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Manager List » Deep Field Capital AG »

Deep Field Capital AG - Systematic Volatility Arbitrage

Principal(s): Michael Ahrndt and Arne Schmidt
Strategy: Systematic / Multistrat (Arbitrage + Directional) / VIX & S&P, Equity Index Futures
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Investment Restrictions: 4.7 Exempt - US Clients must be QEP++
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Statistics & Program Information

Apr Return 10.21%	Worst Drawdown ⁽²⁾ -22.41%	Minimum Investment $1,500,000
YTD Return 11.41%	Losing Streak ⁽³⁾ -6.53 %	AUM⁽⁵⁾ $19,000,000
Annualized CROR:¹ 7.58%	Sharpe Ratio ⁽⁴⁾ 0.54	Calmar Ratio ⁽⁶⁾ 0.08

Trading Methodology 100% Systematic	Style Sub-Categories Momentum Market Neutral	Trading Style 100% Market Neutral & Intraday Momentum
Market Sector 100% Stock Indices	Holding Period 50% Short Term 50% Intraday	Geographic Sector Global Contracts: Futures

Start Date Dec-2014	Currency US Dollar	Margin ⁽⁷⁾ 4.27%
New Money Yes	AUM ⁽⁵⁾ $19,000,000	Management Fee 1%
Min Investment $1,500,000	Annualized CROR ¹ 7.58%	Incentive Fee 25%
Fund Minimum $0	Losing Streak ⁽³⁾ -6.53 %	Other Fees None
Notional Funds No	Worst Drawdown ⁽²⁾ -22.41 %	Avg Comm ⁽⁸⁾
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.54	Max Comm ⁽⁹⁾ 0.00
NFA Number 0483331	Calmar Ratio ⁽⁶⁾ 0.08	Round Turns ⁽¹⁰⁾ 10,000

Starting Date: Dec-2014	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $19,000,000
Open to US Investors: Yes	Annualized CROR: 7.58%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -22.41
Minimum Managed Account: $1,500,000	Current Losing Streak: -6.53 %
Domocile:	Calmar: 0.08
Subscriptions: N/A	Sharpe Ratio: 0.54
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 1.00%	Auditor: Not Listed
Incentive Fee: 25.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: AIMA; VQF

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: In-House

Correlations: AG CTA Index: -0.229 AG Systematic CTA Index: -0.216

Trading Description, Risk Strategy & Background

Trading Description

The Systematic Volatility Arbitrage (VolArb) strategy takes a multi-strategy approach in the equity index volatility market. It trades (1) market neutral calendar spreads in VIX Index futures and (2) VIX Index futures versus the S&P 500 Index futures to arbitrage the equity market volatility risk premium. Additionally, it takes directional intraday momentum trades in equity index futures (3) and VIX Index futures (4). The investment process is systematic and based on Deep Field Capital's proprietary volatility estimation model, taking into consideration the volatility surface and VIX Index term-structure. Order execution is fully systematic and automated. The strategy is available via a SMA and other structures upon request.

Risk Strategy

N/A

Background

Performance

ProForma Returns adjusted for a 1% management fee & 25% incentive fee. Prior to November 28, 2018 returns represent performance record of VolArb managed by Systematic Absolute Return AG.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	-6.41%	0.51%	7.46%	10.21%									11.41%	-6.41%
2024	1.52%	-0.95%	1.75%	-3.61%	0.03%	-0.88%	-1.61%	4.39%	-0.56%	1.51%	-3.42%	1.07%	-1.03%	-5.96%
2023	-0.30%	-3.30%	0.68%	-0.51%	-0.84%	1.09%	-0.02%	0.37%	-2.66%	-5.56%	3.05%	-2.02%	-9.85%	-10.71%
2022	-4.90%	-0.23%	2.74%	5.72%	2.11%	3.84%	1.68%	1.57%	-5.37%	-0.12%	0.77%	1.10%	8.66%	-5.49%
2021	-8.87%	5.73%	-0.01%	0.31%	0.00%	-1.05%	4.67%	-3.30%	1.25%	-1.04%	1.47%	3.30%	1.65%	-8.87%
2020	0.24%	3.87%	7.00%	7.12%	0.49%	5.22%	-1.09%	1.12%	-5.31%	-6.32%	-1.08%	-2.97%	7.46%	-14.86%
2019	-1.34%	0.36%	0.63%	-0.02%	-1.95%	0.19%	1.41%	-2.89%	4.78%	3.11%	5.27%	-4.88%	4.27%	-4.88%
2018	-1.33%	21.16%	3.08%	0.62%	0.89%	0.30%	0.45%	-1.41%	1.24%	2.20%	0.00%	-0.70%	27.68%	-1.41%
2017	0.88%	0.68%	2.18%	-5.85%	-1.30%	0.21%	-5.47%	1.12%	0.63%	1.04%	0.02%	1.44%	-4.68%	-11.97%
2016	-2.36%	1.13%	7.58%	8.26%	9.43%	-5.32%	3.75%	1.79%	7.84%	0.15%	-0.09%	2.02%	38.55%	-5.32%
2015	1.58%	3.46%	2.77%	-0.81%	0.84%	0.25%	0.48%	-8.20%	1.89%	1.15%	-0.57%	0.33%	2.71%	-8.2%
2014												0.44%	0.44%	0%

Annual Performance

Years	2014	2015	2016	2017	2018	2019
ROR	0.44%	2.71%	38.55%	-4.68%	27.68%	4.27%
Max DD	0.00%	-8.20%	-5.32%	-11.97%	-1.41%	-4.88%

Years	2020	2021	2022	2023	2024	2025 YTD
ROR	7.46%	1.65%	8.66%	-9.85%	-1.03%	11.41%
Max DD	-14.86%	-8.87%	-5.49%	-10.71%	-5.96%	-6.41%

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

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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Accounting Notes:

Pro-Forma returns shown are actual investment returns net of an assumed 1% annual management fee, payable monthly in arrears, and a quarterly performance fee of 25% of net new trading profits. VolArb returns prior to November 28, 2018 represent the track record of VolArb managed at Systematic Absolute Return AG by its founding principal Arne Schmidt and Michael Ahrndt, who joined Deep Field Capital in Q1 2018. Beginning November 28, 2018, VolArb returns represent the composite trading returns of all client accounts trading VolArb as a stand-alone program, managed by Deep Field Capital. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

++Qualified Eligible Investors Only:

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).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE 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 ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

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, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES 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.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.