QTS Capital Management, LLC : VIX Timer Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 5.08% Oct Performance 1.31% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 6.19% Sharpe (RFR=1%) 0.83 CAROR - Assets $ 1.9M Worst DD -4.57 S&P Correlation 0.58 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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since11/2018 VIX Timer 1.31 1.02 5.08 6.09 - - - 6.11 S&P 500 2.04 1.92 21.16 12.01 - - - 10.04 +/- S&P 500 -0.73 -0.90 -16.08 -5.91 - - - -3.93 Strategy Description SummaryQTS VIX Timer Strategy uses predicted changes in implied volatility of the market to trade the VX futures algorithmically. Predictions are based on our mathematical model with multiple market inputs.... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 2.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $7.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 210 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD -10.00% Worst Peak-to-Trough 0% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 10.00% 1-30 Days 90.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Option-writing 100.00% Composition VIX 100.00% SummaryQTS VIX Timer Strategy uses predicted changes in implied volatility of the market to trade the VX futures algorithmically. Predictions are based on our mathematical model with multiple market inputs.Investment StrategyVIX Timer shorts the VX future in order to harvest its premium (equivalently its roll yield, as it is usually in contango), but whenever our mathematical model predicts that implied volatility will rise, the position is flattened. As a result, we were able to profit even during Oct-Dec 2018 when the market crashed. It is the polar opposite to our Tail Reaper strategy: during risk on regime, Tail Reaper typically does not trade, while VIX Timer usually holds a short position. The situation is reversed during risk off regime. (There are occasions during transitional periods when both have positions, or neither has.) As Tail Reaper profits from tail risk, VIX Timer will suffer from tail risk (no predictive model is perfect!) But it will flatten immediately once such risk manifests itself in any one of the ways the model uses as input.Risk ManagementRisk management is embedded in strategy itself. It monitors multiple risk indicators and exit when any one of them signals increase in risk. 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 -4.57 1 - 4/1/2019 5/1/2019 Show More Consecutive Gains Run-up Length (Mos.) Start End 8.46 6 11/1/2018 4/1/2019 1.48 2 6/1/2019 7/1/2019 1.31 1 10/1/2019 10/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -4.57 1 5/1/2019 5/1/2019 -0.29 2 8/1/2019 9/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month Number of Periods12.0010.007.00 Percent Profitable75.0080.0071.43 Average Period Return0.511.432.21 Average Gain1.222.343.72 Average Loss-1.62-2.22-1.57 Best Period2.535.728.19 Worst Period-4.57-2.87-1.92 Standard Deviation1.792.693.36 Gain Standard Deviation0.712.112.62 Loss Standard Deviation2.550.920.50 Sharpe Ratio (1%)0.240.440.51 Average Gain / Average Loss0.751.062.37 Profit / Loss Ratio2.264.225.93 Downside Deviation (10%)1.451.642.21 Downside Deviation (5%)1.351.141.12 Downside Deviation (0%)1.321.030.86 Sortino Ratio (10%)0.070.12-0.12 Sortino Ratio (5%)0.321.031.53 Sortino Ratio (0%)0.391.382.57 Top Performer Badges Index Award Type Rank Performance Period 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