QTS Capital Management, LLC : Tail Reaper

Year-to-Date
2.68%
Apr Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
8.45%
Sharpe (RFR=1%)
0.85
CAROR
8.15%
Assets
$ 11.7M
Worst DD
-6.15
S&P Correlation
-0.34

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
8/2012
Tail Reaper 0.00 -4.28 -2.68 -0.23 13.00 42.68 - 55.32
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 99.47
+/- S&P 500 -3.93 -13.22 -20.19 -11.48 -28.19 -12.11 - -44.15

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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

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.

   

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
-6.15 2 - 3/1/2018 5/1/2018
-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
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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
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.15 2 4/1/2018 5/1/2018
-5.11 10 10/1/2016 7/1/2017
-4.28 3 2/1/2019 4/1/2019
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00
Percent Profitable48.1569.6277.6385.7195.31100.00100.00100.00
Average Period Return0.681.753.597.1610.5413.9623.3431.44
Average Gain2.192.964.958.6711.1213.9623.3431.44
Average Loss-0.97-1.18-1.16-1.90-1.28
Best Period12.0314.4315.4918.6321.1924.5638.0746.06
Worst Period-5.04-3.69-3.66-3.20-1.840.519.0721.24
Standard Deviation2.443.334.355.946.496.537.756.88
Gain Standard Deviation2.643.273.964.996.086.537.756.88
Loss Standard Deviation1.040.891.000.910.75
Sharpe Ratio (1%)0.250.450.711.041.391.832.623.98
Average Gain / Average Loss2.252.514.274.578.70
Profit / Loss Ratio2.836.5714.8027.40176.81
Downside Deviation (10%)1.071.391.892.883.002.811.900.06
Downside Deviation (5%)0.910.870.911.140.670.21
Downside Deviation (0%)0.870.760.720.790.31
Sortino Ratio (10%)0.260.370.590.750.981.323.99178.91
Sortino Ratio (5%)0.661.733.395.3813.5557.75
Sortino Ratio (0%)0.782.315.009.0834.35

Top Performer Badges

Index Award Type Rank Performance Period
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
Systematic Trader Index Month 6 8.69 2/2018
Stock Index Trader Index Month 3 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.