Tracking CTAs since 1994
Deep Field Capital AG
Systematic Volatility Arbitrage
Principal(s): Michael Ahrndt and Arne Schmidt
Strategy: Systematic / Multistrat (Arbitrage + Directional) / VIX & S&P, Equity Index Futures
Investment Restrictions: 4.7 Exempt - US Clients must be QEP
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
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.
N/A
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.97% | -1.64% | – | – | – | – | – | – | – | – | – | – | -2.59% | -2.59% |
| 2025 | -6.43% | 0.51% | 7.32% | 10.21% | -1.20% | -3.12% | 2.06% | -1.73% | -0.86% | 0.75% | -4.05% | 0.45% | 2.81% | -7.99% |
| 2024 | 1.52% | -0.95% | 1.75% | -3.61% | 0.03% | -0.88% | -1.61% | 4.39% | -0.56% | 1.51% | -3.42% | 1.07% | -1.03% | -5.96% |
| 2023 | -0.30% | -3.30% | 0.68% | -0.51% | -0.84% | 1.09% | -0.02% | 0.37% | -2.66% | -5.56% | 3.05% | -2.02% | -9.85% | -10.71% |
| 2022 | -4.90% | -0.23% | 2.74% | 5.72% | 2.11% | 3.84% | 1.68% | 1.57% | -5.37% | -0.12% | 0.77% | 1.10% | 8.66% | -5.49% |
| 2021 | -8.87% | 5.73% | -0.01% | 0.31% | 0.00% | -1.05% | 4.67% | -3.30% | 1.25% | -1.04% | 1.47% | 3.30% | 1.65% | -8.87% |
| 2020 | 0.24% | 3.87% | 7.00% | 7.12% | 0.49% | 5.22% | -1.09% | 1.12% | -5.31% | -6.32% | -1.08% | -2.97% | 7.46% | -14.86% |
| 2019 | -1.34% | 0.36% | 0.63% | -0.02% | -1.95% | 0.19% | 1.41% | -2.89% | 4.78% | 3.11% | 5.27% | -4.88% | 4.27% | -4.88% |
| 2018 | -1.33% | 21.16% | 3.08% | 0.62% | 0.89% | 0.30% | 0.45% | -1.41% | 1.24% | 2.20% | 0.00% | -0.70% | 27.68% | -1.41% |
| 2017 | 0.88% | 0.68% | 2.18% | -5.85% | -1.30% | 0.21% | -5.47% | 1.12% | 0.63% | 1.04% | 0.02% | 1.44% | -4.68% | -11.97% |
| 2016 | -2.36% | 1.13% | 7.58% | 8.26% | 9.43% | -5.32% | 3.75% | 1.79% | 7.84% | 0.15% | -0.09% | 2.02% | 38.55% | -5.32% |
| 2015 | 1.58% | 3.46% | 2.77% | -0.81% | 0.84% | 0.25% | 0.48% | -8.20% | 1.89% | 1.15% | -0.57% | 0.33% | 2.71% | -8.20% |
| 2014 | – | – | – | – | – | – | – | – | – | – | – | 0.44% | 0.44% | 0.00% |
Track Record Compiled By: In-House
Accounting Notes: Pro-Forma returns shown are actual investment returns net of an assumed 1% annual management fee, payable monthly in arrears, and a quarterly performance fee of 25% of net new trading profits. VolArb returns prior to November 28, 2018 represent the track record of VolArb managed at Systematic Absolute Return AG by its founding principal Arne Schmidt and Michael Ahrndt, who joined Deep Field Capital in Q1 2018. Beginning November 28, 2018, VolArb returns represent the composite trading returns of all client accounts trading VolArb as a stand-alone program, managed by Deep Field Capital. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE 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.