QTS Capital Management, LLC : Tail Reaper

Year-to-Date: 12.98%
Feb Performance: 12.98%

Min Investment: $ 100k
Mgmt. Fee: 0%
Perf. Fee: 25.00%

Annualized Vol: 10.15%
Sharpe (RFR=1%): 0.72
CAROR: 8.08%

Assets: $ 11.7M
Worst DD: -14.09
S&P Correlation: -0.34

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Growth of 1,000 - VAMI

Monthly Performance

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	Feb	Qtr	YTD	1yr	3yr	5yr	10yr	Since 8/2012
Tail Reaper	12.98	12.98	12.98	4.94	18.65	42.70	-	62.84
S&P 500	-8.41	-5.95	-8.56	6.09	23.71	38.95	-	107.89
+/- S&P 500	21.39	18.93	21.54	-1.15	-5.07	3.75	-	-45.05

Strategy Description

Summary

This strategy profits from the extreme movements of E-mini S&P 500 futures, and is fully automated.... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 100k
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: 1-7 Days
Redemption Frequency: 1-7 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 2195 RT/YR/$M
Avg. Margin-to-Equity: 9%
Targeted Worst DD: -6.50%
Worst Peak-to-Trough: 6.21%
Sector Focus: Stock Index 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

Momentum: 100.00%

Composition

Stock Indices: 100.00%

Summary

This strategy profits from the extreme movements of E-mini S&P 500 futures, and is fully automated.

Investment Strategy

No overnight positions. Trend following/convex/long volatility/tail hedge.

Risk Management

Stop loss <= 5% of nominal account value imposed intraday.

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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.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
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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
-14.09	15	8	3/1/2018	6/1/2019
-5.11	9	8	9/1/2016	6/1/2017
-2.94	3	1	12/1/2013	3/1/2014
-2.12	1	2	12/1/2015	1/1/2016
-2.10	4	1	3/1/2015	7/1/2015
-1.75	2	1	3/1/2016	5/1/2016
-1.11	2	1	7/1/2013	9/1/2013
-0.94	2	1	6/1/2016	8/1/2016
-0.64	2	1	7/1/2014	9/1/2014
-0.46	2	1	4/1/2014	6/1/2014
-0.02	1	1	1/1/0001	8/1/2012

Consecutive Gains

Run-up	Length (Mos.)	Start	End
21.30	5	8/1/2015	12/1/2015
19.20	2	2/1/2018	3/1/2018
15.01	11	9/1/2012	7/1/2013
12.98	1	2/1/2020	2/1/2020
7.57	1	8/1/2019	8/1/2019
4.49	1	6/1/2016	6/1/2016
4.33	3	10/1/2013	12/1/2013
3.27	4	12/1/2014	3/1/2015
3.27	1	4/1/2014	4/1/2014
3.07	2	12/1/2018	1/1/2019
3.01	1	10/1/2014	10/1/2014
2.89	1	10/1/2018	10/1/2018
2.80	2	2/1/2016	3/1/2016
2.15	1	9/1/2016	9/1/2016
1.33	1	8/1/2017	8/1/2017
1.01	1	7/1/2014	7/1/2014
0.83	1	6/1/2015	6/1/2015
0.54	2	6/1/2018	7/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-13.20	6	2/1/2019	7/1/2019
-6.15	2	4/1/2018	5/1/2018
-5.11	10	10/1/2016	7/1/2017
-3.58	5	9/1/2019	1/1/2020
-2.94	3	1/1/2014	3/1/2014
-2.12	1	1/1/2016	1/1/2016
-1.85	2	4/1/2015	5/1/2015
-1.75	2	4/1/2016	5/1/2016
-1.11	2	8/1/2013	9/1/2013
-1.07	1	7/1/2015	7/1/2015
-0.94	2	7/1/2016	8/1/2016
-0.89	1	11/1/2018	11/1/2018
-0.64	2	8/1/2014	9/1/2014
-0.46	2	5/1/2014	6/1/2014
-0.39	5	9/1/2017	1/1/2018
-0.20	2	8/1/2018	9/1/2018
-0.02	1	8/1/2012	8/1/2012

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	91.00	89.00	86.00	80.00	74.00	68.00	56.00	44.00	32.00
Percent Profitable	45.05	66.29	73.26	76.25	89.19	100.00	100.00	100.00	100.00
Average Period Return	0.69	1.53	2.96	5.82	9.05	12.65	19.94	27.17	34.21
Average Gain	2.59	3.07	4.85	8.60	10.49	12.65	19.94	27.17	34.21
Average Loss	-1.23	-1.75	-2.20	-3.09	-2.85
Best Period	12.98	14.43	15.49	18.63	21.19	24.56	38.07	46.06	49.04
Worst Period	-8.02	-6.07	-8.61	-6.13	-6.29	0.51	0.52	5.72	21.21
Standard Deviation	2.93	3.57	4.71	6.68	7.25	6.83	10.28	10.35	7.09
Gain Standard Deviation	3.18	3.25	3.87	4.98	6.26	6.83	10.28	10.35	7.09
Loss Standard Deviation	1.58	1.79	2.36	1.84	1.73
Sharpe Ratio (1%)	0.21	0.36	0.52	0.72	1.04	1.56	1.65	2.23	4.11
Average Gain / Average Loss	2.10	1.76	2.20	2.78	3.69
Profit / Loss Ratio	2.45	3.98	6.03	8.93	30.42
Downside Deviation (10%)	1.41	1.92	2.76	4.19	4.29	3.32	5.35	5.02	2.00
Downside Deviation (5%)	1.26	1.44	1.84	2.18	1.55	0.19	0.43
Downside Deviation (0%)	1.23	1.34	1.65	1.74	1.08
Sortino Ratio (10%)	0.20	0.16	0.18	0.20	0.34	0.72	0.78	1.12	3.30
Sortino Ratio (5%)	0.48	0.89	1.34	2.22	4.87	55.66	39.54
Sortino Ratio (0%)	0.56	1.14	1.80	3.35	8.40

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Stock Index Trader Index	Month	5	5.19	8/2019
Stock Index Trader Index	Month	6	3.27	10/2018
Systematic Trader Index	Month	3	5.68	3/2018
Stock Index Trader Index	Month	4	5.68	3/2018
IASG CTA Index	Month	5	5.68	3/2018
Stock Index Trader Index	Month	3	8.69	2/2018
Systematic Trader Index	Month	6	8.69	2/2018
IASG CTA Index	Month	2	8.69	2/2018
Stock Index Trader Index	Month	9	1.64	6/2016

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

^#5

Top Performer

STOCK INDEX TRADER INDEX

AUGUST
2019

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More Programs by QTS Capital Management, LLC

Program Name	CAROR
QTS Partners, L.P.	13.67%
Chimera	-
Tail Reaper	8.08%
VIX Timer	-

IASG Activity

Blends 124
Portfolios 18
Watchlists 29

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QTS Capital Management, LLC : Tail Reaper

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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