Summary

QTS Tail Reaper is a fully automated, intraday trading program designed to capture opportunities during extreme (‘tail’) movements in the U.S. equity market index. The strategy trades E-mini S&P 500 futures (ES) and is designed as a potential diversifier for portfolios with positive equity beta exposure, particularly during periods of market stress.

Key Objectives:
• No overnight positions.
• Convex/long volatility.
• Portfolio protection in a crisis market.

DISCLAIMER:The performance data represents actual results of an account of QTS Partners, LP, which is a commodity pool managed by the CTA, trading at a fixed nominal trading level. The account earns credit interest on its cash balance. The strategy traded UPRO in 2012, and the returns then were computed as return-on-equity. The results reflect the deduction of transaction fees actually incurred as well as pro forma deductions of a management and incentive fee of 0.5% and 20% respectively, taken monthly (incentive fee subject to a high water mark). Due to the fixed number of contracts, returns are not compounded. The performance results presented reflect a single account and are used as a representative example of the strategy. This performance does not reflect the composite performance of all accounts trading the strategy. Other accounts trading the strategy may have experienced materially different results in certain months due to trading or execution-related differences. In March 2025, a trading error caused materially different results across accounts trading the strategy. The representative account shown returned −5.90%, while other accounts returned approximately −12.9%. The ‘6 worst months of S&P500’ figure is presented to demonstrate the crisis alpha attributes of the strategy and its ability to offer portfolio protection in a market crisis (historically). The figure is not meant to be taken as a demonstration of some general outperformance of the Tail Reaper strategy against the S&P500. (Indeed there are several months where the S&P500 outperformed Tail Reaper.) No representation is being made that the clients of the CTA will experience results that are the same as the performance of the QTS Partners, LP account, as shown here. All investments involve risk, including the loss of principal. There can be no assurance that the CTA will achieve its objectives or will otherwise meet the CTA’s expectations. We only accept clients who are Qualified Eligible Persons defined in CFTC Rule 4.7. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.