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  • Coloma Capital Futures LLC
    Hedged Volatility
    Principal(s): David Burkart
    Strategy: Volatility Trading in VIX Futures
  • For Additional Information Contact
    Paragon Global Markets
    Direct: (646) 937-6118
    Email: [email protected]
  • Start Date: May-2013
    Nov Return: 0.00%
    YTD Return: -2.68%
    Annual CROR: 1.16
  • Worst Drawdown: -20.41%
    Losing Streak: -17.74 %
    Sharpe Ratio: 0.06
    Calmar Ratio: -0.04
  • Min Investment: $250,000
    Currency: US Dollar
    Notional Funding: Yes
    NFA Number: 0411342
  • Margin: 9.8%
    Mgt Fee: 2.00%
    Incentive Fee: 20.00%
    Round Turns: 400
  • Trading Strategy: 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. Risk Strategy: N/A

    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).
  • Trading Methodology
    95% Systematic
    5% Discretionary
  • Trading Style
    100% Valuation with Limited Discretion
  • Style Sub-Categories
    Fundamental
    Volatility
    Quantitative
  • Holding Period
    10% Long Term
    20% Medium Term
    70% Short Term
  • Sector: US
    Contracts: Futures
  • Market Allocation
    100% VIX
Proprietary Performance from May 10, 2013 to July 17, 2013 Pro-Forma adjusted for 2% management and 20% incentive fee. Client Performance from July 18, 2013.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 -0.90% -0.70% 0.00% -0.90% -0.60% 0.30% 0.10% 0.00% 0.00% 0.00% 0.00%   -2.68% -3.06%
2023 3.20% 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%
2021 1.60% 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%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

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Track Record Prepared By: Coloma Capital

Footnotes:
(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.
Current Drawdown - The Current Losing Streak of the CTA, if any.
Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.
Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.
Calmar Ratio - The Calmar Ratio - Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
Sharpe Ratio - The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
Round Turns - Represents the annual number of Round Turns per $1 million.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS.
THERE IS A RISK OF LOSS IN FUTURES TRADING.

Qualified Eligible Investors - A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

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.

LIMITATIONS OF RANKINGS ARE THAT ONLY THOSE ADVISORS OR POOL OPERATORS THAT SUBMITTED THEIR PERFORMANCE DATA TO AUTUMNGOLD WERE RATED. THE ENTIRE CTA UNIVERSE IS NOT INCLUDED IN THE RANKINGS. THE PERFORMANCE INFORMATION PROVIDED WHEREIN HAS NOT BEEN VERIFIED BY AUTUMNGOLD.