Equity Tail Hedge (ETH)

Specifications

Strategy Description ETH is a quantitative short-term momentum strategy seeking to profit from extreme intraday movements in E-mini S&P 500 futures (the futures contract for the S&P 500 equity index). The strategy is fully systematic and automated with an intraday stop loss of 1.0% of the ES contracts market value.
Benefits Long term positive statistical expectancy with negative downside correlation to the S&P 500 index.
Investment Manager QTS Capital Management LLC
Structure Managed Account
Management Fees 1% management fee
Performance Fees 20% performance fee
Minimum Investment $150,000
Liquidity Daily
Expected Return 10%
Expected Volatility 12%
Correlation to MSCI World -0.3

Portfolio Manager

Team

Cumulative Monthly Returns

Risk & Return

Rolling Correlations (12 month)

Performance Notes:
The funds monthly performance indicates actual returns net of fees (0% management fee and 25% performance fee). The performance is a composite of managed account returns that is published in accordance with National Futures Association (NFA) requirements. Performance is lodged with the NFA for auditing purposes.

FOR AUSTRALIAN WHOLESALE AND USA QEP INVESTORS ONLY.
This publication has been prepared on behalf of and issued by Non Correlated Capital Pty Ltd. This is not an offer to deal in any financial product. This information is general in nature and is presented without regard to any investor’s individual objectives, financial situation or needs. It is not specific advice for any particular investor. Before making any decision about the information provided, you must consider the appropriateness of the information in this document, having regard to your objectives, financial situation and needs and consult your adviser. The value of investments and any income generated may go down as well as up and is not guaranteed. Past performance is not necessarily a guide to future performance. Changes in rates of exchange may have an adverse effect on the value, price or income of investments. Investors should be aware of local laws governing investments and should read all the relevant documents. Please visit www.noncorrelatedcapital.com and fill out a contact form to gain further information.

Subscribe to the Investment Platform mailing list