CTA Profiles Sweet Futures

Start Date: Aug-2012
Mar Return: -7.36%
YTD Return: -15.1%
Annual CROR: N/A

Worst Drawdown: -64.91%
Losing Streak: -26.12 %
Sharpe Ratio: 0.32
Calmar Ratio: N/A

Min Investment: $500,000
Currency: US Dollars
Notional Funding: Yes
NFA Number: 0431162

Margin: 19%
Mgt Fee: 0.5%
Incentive Fee: 20%
Round Turns: 2,195

Trading Strategy: QTS Tail Reaper Strategy is a fully automated, intraday trading strategy that profits from extreme (tail) movements in the US equity market index futures. It trades only E-mini S&P 500 index futures (ES).

Accounting Notes: The performance data represents actual results of an account of QTS Partners, LP, which is a commodity pool managed by the CTA, and adjusted to trade a fixed number of contracts in a nominal account. 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 hypothetical, pro forma deductions of a performance allocation of 25%, taken monthly, subject to a high water mark. Due to the fixed number of contracts, returns are not compounded. Returns shown are in excess of risk free rate and do not include credit interest on margin cash. 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 currently can only accept clients who are Qualified Eligible Persons defined in CFTC Rule 4.7.

Trading Methodology
100% Systematic
Trading Style

Style Sub-Categories
Quantitative

Holding Period
100% Intraday
Sector: US
Contracts: Futures

Market Allocation
100% Stock Indices

Actual Results of QTS Partners, LP. AUM represents Firm Assets under Management. Please see Accounting Notes for Additional Details.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR*	Max DD
2024	-1.95%	-5.79%	-7.36%										-15.1%	-14.43%
2023	11.18%	-3.77%	5.41%	2.24%	-2.18%	0.21%	-0.19%	2.17%	1.30%	-11.34%	0.32%	0.00%	5.35%	-11.34%
2022	-17.31%	8.31%	4.89%	13.92%	-14.98%	14.58%	5.52%	12.64%	-2.19%	10.35%	13.18%	-14.00%	34.91%	-17.31%
2021	-3.40%	0.06%	0.68%	-0.59%	-3.96%	1.65%	-5.47%	0.59%	-5.21%	-9.21%	-2.14%	3.15%	-23.85%	-24.37%
2020	0.00%	12.98%	45.93%	-0.49%	0.52%	5.37%	-4.18%	-0.35%	-5.10%	-8.16%	-3.53%	-2.43%	40.56%	-21.68%
2019	1.64%	-3.08%	-1.24%	0.00%	-8.02%	-1.41%	0.00%	7.57%	-3.09%	-0.51%	0.00%	0.00%	-8.14%	-13.2%
2018	-0.39%	10.88%	7.50%	-5.04%	-1.17%	0.29%	0.25%	-0.20%	0.00%	2.89%	-0.89%	1.41%	15.53%	-6.15%
2017	-0.83%	-0.81%	0.00%	0.00%	0.00%	-2.04%	0.00%	1.33%	0.00%	0.00%	0.00%	0.00%	-2.35%	-3.64%
2016	-2.12%	1.84%	0.94%	-0.57%	-1.19%	4.49%	-0.80%	-0.14%	2.15%	-0.70%	-0.61%	-0.22%	3.07%	-2.12%
2015	0.69%	0.10%	0.03%	-1.47%	-0.39%	0.83%	-1.07%	12.03%	3.74%	1.79%	0.99%	1.53%	18.8%	-2.1%
2014	-0.10%	-0.82%	-2.04%	3.27%	-0.15%	-0.31%	1.01%	-0.62%	-0.02%	3.01%	0.00%	2.43%	5.66%	-2.94%
2013	0.87%	1.31%	0.04%	0.72%	1.07%	4.08%	0.59%	-0.74%	-0.37%	2.54%	0.56%	1.18%	11.85%	-1.11%
2012								-0.02%	0.22%	0.64%	1.88%	2.72%	5.44%	-0.02%

*The Annual ROR performance has been calculated by adding each monthly return. Please See Accounting Notes Below.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Chart

Track Record Prepared By: N/A

Footnotes:

(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.

Current Drawdown - The Current Losing Streak of the CTA, if any.

Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.

Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.

Calmar Ratio - The Calmar Ratio - Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

Sharpe Ratio - The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

Round Turns - Represents the annual number of Round Turns per $1 million.

Qualified Eligible Investors - A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions - PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.