Tracking CTAs since 1994
Deep Field Capital AG
Intraday Crisis Alpha
Principal(s): Michael Ahrndt and Arne Schmidt
Strategy: Systematic / Intraday / Momentum / Equity Index (Futures)
Investment Restrictions: 4.7 Exempt - US Clients must be QEP
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
ICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. Trading only intraday and closing out all positions by the end of the trading session, ICA is extremely capital efficient and can be implemented on top of any portfolio without additional capital requirements. While the program has initially been developed and traded on the S&P 500 futures, it has matured into a global program, trading a total of 16 equity index futures in the uncorrelated intraday sessions in the US, Asia (added in 01/2019) and Europe (added in 11/2019).
N/A
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -3.35% | -1.24% | – | – | – | – | – | – | – | – | – | – | -4.55% | -4.55% |
| 2025 | -4.33% | 0.60% | 5.27% | -1.33% | -4.92% | -4.22% | 1.08% | -0.28% | -2.82% | -0.55% | -3.24% | -0.22% | -14.37% | -15.48% |
| 2024 | 1.32% | -3.26% | 0.14% | -1.91% | -1.87% | -2.50% | -0.24% | 2.14% | 2.39% | 1.99% | -1.81% | -0.09% | -3.84% | -9.30% |
| 2023 | -0.31% | -3.85% | 1.98% | -0.63% | -0.89% | 1.11% | -0.01% | 0.24% | -1.39% | -2.46% | 1.76% | -1.85% | -6.26% | -6.26% |
| 2022 | 0.82% | 2.02% | 1.21% | 5.50% | 4.46% | 2.79% | 1.28% | 1.15% | -5.23% | 0.17% | 1.00% | 1.43% | 17.51% | -5.23% |
| 2021 | -3.49% | 3.12% | -0.41% | -0.80% | 0.25% | -0.97% | 5.49% | -3.83% | 0.69% | -1.10% | -0.69% | 3.36% | 1.22% | -4.89% |
| 2020 | 4.35% | 4.61% | 0.16% | 4.37% | 2.36% | 7.58% | -2.06% | -1.68% | -0.57% | -7.55% | -1.36% | -2.18% | 7.33% | -14.59% |
| 2019 | 1.13% | 2.45% | 1.03% | -1.34% | -2.22% | 0.25% | -2.16% | 1.40% | 0.18% | -2.10% | 2.52% | -1.73% | -0.76% | -5.90% |
| 2018 | -0.09% | 8.00% | 4.74% | 2.33% | 1.17% | 2.28% | -0.09% | -0.59% | -0.08% | 1.49% | -1.29% | 1.00% | 20.17% | -1.29% |
| 2017 | – | – | – | – | 0.70% | -0.20% | -0.08% | 1.69% | -0.83% | -0.09% | -0.06% | -0.02% | 1.09% | -1.00% |
Track Record Compiled By: Circle Partners, Netherlands
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 20% of net new trading profits. ICA program returns prior to June 2018 represent the track record of ICA managed at Systematic Absolute Return AG by its founding principal Arne Schmidt and Michael Ahrndt, who joined Deep Field Capital in Q1 2018. Extracted returns (prior to June 2018) are that of ICA as a sub-component of the Systematic Volatility Arbitrage Program (VolArb), with a nominal of seventy percent of this program's assets, and hence being traded on 0.7x. Adjustments have been made to the actual 0.7x returns to scale up the leverage to a 1x to represent a 1x track record of the ICA Program as offered and traded by Deep Field Capital. Beginning June 2018, ICA returns represent the composite trading returns of all client accounts trading the ICA Program as a stand-alone program, managed by Deep Field Capital. The leverage adjustments make the returns hypothetical for the period prior to June 2018. Further information on the methodology for calculating the presented performance including original broker statements is available upon request.
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.