Applied Investments, LLC : AlphaVol Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2019 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 SummaryThe 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% Composition VIX 100.00% SummaryThe 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 StrategyThe 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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. x {{title}} x {{title}} Add Cancel