APR Management LLC : ES VIX Program (Prop)

Year-to-Date
5.62%
Apr Performance
4.11%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
20.56%
Sharpe (RFR=1%)
0.70
CAROR
14.18%
Assets
$ 1.0M
Worst DD
-14.91
S&P Correlation
0.09

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
1/2018
ES VIX Program (Prop) 4.11 8.77 5.62 5.48 31.81 - - 55.58
S&P 500 5.24 16.22 14.93 48.22 63.01 - - 53.70
+/- S&P 500 -1.13 -7.45 -9.31 -42.74 -31.20 - - 1.88

Strategy Description

Summary

ES VIX Program is a fully automated trading strategy that trades Cboe Volatility Index (VX) Futures and E-mini S&P 500 (ES) Futures using proprietary methodology to profit from price movements in the underlying instruments. The program takes short or long positions in the futures as... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 15.49%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 50.00%
Intraday 50.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
20.00%
Counter-trend
20.00%
Momentum
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
VIX
50.00%
Composition Pie Chart

Summary

ES VIX Program is a fully automated trading strategy that trades Cboe Volatility Index (VX) Futures and E-mini S&P 500 (ES) Futures using proprietary methodology to profit from price movements in the underlying instruments. The program takes short or long positions in the futures as the strategy take advantage of price change in either direction and has close to zero correlation with S&P 500 index. The program consists of a number of models, where each model harvests unique alpha and has low correlation with other models making portfolio more stable long-term.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-14.91 2 11 10/1/2018 12/1/2018
-10.77 1 9 5/1/2020 6/1/2020
-8.54 2 2 11/1/2019 1/1/2020
-8.05 1 4 5/1/2018 6/1/2018
-3.14 1 1 1/1/0001 1/1/2018
-0.11 1 1 3/1/2018 4/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
25.52 4 2/1/2020 5/1/2020
21.33 2 2/1/2018 3/1/2018
16.93 3 2/1/2021 4/1/2021
12.30 4 7/1/2018 10/1/2018
11.61 2 7/1/2020 8/1/2020
10.66 3 9/1/2019 11/1/2019
9.34 2 6/1/2019 7/1/2019
9.22 4 1/1/2019 4/1/2019
7.13 2 11/1/2020 12/1/2020
0.55 1 5/1/2018 5/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.91 2 11/1/2018 12/1/2018
-10.77 1 6/1/2020 6/1/2020
-9.67 1 1/1/2021 1/1/2021
-8.54 2 12/1/2019 1/1/2020
-8.05 1 6/1/2018 6/1/2018
-6.40 2 9/1/2020 10/1/2020
-3.68 1 5/1/2019 5/1/2019
-3.14 1 1/1/2018 1/1/2018
-2.69 1 8/1/2019 8/1/2019
-0.11 1 4/1/2018 4/1/2018
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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.