Loading...

Report Start Date Report End Date


Trading Strategy: Arbitrage Trading Strategy / Equities
Non-US Investors Only

Program Description: V1-VOLATILITY TRADING PROGRAM is basically a market neutral, volatility arbitrage trading strategy. It exploits the term structure (contango and backwardation) of the VIX futures premium. The strategy aims to profit from the contango of VIX futures (the price of front month VIX futures is lower than price of more distant months), as VIX futures trade at contango over 90% of the time. When the term structure changes from contango to backwardation, the strategy adapts to the changing market condition. V1 uses time series analysis and does not use classical fundamental or technical analysis. The strategy can trade either iPath's S&P 500 VIX short/mid term futures ETNs (VXX, VXZ - prefered) or S&P 500 VIX short/mid term futures (VX, VM). V1 adjusts portfolio components on daily basis. The combined net leverage (long minus short positions leverage) is less than 0.3. The strategy uses relatively low leverage in order to prevent disastrous drawdowns from overleveraged trading. Strategy returns are weakly correlated with S&P 500 index returns. Since this strategy is not correlated to swing and trend following strategies, it can be seen as an excellent complement to them. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion. Extensive strategy back testing results are available upon request. The information about this trading program is not intended for persons or entities resident, located or registered in jurisdictions that restrict the distribution of such trading programs. Consequently, this information does not constitute, and may not be used for the purposes of, an offer or invitation to invest in this trading program to any person in any jurisdiction: (a) in which any such offer or invitation is not authorised; (b) in which Quant Trading, LLC is not qualified to make such offer or invitation; or (c) on which it is unlawful to make any such offer or invitation.

Investment Information

Loading chart...


Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20193.39% 1.90% 2.31% -0.80% 1.14% 2.15% 1.77% 2.32% -0.58% 2.30% -0.29% 1.83%
2020 0.53% 1.15% 0.26% 0.48% 2.68% -0.93% 1.28% -0.03% 0.48% 0.07% 1.27% 0.99%
2021 -1.33% -1.37% 1.29% 0.94% 1.46% -0.68% -0.21% 1.46% -0.42% 0.74% 0.00% 1.73%
2022 -1.07% 0.47% -0.51% 0.59% -0.63% -1.70% -0.37% -1.45% -0.60% 0.05% 0.74% -2.08%
2023 0.00% -1.36% 1.13% 0.46% -2.60% 5.06% -1.17% 1.23% -1.16% 1.24% 3.81% 0.01%
2024 -0.73% 0.00% -0.23% -0.19%  

 201920202021202220232024 YTD
ROR18.79%8.49%3.60%-6.39%6.59%-1.15%
Max DD-0.79%-0.93%-2.68%-6.39%-2.60%-1.15%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 1.18
Peak-to-Valley Drawdown (1) (Dec 2021 - May 2023) -8.63%
Worst Monthly Return (May 2023) -2.60%
Current Losing Streak -1.37%
Average Monthly Return 0.44%
Monthly Std. Deviation 1.44%
# Months with Positive Performance 39
# Months with Negative Performance 25
Gain to Loss Ratio 1.45
Annualized Statistics
Compound ROR (2) 5.30%
Standard Deviation 4.98%
Downside Deviation (3) 3.16%
Sharpe Ratio (4) 0.86
Sortino Ratio (5) 0.09
Calmar Ratio (6) 0.10
Sterling Ratio (7) 0.06
Profit Loss Ratio 2.26

            Current Losing Streak = -1.37%

Loading chart...
Loading chart...

Select an index or program to add as a benchmark:

Comparisons ProgramAG CTA Index
Remove		SP 500 TR
Remove
Annualized Compound ROR (2) 5.30%5.76%15.91%
Cumulative Return 31.69%34.78%119.75%
Cumulative VAMI(8) 131713482198
Largest Monthly Gain 5.06%2.99%12.82%
Largest Monthly Loss -2.60%-1.42%-12.35%
Profit Loss Ratio 2.263.771.87
Correlation —0.0870.360
Last Month -0.19%1.27%-4.08%
Last 12 Months 5.15%8.28%22.67%
Last 36 Months 2.70%15.72%26.21%
Loading chart...


An Important Note on the Start Date and End Dates 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. The Inception of this program is Feb 2012

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION 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 COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-04-30
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return

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 has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.