Certeza Asset Management : Macro Vega Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.14% Jan Performance -0.14% Min Investment $ 1,000k Mgmt. Fee 1.50% Perf. Fee 20.00% Annualized Vol 3.74% Sharpe (RFR=1%) 0.47 CAROR 2.73% Assets $ 32.0M Worst DD -4.86 S&P Correlation -0.03 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since1/2012 Macro Vega -0.14 0.21 -0.14 -3.35 -1.54 4.02 - 25.16 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 - 196.77 +/- S&P 500 0.97 -13.38 0.97 -18.51 -33.06 -85.46 - -171.61 Strategy Description SummaryCerteza 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 $4.25 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 750 RT/YR/$M Avg. Margin-to-Equity 4% Targeted Worst DD -20.00% Worst Peak-to-Trough 2.52% Sector Focus Arbitrage & Spread Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 5.00% 1-30 Days 90.00% Intraday 5.00% Decision-Making Discretionary 5.00% Systematic 95.00% Strategy Arbitrage 100.00% Composition VIX 100.00% SummaryCerteza 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 2011 and is an NFA member and registered with the CFTC.Investment StrategyMACRO VEGA is a statistical arbitrage strategy which identifies perceived mispricings in the VIX term structure. The program trades liquid CBOE VIX futures, no options. Investors have the ability to notionally leverage to match individual risk tolerance. 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 -4.86 11 - 9/1/2019 8/1/2020 -3.25 1 11 9/1/2018 10/1/2018 -2.63 1 13 7/1/2015 8/1/2015 -2.52 1 1 1/1/0001 1/1/2012 -1.89 1 2 7/1/2012 8/1/2012 -1.32 1 1 4/1/2014 5/1/2014 -1.26 3 3 8/1/2014 11/1/2014 -1.00 2 3 1/1/2013 3/1/2013 -0.88 1 1 5/1/2015 6/1/2015 -0.80 2 3 10/1/2013 12/1/2013 -0.54 1 3 9/1/2017 10/1/2017 -0.45 1 1 2/1/2012 3/1/2012 -0.39 1 1 4/1/2018 5/1/2018 -0.28 1 1 6/1/2017 7/1/2017 -0.19 1 1 5/1/2012 6/1/2012 -0.17 1 2 1/1/2018 2/1/2018 -0.15 1 2 7/1/2013 8/1/2013 Show More Consecutive Gains Run-up Length (Mos.) Start End 8.11 2 4/1/2012 5/1/2012 6.63 5 9/1/2012 1/1/2013 6.14 14 5/1/2016 6/1/2017 4.58 6 12/1/2014 5/1/2015 2.94 3 6/1/2014 8/1/2014 2.68 1 2/1/2012 2/1/2012 2.03 4 1/1/2014 4/1/2014 1.98 1 7/1/2012 7/1/2012 1.95 4 6/1/2018 9/1/2018 1.87 3 3/1/2019 5/1/2019 1.79 3 7/1/2019 9/1/2019 1.68 4 4/1/2013 7/1/2013 1.28 4 11/1/2015 2/1/2016 1.27 1 1/1/2018 1/1/2018 1.16 2 8/1/2017 9/1/2017 1.14 1 9/1/2015 9/1/2015 1.11 4 9/1/2020 12/1/2020 1.01 1 7/1/2015 7/1/2015 0.68 4 4/1/2020 7/1/2020 0.66 1 11/1/2018 11/1/2018 0.56 2 9/1/2013 10/1/2013 0.53 2 3/1/2018 4/1/2018 0.38 1 11/1/2017 11/1/2017 0.12 1 1/1/2019 1/1/2019 0.05 1 2/1/2020 2/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -3.25 1 10/1/2018 10/1/2018 -3.21 1 8/1/2020 8/1/2020 -2.63 1 8/1/2015 8/1/2015 -2.52 1 1/1/2012 1/1/2012 -2.16 2 3/1/2016 4/1/2016 -1.89 1 8/1/2012 8/1/2012 -1.78 1 3/1/2020 3/1/2020 -1.32 1 5/1/2014 5/1/2014 -1.26 3 9/1/2014 11/1/2014 -1.00 2 2/1/2013 3/1/2013 -0.88 1 6/1/2015 6/1/2015 -0.80 2 11/1/2013 12/1/2013 -0.65 4 10/1/2019 1/1/2020 -0.54 1 2/1/2019 2/1/2019 -0.54 1 10/1/2017 10/1/2017 -0.45 1 3/1/2012 3/1/2012 -0.39 1 5/1/2018 5/1/2018 -0.28 1 7/1/2017 7/1/2017 -0.19 1 6/1/2012 6/1/2012 -0.17 1 2/1/2018 2/1/2018 -0.15 1 8/1/2013 8/1/2013 -0.14 1 1/1/2021 1/1/2021 -0.12 1 12/1/2018 12/1/2018 -0.09 1 12/1/2017 12/1/2017 -0.08 1 10/1/2015 10/1/2015 -0.05 1 6/1/2019 6/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods109.00107.00104.0098.0092.0086.0074.0062.0050.00 Percent Profitable68.8171.9674.0482.6592.3991.8691.89100.00100.00 Average Period Return0.230.671.252.283.264.226.438.6010.85 Average Gain0.691.292.083.073.654.707.058.6010.85 Average Loss-0.78-0.92-1.13-1.46-1.53-1.26-0.62 Best Period4.957.7912.2917.0017.6917.4720.3823.6925.29 Worst Period-3.25-2.13-3.35-3.42-2.00-3.10-1.242.483.81 Standard Deviation1.081.712.403.373.433.604.244.255.16 Gain Standard Deviation0.801.582.223.143.273.333.844.255.16 Loss Standard Deviation0.930.690.731.260.341.240.43 Sharpe Ratio (1%)0.140.250.310.380.510.610.801.071.11 Average Gain / Average Loss0.881.401.842.102.403.7511.36 Profit / Loss Ratio1.953.585.2510.0129.0942.29128.75 Downside Deviation (10%)0.851.292.173.815.246.9110.2113.6117.54 Downside Deviation (5%)0.700.720.911.170.901.081.060.460.35 Downside Deviation (0%)0.670.610.680.790.430.480.21 Sortino Ratio (10%)-0.21-0.43-0.56-0.71-0.83-0.87-0.91-0.95-0.96 Sortino Ratio (5%)0.210.580.821.091.952.053.199.8416.65 Sortino Ratio (0%)0.341.101.832.877.598.7030.75 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