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Clinamen Financial Group LLC - Volatility Arbitrage Program
Principal(s): Jared Woodard
Trading System: Volatility Arbitrage / Diversified

Request Disclosure Document * Request Statistical Report
Trading Description
We pursue a market-neutral volatility arbitrage strategy that collects the volatility risk premium. The volatility risk premium is defined as the difference between present implied and future realized volatility, or colloquially as the premium option buyers pay over and above the typical level of realized volatility in order to protect against volatility in an underlying asset; this premium is a persistent feature of exchange-traded options on world equity indexes and other assets, and has been observed by both practitioners and academics alike. Our belief is that a strategy that collects this premium can be profitable while remaining largely uncorrelated with market returns. There is a significant risk of loss in any trading program, and options and futures are not suitable for all investors.

Risk Strategy
Risk management: No techniques can eliminate the risk of loss, and investors should be familiar with the particular risks inherent in trading futures, options, and option spreads before investing. We take the following steps in order to reduce certain kinds of risk:

* Restricting application to widely traded indexes and sectors reduces exposure to individual commodity-, equity- or industry-specific events.
* The use of risk-defined, market-neutral option spreads helps reduce the frequency and costs of dynamic hedging.
* Analysis of changes in implied and realized volatility allows us to identify environments in which the volatility risk premium should be bought or ignored, rather than sold.
Trading Approach
95.00% Systematic
5.00% Discretionary

Trading Methodology
 Short Term
Multi System
Arbitrage

 Markets Traded
 Diversified

Sector
US Markets

Contracts Traded
Futures
Options
Recent Performance
Currency Denomination - US Dollars
2010 Monthly Return YTD Return Assets Under Mgt
07/31/10 -7.79% -12.75% 213,000
06/30/10 7.40% -5.38% 233,000
05/31/10 -11.55% -11.90% 300,000
04/30/10 -1.75% -0.39% 342,000
03/31/10 2.31% 1.38% 345,000
02/28/10 0.49% -0.91% 337,813
01/31/10 -1.39% -1.39% 336,220
2009 Monthly Return YTD Return Assets Under Mgt
12/31/09 6.59% -1.66% 240,897
11/30/09 8.71% -7.75% 226,004
10/31/09 -2.03% -15.14% 207,891
09/30/09 -4.05% -13.38% 212,197
08/31/09 1.35% -9.73% 221,156
Annual Performance for Last 5 Years
Currency Denomination - US Dollars
Year
Annualized Compounded ROR
2009
-1.66%
2008
0.00%
2007
0.00%
2006
0.00%
2005
0.00%
2004
0.00%
2003
0.00%



 
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Monthly Percentage Returns Chart
VAMI Chart - (Based on a $1,000 Initial Value)
Investment Details
Disclosure Document Date
02/01/10
Starting Date of Program
07/01/09
Accepting New Money?
Yes
Average Annual Rate of Return
-13.30 %
Peak to Valley Drawdown
-15.14 %
Average Margin as % of Equity
15.00%
Round Turns per Million
1,700
Minimum Sized Account
100,000
Currency Denomination
US Dollars
Management Fee
2.00%
Incentive Fee
20.00%
Notional Funding?
Yes
Member of NFA
Yes
Other Memberships
None

 

Risk Disclosure
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 CAREFULLY CONSIDER WHETHER COMMODITY FUTURES, OPTIONS AND FOREX IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. 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.

THE ABOVE PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE CTAS. MANAGED CAPITAL ADVISORY GROUP IN NOW WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATIONAL PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH CTA'S RISK DISCLOSURE DOCUMENT. THERE MAY BE CTAS WHO HAVE CHOSEN NOT TO PARTICIPATE THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE CTAS IN OUR DATABASE.

PLEASE NOTE THAT THERE IS AN INHERENT RISK OF LOSS ASSOCIATED WITH TRADING FUTURES AND OPTIONS CONTRACTS. PLEASE CAREFULLY CONSIDER YOUR FINANCIAL CONDITION BEFORE INVESTING IN FUTURES AND OPTIONS CONTRACTS. FUTURES TRADING IS NOT SUITABLE FOR ALL INVESTORS

Monthly Return Calculations: As of 4/1/2004, CTAs are required to calculate monthly returns according to NFA RULE 2-34 which states (1) Member CTAs must calculate rate of return according to CFTC Regulation 4.35(a)(6) using nominal account size as the denominator. (2) Drawdown information reported under CFTC Regulation 4.35(a)(1)(v) and (vi) must be based on rate of return figures using nominal account size as the denominator. (3) In calculating net performance, Member CTAs may include interest earned on actual funds but may not impute interest on other funds.

Data Supplied by Autumngold.com

 

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