Volatility Trading Program
Spreads / Volatility / Stock Indices
The Volatility Trading Program is designed to exclusively trade VIX futures. The Advisor considers the current market environment in a broad sense and then looks to opportunistically place spread positions along the futures curve according to their relative value as determined by the Advisor's proprietary method. From time to time the Advisor may place a simple "long" or "short" position along the VIX futures curve to shift the portfolio's exposure and/or sensitivities. There are no trading restrictions or limitations placed on the Advisor and the Advisor reserves the right to trade in other futures markets, such as the E-mini S&P 500 and U.S Treasury futures, in times of market stress or illiquidity in order to hedge the portfolio's macro exposures.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -34.30% |
| From Sep 2018 to Dec 2018 | |
| Worst Month (Dec 2018) | -27.13% |
| Current Losing Streak | -1.02% |
| Average Monthly Return | 0.7% |
| Monthly Std. Deviation | 6.06% |
| Gain Deviation (68 months) | 3.69% |
| Loss Deviation (37 months) | 5.49% |
| Gain to Loss Ratio | 0.76 |
| Omega Ratio (5% Threshold) | 1.15 |
| Annualized Performance |
|
| Compound ROR (1) | 6.26% |
| Standard Deviation | 21.01% |
| Downside Deviation | 15.11% |
| Sharpe Ratio (3) 2% RF ROR | 0.38 |
| Sortino Ratio (4) 5% MAR | 0.4 |
| Calmar Ratio (5) | 0.6 |
| Sterling Ratio (6) | 0.52 |
| Gain Deviation | 12.77% |
| Loss Deviation | 19.02% |
| Profit Loss Ratio | 1.4 |
| Investment Information |
|
| Program Start Date | Feb-2017 |
| Percent Discretionary | 30% |
| Percent Systematic | 70% |
| Currency Denomination - 2US Dollar | |
| Minimum Investment | $100,000 |
| Management Fee | 1.00% |
| Incentive Fee | 0.00 |
| Margin | 15-20% |
| Round Turns per Million | 1,200 |
| NFA No: | #501241 |
| Performance Since February 2017 | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.01% | -0.34% | -0.79% | -11.66% | 5.38% | 2.59% | 3.63% | 3.27% | 1.82% | 0.38% | – | – | 4.32% | -12.66% |
| 2024 | 0.56% | 1.07% | 1.09% | -1.28% | 1.61% | 0.96% | -0.83% | 4.20% | -1.05% | -4.58% | 6.16% | -5.12% | 2.25% | -5.59% |
| 2023 | 3.16% | -0.20% | -2.90% | 5.71% | 1.56% | 5.16% | 1.76% | 0.62% | -1.80% | -2.71% | 3.30% | 1.99% | 16.33% | -4.46% |
| 2022 | -7.94% | -6.34% | -1.37% | -3.01% | 3.02% | -6.99% | 6.24% | 0.14% | -3.83% | 0.94% | 5.00% | 1.66% | -12.88% | -20.97% |
| 2021 | -4.90% | 13.94% | 7.25% | 2.92% | 0.17% | 2.62% | 1.54% | 3.76% | -2.53% | 6.67% | -2.19% | 8.15% | 42.46% | -4.90% |
| 2020 | -5.78% | -6.93% | 6.62% | -4.55% | 1.69% | -7.09% | 10.05% | -0.48% | 2.82% | -1.98% | 20.62% | 3.45% | 16.14% | -15.68% |
| 2019 | 13.74% | 1.77% | -0.49% | 2.63% | -11.57% | 4.62% | 2.20% | -8.12% | 5.36% | 5.65% | 3.49% | 0.61% | 19.02% | -13.13% |
| 2018 | -3.28% | -12.72% | 0.95% | 11.39% | 4.03% | -0.90% | 3.75% | 1.79% | 1.36% | -17.48% | 9.26% | -27.13% | -31.17% | -34.30% |
| 2017 | – | -2.19% | 3.37% | -0.55% | 3.30% | 0.63% | 0.46% | 0.92% | 4.09% | 3.64% | 0.33% | 1.19% | 16.06% | -2.19% |
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.
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