
-11.11 3 2/1/2012 4/1/2012
-3.59 2 8/1/2013 9/1/2013
-2.76 1 12/1/2011 12/1/2011
-2.67 3 4/1/2018 6/1/2018
-2.20 2 5/1/2019 6/1/2019
-2.04 1 5/1/2013 5/1/2013
-1.22 2 1/1/2016 2/1/2016
-1.20 2 11/1/2017 12/1/2017
-1.12 2 5/1/2017 6/1/2017
-1.11 2 2/1/2014 3/1/2014
-0.88 3 4/1/2016 6/1/2016
-0.86 2 8/1/2017 9/1/2017
-0.85 1 7/1/2015 7/1/2015
-0.81 2 10/1/2016 11/1/2016
-0.59 1 12/1/2018 12/1/2018
-0.58 1 9/1/2015 9/1/2015
-0.48 1 10/1/2012 10/1/2012
-0.23 1 3/1/2017 3/1/2017
-0.18 2 8/1/2018 9/1/2018
-0.17 1 6/1/2014 6/1/2014
-0.11 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods102.00100.0097.0091.0085.0079.0067.0055.0043.00
Percent Profitable61.7661.0062.8975.8282.3586.0894.0396.3695.35
Average Period Return1.204.115.876.379.0812.3119.1828.3935.40
Average Gain3.078.8311.8010.5412.6515.6521.4329.6937.38
Average Loss-1.87-3.28-4.18-6.72-7.57-8.34-16.28-6.26-5.19
Best Period52.10115.37182.4099.1195.41113.14124.34144.18175.19
Worst Period-22.14-31.27-29.49-31.32-25.97-22.45-21.64-7.64-6.01
Standard Deviation6.6719.0227.6817.6917.0520.0723.3426.4934.26
Gain Standard Deviation7.3022.5033.1117.5616.2819.4122.1826.0933.86
Loss Standard Deviation4.097.187.5510.338.708.505.811.961.17
Sharpe Ratio (1%)0.170.200.190.300.440.510.690.920.88
Average Gain / Average Loss1.652.692.821.571.671.881.324.757.20
Profit / Loss Ratio2.734.214.784.927.8011.6020.73125.74147.63
Downside Deviation (10%)2.835.256.117.787.818.6310.317.578.70
Downside Deviation (5%)2.734.945.366.255.214.934.902.032.23
Downside Deviation (0%)2.714.885.205.964.754.344.161.221.13
Sortino Ratio (10%)0.280.550.560.180.190.240.330.900.89
Sortino Ratio (5%)0.410.781.000.861.462.093.2911.9713.56
Sortino Ratio (0%)0.440.841.131.071.912.844.6023.2331.23

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 6 2.57 3/2018
Diversified Trader Index Month 9 3.13 2/2018

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