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Trading Strategy: Volatility Trading in VIX Futures
4.7 Exempt - QEPs Only
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.
Investment Information
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
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% |
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% |
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% |
2024 | -0.90% | -0.70% | 0.00% | -0.90% |
2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
---|---|---|---|---|---|---|
ROR | 1.62% | -18.83% | 4.79% | 11.04% | -9.35% | -2.48% |
Max DD | -6.87% | -20.34% | -3.76% | -5.22% | -14.05% | -2.48% |
+++ 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 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 May 2013
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.
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.