Coloma Capital Futures LLC
Hedged Volatility
Report Start Date: May-2013 | End Date: May-2025
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Set Risk-Free ROR for the Sharpe Ratio:    Set Minimum Acceptable ROR for the Sortino:    Omega Threshold:
Current Return: +0%
YTD Return: +0%
Annualized Return: +1.11%
AUM: Not reported
Trading Strategy

Volatility Trading in VIX Futures

Program Description

The Coloma Hedged Volatility Strategy looks to take advantage of mispricing in VIX futures while reducing risk with a statistically-driven overlay strategy. Conceptually, risk-sensitive market participants have alternating emotions of enthusiasm and fear which impact stock market volitility and the related futures. This influence on market structure frequently creates mispricing opportunities in diverse market environments for the strategy. The approach takes both long and short views on volatility. The day-to-day signal generation is systematic with human oversight and trade execution.

Program Statistics
Peak-to-Valley Drawdown (2) -20.41%
    From Feb 2020 to Mar 2022
Worst Month (Mar 2023) -8.80%
Current Losing Streak -17.74%
Average Monthly Return 0.12%
Monthly Std. Deviation 2.45%
Gain Deviation (82 months) 1.68%
Loss Deviation (63 months) 1.71%
Gain to Loss Ratio 0.88
Omega Ratio (5% Threshold) 0.72
Annualized Performance
Compound ROR (1) 1.11%
Standard Deviation8.47%
Downside Deviation5.8%
Sharpe Ratio (3) 2% RF ROR 0.12
Sortino Ratio (4) 5% MAR 0.18
Calmar Ratio (5)-0.07
Sterling Ratio (6) -0.08
Gain Deviation5.81%
Loss Deviation5.91%
Profit Loss Ratio1.15
Investment Information
Program Start Date May-2013
Percent Discretionary 5%
Percent Systematic 95%
Currency Denomination - US Dollar
Minimum Investment $250,000
Management Fee 2.00%
Incentive Fee 0.00
Margin 9.8%
Round Turns per Million 400
NFA No: #0411342
4.7 Exempt - QEPs Only
Performance Since May 2013 | Track Record Compiled By: Coloma Capital | Please See Accounting Notes
JanFebMarAprMayJunJulAugSepOctNovDecROR Max DD
20250.00%0.00%0.00%0.00%0.00%–––––––0.00%0.00%
2024-0.90%-0.70%0.00%-0.90%-0.60%0.30%0.10%0.00%0.00%0.00%0.00%0.00%-2.68%-3.06%
20233.20%2.20%-8.80%0.90%-1.00%1.40%-2.10%1.10%0.10%-3.70%-1.00%-1.50%-9.35%-14.05%
2022-0.70%-2.40%-2.20%4.40%2.80%-0.20%0.30%3.90%3.20%-0.40%0.50%1.60%11.04%-5.22%
20211.60%2.00%2.20%-0.90%0.30%0.80%-0.50%-1.80%-1.50%0.10%2.30%0.20%4.79%-3.76%
2020-0.10%1.40%-4.80%-5.00%-4.10%-5.90%-0.50%-1.90%3.10%-1.70%1.90%-2.60%-18.83%-20.34%
2019-1.56%-0.75%-0.65%0.23%5.33%-2.55%-0.30%-4.15%0.14%3.04%-0.10%3.30%1.62%-6.87%
20185.30%-1.10%-2.00%-0.30%0.30%0.00%-1.80%-3.30%1.50%3.70%-1.10%1.70%2.60%-7.96%
20173.40%0.20%2.30%-1.60%-2.50%-2.40%0.40%0.20%1.00%1.60%-0.80%0.00%1.64%-6.36%
2016-1.65%0.64%1.34%-0.95%3.14%-4.65%3.14%2.70%4.30%0.30%-0.20%-3.30%4.49%-4.65%
2015-0.54%4.85%1.50%3.85%2.00%0.85%1.25%8.44%-6.24%-3.74%2.80%-0.01%15.17%-9.75%
2014-1.40%-1.90%0.00%0.70%1.90%2.80%-1.00%-1.20%0.20%4.20%-1.90%-0.50%1.71%-3.27%
2013––––2.70%3.90%2.50%-1.00%0.40%-2.40%1.00%-1.30%5.77%-3.29%
   Monthly Return and $1,000 VAMI

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Coloma Capital Futures LLC
Hedged Volatility
Report Start Date: May-2013 | End Date: May-2025
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Time Window Analysis
Length Best Average Worst
1 mo 8.4% 0.1% -8.8%
3 mo 10.7% 0.3% -14.3%
6 mo 19.1% 0.5% -20.3%
12 mo 26.5% 1.1% -18.8%
18 mo 30.5% 1.7% -17.4%
24 mo 26.4% 2.5% -18.6%
36 mo 34.1% 3.1% -18.3%
Drawdowns and Recoveries
Start End Drawdown Recovery
Mar-20n/a-20.41%38 mo
Sep-15Sep-16-9.75%11 mo
Feb-18Feb-20-7.96%18 mo
Aug-13Oct-14-6.46%7 mo
Apr-17Jan-18-6.36%7 mo
Nov-16Mar-17-3.49%3 mo
Drawdown Periods Since May 2013
Distribution of Monthly Returns
Statistical Comparisons Coloma Capital
Hedged Volatility		 AutumnGold
AG CTA Index
Remove		 S&P 500
SP 500 TR
Remove
Annualized Compound ROR (1)1.11%2.53%13.51%
Cumulative Return14.32%35.29%362.24%
Cumulative VAMI(7)1,1431,3534,622
Best Monthly Return8.44%2.99%12.82%
Worst Monthly Return-8.80%-5.53%-12.35%
Annual Standard Deviation8.47%4.04%14.57%
Profit Loss Ratio1.151.661.99
Correlation—-0.23-0.16
Last Month0.00%-0.29%6.29%
Last 12 Months0.40%-1.64%13.53%
Last 36 Months-3.70%6.15%49.78%
Growth of $1,000 VAMI Comparison

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
Coloma Capital Futures LLC
Hedged Volatility
Report Start Date: May-2013 | End Date: May-2025
Print to PDF
Accounting Notes

Proprietary Account Composite return data is from May 10, 2013 to July 17, 2013 close and Client Composite inception is from July 18, 2013 onward. 2013 Year-to-date returns combine Proprietary Account and Client Composite monthly returns. Proprietary Account Composite returns were adjusted on a pro forma basis to include a 2% annual (0.167% monthly) management fee and 20% incentive fee paid monthly. All returns include estimated or realized commissions and fees (realized and/or accrued).

An Important Note on the Start Date and End Date of this Report

If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. Performance Results reported or amended subsequent to Monday December 8, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries

The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Qualified Eligible Persons

THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:

    1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
    2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.

Statistical Footnotes
1. The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2. Peak to Valley Drawdown = worst % loss between May-2013 and May-2025
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak

Benchmark Descriptions

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com
© 1997 - 2025 AutumnGold.com LLC
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