QTS Capital Management, LLC
Tail Reaper MAP
Principal:
Dr. Nahid Jetha & Dr. Roger Hunter
Systematic / Intraday / E Mini
Interested in this program? Request Additional Information →
Month Performance
+1.84%
Aug 2026
YTD Return
+14.99%
Through Aug 2026
AUM
$30,000,000
Assets Under Management
Overview
QTS Tail Reaper Strategy is a fully automated, intraday trading strategy that profits from extreme (tail) movements in the US equity market index. It trades E-mini S&P 500 index futures (ES) and is built with the aim of providing portfolio protection in a crisis market (particularly positive beta portfolios). Strategy was augmented in mid-2022 with a novel AI/ML-based risk management system.
Key Objectives: 1) No overnight positions, 2) Covex/long volatility/tail hedge, 3) Daily stop loss = <=5% of nominal account value.
Program Details
| Inception Date | Aug 2012 |
| Trading Style | N/A |
| Holding Period | Intraday |
| Markets Traded | Stock Indices |
| Margin | 54.00% |
| Minimum Investment | $167,000 |
| Management Fee | 0.5% |
| Performance Fee | 20.00% |
This is a snapshot only. Investors should read Disclosure/Offering documents to determine suitability of investment.
GROWTH OF $1,000 VAMI
Program vs. Autumn Gold CTA Index
About the Autumn Gold CTA Index:
The Autumn Gold CTA Index is a non-investable index comprised of performance from CTA programs included in the Autumn Gold database and does not represent the complete universe of CTAs.
Hypothetical growth of $1,000 based on reported monthly returns.
PERFORMANCE SUMMARY
Annual Returns (Net)
| YEAR | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|
| RETURN | -52.25% | -22.99% | +5.13% | +34.74% |
Maximum Drawdown Since Inception
-90.18%
Past performance is not indicative of future results.
Investor Eligibility
What is a QEP?
A Qualified Eligible Person (QEP) is an investor or entity that meets the eligibility requirements described in CFTC Regulation 4.7. The applicable requirements vary by investor type and may include financial, portfolio, professional, or institutional qualifications.
This information is provided for general reference only. QEP status is
self-identified here and should be determined by reviewing the applicable
regulation and, when appropriate, with your professional advisers.
FUTURES, OPTIONS, CRYPTO, AND FOREX TRADING INVOLVES RISK AND MAY NOT BE SUITABLE FOR ALL INVESTORS. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
INVESTOR SERVICES
LEAF RESEARCH SERVICE
For Individual Investors
Expanded CTA research, manager profiles, performance analysis, program comparisons, and portfolio construction tools.
INSTITUTIONAL RESEARCH & PORTFOLIO ANALYTICS
For Family Offices, Institutions & Professional Allocators
Advanced manager research, portfolio construction, correlation analysis, and tools for evaluating and monitoring manager relationships.
PORTFOLIO MONITORING SERVICES
For Family Offices & Institutional Investors
Ongoing monitoring of selected trading programs and portfolios, including performance developments, drawdowns, recovery patterns, and changes in manager conditions.
QUESTIONS ABOUT OUR SERVICES?
Contact Autumn Gold to discuss your research or portfolio monitoring requirements.