Tracking CTAs since 1994
Lyncestis LLP
V1 - Volatility Trading Program
Principal(s): Dejan Trajkovski
Strategy: Arbitrage Trading Strategy / Equities
Investment Restrictions: Non-US Investors Only
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
V1-VOLATILITY TRADING PROGRAM is basically a market neutral, volatility arbitrage trading strategy. It exploits the term structure (contango and backwardation) of the VIX futures premium. The strategy aims to profit from the contango of VIX futures (the price of front month VIX futures is lower than price of more distant months), as VIX futures trade at contango over 90% of the time. When the term structure changes from contango to backwardation, the strategy adapts to the changing market condition. V1 uses time series analysis and does not use classical fundamental or technical analysis. The strategy can trade either iPath's S&P 500 VIX short/mid term futures ETNs (VXX, VXZ - prefered) or S&P 500 VIX short/mid term futures (VX, VM). V1 adjusts portfolio components on daily basis. The combined net leverage (long minus short positions leverage) is less than 0.3. The strategy uses relatively low leverage in order to prevent disastrous drawdowns from overleveraged trading. Strategy returns are weakly correlated with S&P 500 index returns. Since this strategy is not correlated to swing and trend following strategies, it can be seen as an excellent complement to them. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion. Extensive strategy back testing results are available upon request. The information about this trading program is not intended for persons or entities resident, located or registered in jurisdictions that restrict the distribution of such trading programs. Consequently, this information does not constitute, and may not be used for the purposes of, an offer or invitation to invest in this trading program to any person in any jurisdiction: (a) in which any such offer or invitation is not authorised; (b) in which Quant Trading, LLC is not qualified to make such offer or invitation; or (c) on which it is unlawful to make any such offer or invitation.
N/A
The trading methodology is based on a fully computerized trading system developed by Dejan Trajkovski, Ph.D. Dejan received his M.S. degree in Applied Mechanics of Deformable Body and Ph.D. in Computational Mechanics from University of Belgrade, Yugoslavia (1992) and University of Skopje, Macedonia (1995). Throughout his successful career as a professor at University of Bitola, Macedonia, Dejan Trajkovski gained significant experience in the fields of Theoretical and Applied Mechanics, Mechatronics, Computerized Motion Control and Robotics. Dejan Trajkovski was employed at the Faculty of Technical Sciences in Bitola, Macedonia as Assistant professor (1995-2000), Associate Professor (2000-2005) and Professor (2005 to present). The foreign currency and equity market became his field of work in 2001. Dejan was confident that financial markets were the the right place where the mathematically precise instruments of quantitative analysis could be applied. In the following years he has been involved in research and development of trading systems, and his quantitative trading systems are currently used by Lyncestis LLP.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.00% | 0.00% | – | – | – | – | – | – | – | – | – | – | 0.00% | 0.00% |
| 2025 | -2.24% | 0.02% | 0.35% | -2.14% | 1.66% | -1.45% | 0.08% | -0.16% | 0.55% | 0.00% | 0.11% | -0.08% | -3.33% | -3.98% |
| 2024 | -0.73% | 0.00% | -0.23% | -0.19% | 1.65% | -0.11% | -0.05% | 2.28% | 0.48% | -1.75% | 2.52% | -0.41% | 3.43% | -1.75% |
| 2023 | 0.00% | -1.36% | 1.13% | 0.46% | -2.60% | 5.06% | -1.17% | 1.23% | -1.16% | 1.24% | 3.81% | 0.01% | 6.59% | -2.60% |
| 2022 | -1.07% | 0.47% | -0.51% | 0.59% | -0.63% | -1.70% | -0.37% | -1.45% | -0.60% | 0.05% | 0.74% | -2.08% | -6.39% | -6.39% |
| 2021 | -1.33% | -1.37% | 1.29% | 0.94% | 1.46% | -0.68% | -0.21% | 1.46% | -0.42% | 0.74% | 0.00% | 1.73% | 3.60% | -2.68% |
| 2020 | 0.53% | 1.15% | 0.26% | 0.48% | 2.68% | -0.93% | 1.28% | -0.03% | 0.48% | 0.07% | 1.27% | 0.99% | 8.49% | -0.93% |
| 2019 | 3.39% | 1.90% | 2.31% | -0.80% | 1.14% | 2.15% | 1.77% | 2.32% | -0.58% | 2.30% | -0.29% | 1.83% | 18.79% | -0.79% |
| 2018 | -0.97% | 2.77% | -0.92% | 1.86% | 1.79% | -2.63% | 3.35% | 2.72% | 0.40% | 0.61% | 1.94% | -0.30% | 10.96% | -2.63% |
| 2017 | 2.37% | 1.75% | 1.34% | -0.43% | 0.08% | -0.80% | 1.97% | 0.10% | 1.81% | 0.71% | 0.90% | -0.03% | 10.16% | -1.14% |
| 2016 | -1.68% | 1.80% | 6.22% | 1.20% | 1.54% | -0.19% | -1.36% | -1.30% | -1.09% | 1.09% | 0.91% | 4.14% | 11.55% | -3.88% |
| 2015 | -1.24% | 2.23% | 0.55% | 0.65% | 2.48% | -1.16% | -1.04% | 0.48% | 1.18% | 4.33% | -1.93% | -3.32% | 3.01% | -5.18% |
| 2014 | -0.04% | 1.77% | 0.02% | 0.99% | 1.87% | 1.43% | -2.71% | 0.90% | -2.49% | -2.37% | 1.50% | -0.50% | 0.21% | -6.55% |
| 2013 | 0.37% | -0.10% | 0.61% | 0.73% | -0.89% | -0.05% | 2.28% | -1.78% | 2.11% | 0.60% | 1.28% | 2.09% | 7.42% | -1.77% |
| 2012 | – | 3.34% | 1.03% | 1.75% | -0.28% | 3.65% | 0.85% | 1.53% | 1.29% | -5.00% | -0.33% | -1.33% | 6.41% | -6.57% |
Track Record Compiled By: N/A
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.>
Risk Disclosure
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.