Certeza Asset Management : 4x Omni

Year-to-Date
11.32%
Aug Performance
3.81%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
14.74%
Sharpe (RFR=1%)
0.95
CAROR
14.77%
Assets
$ 5.0M
Worst DD
-14.43
S&P Correlation
0.22

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
11/2014
4x Omni 3.81 3.74 11.32 -0.04 53.48 - - 72.21
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 40.10
+/- S&P 500 5.62 -2.60 -5.41 -0.89 20.05 - - 32.11

Strategy Description

Summary

Certeza Asset Management LLC is a Utah based 100% quantitative VIX only trading firm specializing in volatility. Certeza uses highly sophisticated proprietary algorithms to capture perceived mispricings in the VIX term structure in order to generate high risk adjusted returns while... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
4.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$4.75
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
0.96%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
17.00%
1-30 Days
80.00%
Intraday
3.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Arbitrage
80.00%
Seasonal/cyclical
20.00%
Strategy Pie Chart

Composition

VIX
45.00%
Grains
10.00%
Livestock
10.00%
Softs
10.00%
Currency Futures
5.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Energy
5.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

Certeza Asset Management LLC is a Utah based 100% quantitative VIX only trading firm specializing in volatility. Certeza uses highly sophisticated proprietary algorithms to capture perceived mispricings in the VIX term structure in order to generate high risk adjusted returns while striving for a zero correlation to both traditional and alternative asset classes. Certeza was founded in 2010 and is an NFA member and registered with the CFTC.

Investment Strategy

4X OMNI is a statistical arbitrage strategy which identifies perceived mispricings in the VIX term structure as well as over 20 different commodities. The program trades liquid futures, no options. Investors have the ability to select 2x, 3x or 4x leverage. Management fees are not charged on notional amounts.

Risk Management

   

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
-14.43 1 - 9/1/2018 10/1/2018
-13.43 4 7 12/1/2015 4/1/2016
-11.54 3 4 5/1/2015 8/1/2015
-4.08 2 2 1/1/0001 12/1/2014
-2.98 1 3 9/1/2017 10/1/2017
-1.75 1 1 4/1/2018 5/1/2018
-1.42 1 1 6/1/2017 7/1/2017
-1.02 1 1 11/1/2016 12/1/2016
-0.90 1 2 1/1/2018 2/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
34.50 5 1/1/2015 5/1/2015
20.12 6 1/1/2017 6/1/2017
16.18 7 5/1/2016 11/1/2016
11.44 4 6/1/2018 9/1/2018
10.38 2 11/1/2015 12/1/2015
9.85 3 3/1/2019 5/1/2019
7.24 1 1/1/2018 1/1/2018
6.96 2 8/1/2017 9/1/2017
6.32 2 7/1/2019 8/1/2019
5.32 1 9/1/2015 9/1/2015
4.28 2 3/1/2018 4/1/2018
3.02 1 11/1/2018 11/1/2018
2.38 1 7/1/2015 7/1/2015
1.60 1 11/1/2017 11/1/2017
0.54 1 1/1/2019 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.43 1 10/1/2018 10/1/2018
-13.43 4 1/1/2016 4/1/2016
-10.98 1 8/1/2015 8/1/2015
-4.08 2 11/1/2014 12/1/2014
-2.98 1 10/1/2017 10/1/2017
-2.94 1 6/1/2015 6/1/2015
-2.59 1 2/1/2019 2/1/2019
-2.43 1 6/1/2019 6/1/2019
-1.75 1 5/1/2018 5/1/2018
-1.42 1 7/1/2017 7/1/2017
-1.02 1 12/1/2016 12/1/2016
-0.90 1 2/1/2018 2/1/2018
-0.62 1 12/1/2018 12/1/2018
-0.51 1 12/1/2017 12/1/2017
-0.01 1 10/1/2015 10/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable67.2476.7975.4789.36100.00100.00100.00
Average Period Return1.253.206.1910.9317.2325.3039.80
Average Gain3.415.629.3512.6317.2325.3039.80
Average Loss-3.20-4.80-3.53-3.33
Best Period10.5029.1031.9936.3032.1640.3365.54
Worst Period-14.43-10.32-6.94-6.713.9411.0223.07
Standard Deviation4.256.718.5510.028.978.7711.60
Gain Standard Deviation2.435.547.399.178.978.7711.60
Loss Standard Deviation3.722.971.882.87
Sharpe Ratio (1%)0.270.440.670.991.752.653.17
Average Gain / Average Loss1.071.172.653.79
Profit / Loss Ratio2.193.878.1531.81
Downside Deviation (10%)2.923.213.123.281.22
Downside Deviation (5%)2.802.792.191.65
Downside Deviation (0%)2.762.691.961.37
Sortino Ratio (10%)0.290.611.191.807.88
Sortino Ratio (5%)0.421.062.606.01
Sortino Ratio (0%)0.451.193.157.96

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.