Applied Investments, LLC : AlphaVol

Year-to-Date
5.13%
Sep Performance
0.60%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
9.39%
Sharpe (RFR=1%)
0.65
CAROR
-
Assets
$ 10.3M
Worst DD
-2.99
S&P Correlation
0.28

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2019
AlphaVol 0.60 -1.40 5.13 - - - - 5.13
S&P 500 1.72 1.19 18.74 - - - - 10.07
+/- S&P 500 -1.12 -2.59 -13.61 - - - - -4.94

Strategy Description

Summary

The overall investment objective of the Strategy is to produce uncorrelated, absolute returns on an annual basis, while simultaneously providing investors with some degree of protection against major market corrections.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
1.50%
Performance Fee
15.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
60 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
8.05%
Sector Focus
Stock Index 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
0%
Systematic
100.00%

Strategy

Pattern Recognition
50.00%
Spreading/hedging
50.00%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

The overall investment objective of the Strategy is to produce uncorrelated, absolute returns on an annual basis, while simultaneously providing investors with some degree of protection against major market corrections.

Investment Strategy

The AlphaVol Strategy is a systematic absolute return strategy which opportunistically trades VIX and S&P 500 E-Mini Futures in an effort to take advantage of the discrepancies in current implied volatility versus expectations of subsequent implied or realized volatility. Depending on the market environment the strategy can pursue long, short or neutral views on volatility with a goal of providing our investors with superior risk-adjusted returns throughout various economic conditions.

Risk Management

The performance of all Applied Investments accounts is monitored on an ongoing real-time basis. Market risk, market volatility risk, correlation risk, basis risk, trading risk, futures tracking risk and gap risk are monitored. Market risk is measured by trailing N days of realized volatility of market returns, by implied market volatility as measured by the VIX index and by forward looking measures such as VIX futures. Market volatility risk is measured by changes in the VIX index. Correlation risk is measured in the relationships between VIX futures contracts and the VIX spot Index and in the relationship between the S&P 500 Index return and the VIX spot and futures contracts. The investment team looks for regions/conditions where the traditional correlation structures break down and recommends remedies. There are two types of basis risk being monitored. The first is the relationship between S&P futures and VIX futures. This basis risk is more akin to correlation risk and measured in the same fashion. The second basis risk measured is the level of the VIX futures basis relative to the VIX spot index. For more information, please see the “Investment Team” and “Risk Mitigation Techniques” in Sections 2(f.) and 2(g.) of the Applied Investments Due Diligence Questionnaire.

   

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
-2.99 6 - 2/1/2019 8/1/2019
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
7.73 2 1/1/2019 2/1/2019
1.50 1 5/1/2019 5/1/2019
0.60 1 9/1/2019 9/1/2019
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-2.58 3 6/1/2019 8/1/2019
-1.90 2 3/1/2019 4/1/2019
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable44.4414.29
Average Period Return0.590.02
Average Gain2.457.51
Average Loss-0.90-1.23
Best Period7.307.51
Worst Period-1.70-2.58
Standard Deviation2.713.38
Gain Standard Deviation3.27
Loss Standard Deviation0.660.79
Sharpe Ratio (1%)0.19-0.07
Average Gain / Average Loss2.726.12
Profit / Loss Ratio2.181.02
Downside Deviation (10%)1.072.37
Downside Deviation (5%)0.851.52
Downside Deviation (0%)0.801.32
Sortino Ratio (10%)0.17-0.51
Sortino Ratio (5%)0.59-0.15
Sortino Ratio (0%)0.730.02

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.