Deep Field Capital AG
Systematic Volatility Arbitrage
Principal:
Michael Ahrndt and Arne Schmidt
Systematic / Multistrat (Arbitrage + Directional) / VIX & S&P, Equity Index Futures | Market Neutral & Intraday Momentum
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Month Performance
+0.48%
May 2026
YTD Return
-8.34%
Through May 2026
AUM
$14,000,000
Assets Under Management
Overview
The Systematic Volatility Arbitrage (VolArb) strategy takes a multi-strategy approach in the equity index volatility market. It trades (1) market neutral calendar spreads in VIX Index futures and (2) VIX Index futures versus the S&P 500 Index futures to arbitrage the equity market volatility risk premium. Additionally, it takes directional intraday momentum trades in equity index futures (3) and VIX Index futures (4). The investment process is systematic and based on Deep Field Capital's proprietary volatility estimation model, taking into consideration the volatility surface and VIX Index term-structure. Order execution is fully systematic and automated. The strategy is available via a SMA and other structures upon request.
Program Details
| Inception Date | Dec 2014 |
| Trading Style | Market Neutral & Intraday Momentum |
| Holding Period | Short Term, Intraday |
| Markets Traded | Stock Indices |
| Margin | 4.27% |
| Minimum Investment | $1,500,000 |
| Management Fee | 1% |
| Performance Fee | 25.00 |
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 | +2.81% | -1.03% | -9.85% | +8.66% |
Maximum Drawdown Since Inception
-22.41%
Past performance is not indicative of future results.
Performance / Program Note
ProForma Returns adjusted for a 1% management fee & 25% incentive fee. Prior to November 28, 2018 returns represent performance record of VolArb managed by Systematic Absolute Return AG.
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.