QTS Capital Management, LLC : VIX Timer

Year-to-Date
3.89%
Aug Performance
-0.17%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.75%
Sharpe (RFR=1%)
0.73
CAROR
-
Assets
$ 1.9M
Worst DD
-4.57
S&P Correlation
0.59

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
11/2018
VIX Timer -0.17 1.30 3.89 - - - - 4.92
S&P 500 -1.81 6.34 16.73 - - - - 6.02
+/- S&P 500 1.64 -5.03 -12.84 - - - - -1.10

Strategy Description

Summary

QTS 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%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

QTS 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 Strategy

VIX 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 Management

Risk management is embedded in strategy itself. It monitors multiple risk indicators and exit when any one of them signals increase in risk.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Standard Deviation:
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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
-4.57 1 - 4/1/2019 5/1/2019
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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
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.57 1 5/1/2019 5/1/2019
-0.17 1 8/1/2019 8/1/2019
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable80.0075.00
Average Period Return0.491.62
Average Gain1.212.90
Average Loss-2.37-2.22
Best Period2.535.72
Worst Period-4.57-2.87
Standard Deviation1.953.01
Gain Standard Deviation0.752.17
Loss Standard Deviation3.110.92
Sharpe Ratio (1%)0.210.45
Average Gain / Average Loss0.511.31
Profit / Loss Ratio2.043.92
Downside Deviation (10%)1.581.80
Downside Deviation (5%)1.471.28
Downside Deviation (0%)1.451.15
Sortino Ratio (10%)0.050.22
Sortino Ratio (5%)0.281.07
Sortino Ratio (0%)0.341.40

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.