AP Futures, LLC : Volatility Trading Program

Year-to-Date
10.76%
Apr Performance
-4.55%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
26.18%
Sharpe (RFR=0%)
-0.09
CAROR
-4.93%
Assets
$ 2.2M
Worst DD
-34.30
S&P Correlation
0.49

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
2/2017
Volatility Trading Program -4.55 1.77 -10.76 1.61 -18.31 - - -15.15
S&P 500 12.68 -9.71 -9.85 -1.14 20.91 - - 27.49
+/- S&P 500 -17.23 11.48 -0.90 2.75 -39.22 - - -42.64

Strategy Description

Summary

The Volatility Trading Program is designed to exclusively trade VIX futures. The Advisor considers the current market environment in a broad sense and then looks to opportunistically place spread positions along the futures curve according to their relative value as determined by the... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Counter-trend
20.00%
Spreading/hedging
80.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Volatility Trading Program is designed to exclusively trade VIX futures. The Advisor considers the current market environment in a broad sense and then looks to opportunistically place spread positions along the futures curve according to their relative value as determined by the Advisor’s proprietary method. From time to time the Advisor may place a simple “long” or “short” position along the VIX futures curve to shift the portfolio’s exposure and/or sensitivities. There are no trading restrictions or limitations placed on the Advisor and the Advisor reserves the right to trade in other futures markets, such as the E-mini S&P 500 and U.S Treasury futures, in times of market stress or illiquidity in order to hedge the portfolio’s macro exposures.

Investment Strategy

The Advisor focuses on the following factors with respect to positioning the portfolio:

- Level of the Volatility Surface
- Steepness of the Volatility Surface
- Curvature of the Volatility Surface
- Beta of Portfolio to Spot Volatility
- Excess Capital Remaining in Stressed Market Scenarios

Risk Management

The Advisor believes that risk management is critical to generating long-term wealth-building returns and that expected returns vary over time. Therefore, the Advisor takes a pro-active approach to risk management by varying the portfolio's exposures during different market environments with the goal of reducing drawdowns and capturing favorable risk/return probabilities as they are presented. The Advisor recommends that clients do not try to time the strategy, but instead consider the offered program to be part of a diversified investment portfolio to be held for many years.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-34.30 3 - 9/1/2018 12/1/2018
-15.58 2 5 12/1/2017 2/1/2018
-2.19 1 1 1/1/0001 2/1/2017
-0.55 1 1 3/1/2017 4/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
16.98 3 3/1/2018 5/1/2018
15.90 4 9/1/2019 12/1/2019
15.75 2 1/1/2019 2/1/2019
15.43 8 5/1/2017 12/1/2017
9.26 1 11/1/2018 11/1/2018
7.04 3 7/1/2018 9/1/2018
6.92 2 6/1/2019 7/1/2019
6.62 1 3/1/2020 3/1/2020
3.37 1 3/1/2017 3/1/2017
2.63 1 4/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.13 1 12/1/2018 12/1/2018
-17.48 1 10/1/2018 10/1/2018
-15.58 2 1/1/2018 2/1/2018
-12.31 2 1/1/2020 2/1/2020
-11.57 1 5/1/2019 5/1/2019
-8.12 1 8/1/2019 8/1/2019
-4.55 1 4/1/2020 4/1/2020
-2.19 1 2/1/2017 2/1/2017
-0.90 1 6/1/2018 6/1/2018
-0.55 1 4/1/2017 4/1/2017
-0.49 1 3/1/2019 3/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable66.6751.3547.0632.1418.180.00
Average Period Return-0.12-0.62-1.32-6.53-12.13-15.56
Average Gain3.747.459.4410.6316.56
Average Loss-7.82-9.13-10.89-14.66-18.50-15.56
Best Period13.7416.9822.9219.0322.63-5.47
Worst Period-27.13-34.30-29.67-31.61-30.49-22.99
Standard Deviation7.5610.6513.0514.8915.495.87
Gain Standard Deviation3.384.916.434.967.61
Loss Standard Deviation7.788.079.3910.247.045.87
Sharpe Ratio (1%)-0.03-0.08-0.14-0.51-0.88-2.99
Average Gain / Average Loss0.480.820.870.730.90
Profit / Loss Ratio0.960.860.770.340.20
Downside Deviation (10%)6.429.0611.7818.1824.4026.43
Downside Deviation (5%)6.288.5310.6215.2919.1218.47
Downside Deviation (0%)6.258.4010.3414.6017.8416.57
Sortino Ratio (10%)-0.08-0.20-0.32-0.63-0.81-0.98
Sortino Ratio (5%)-0.03-0.10-0.17-0.49-0.71-0.95
Sortino Ratio (0%)-0.02-0.07-0.13-0.45-0.68-0.94

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.