QTS Capital Management, LLC : Tail Reaper Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 3.36% Feb Performance 0.06% Min Investment $ 500k Mgmt. Fee 0% Perf. Fee 25.00% Annualized Vol 18.85% Sharpe (RFR=1%) 0.49 CAROR 9.02% Assets $ 12.3M Worst DD -24.35 S&P Correlation -0.43 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since8/2012 Tail Reaper 0.06 -3.36 -3.36 -20.22 17.20 38.99 - 87.05 S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 - 188.65 +/- S&P 500 -5.88 -12.01 -8.12 -53.42 -27.78 -62.58 - -101.60 Strategy Description SummaryThis 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 $ 500k 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 -15.00% Worst Peak-to-Trough 13.20% 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% SummaryThis strategy profits from the extreme movements of E-mini S&P 500 futures, and is fully automated.Investment StrategyNo overnight positions. Trend following/convex/long volatility/tail hedge.Risk ManagementStop loss <= 5% of nominal account value imposed intraday. 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 -24.35 7 - 6/1/2020 1/1/2021 -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 -0.49 1 1 3/1/2020 4/1/2020 -0.46 2 1 4/1/2014 6/1/2014 -0.02 1 1 1/1/0001 8/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 64.87 2 2/1/2020 3/1/2020 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 7.57 1 8/1/2019 8/1/2019 5.92 2 5/1/2020 6/1/2020 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 0.06 1 2/1/2021 2/1/2021 Show More Consecutive Losses Run-up Length (Mos.) Start End -24.35 7 7/1/2020 1/1/2021 -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 -0.49 1 4/1/2020 4/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods103.003.006.0012.0018.0024.0036.0048.0060.00 Percent Profitable43.690.000.00100.0072.2254.1777.7877.0895.00 Average Period Return0.85-2.43-7.9223.7320.5712.6710.9713.9312.60 Average Gain3.5123.7329.3626.8014.9218.2313.28 Average Loss-1.65-2.43-7.92-2.28-4.02-2.84-0.76-0.35 Best Period45.93-1.26-2.4331.5239.5636.8040.0249.5851.39 Worst Period-8.16-3.03-10.8014.83-2.35-6.82-4.62-1.42-0.58 Standard Deviation5.441.023.186.1516.5717.0915.5116.4615.85 Gain Standard Deviation7.176.159.379.1915.4516.4515.98 Loss Standard Deviation1.961.023.180.152.111.260.420.20 Sharpe Ratio (1%)0.14-2.64-2.643.701.150.620.510.600.47 Average Gain / Average Loss2.1312.886.675.2523.9238.08 Profit / Loss Ratio2.2333.497.8818.36110.64723.43 Downside Deviation (10%)1.833.7510.795.229.8412.6114.8520.50 Downside Deviation (5%)1.682.818.902.004.302.992.272.51 Downside Deviation (0%)1.642.578.431.203.041.450.350.09 Sortino Ratio (10%)0.24-0.98-0.962.490.25-0.38-0.51-0.73 Sortino Ratio (5%)0.45-0.96-0.959.562.482.664.342.99 Sortino Ratio (0%)0.51-0.95-0.9417.094.177.5639.79146.30 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 10 2.57 6/2020 IASG CTA Index Month 6 28.21 3/2020 Systematic Trader Index Month 8 28.21 3/2020 Stock Index Trader Index Month 2 28.21 3/2020 Stock Index Trader Index Month 3 8.66 2/2020 Stock Index Trader Index Month 5 5.19 8/2019 Stock Index Trader Index Month 6 3.27 10/2018 Stock Index Trader Index Month 4 5.68 3/2018 IASG CTA Index Month 5 5.68 3/2018 Systematic Trader Index Month 3 5.68 3/2018 Stock Index Trader Index Month 3 8.69 2/2018 IASG CTA Index Month 2 8.69 2/2018 Systematic Trader Index Month 6 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. x {{title}} x {{title}} Add Cancel