Certeza Asset Management : Macro Vega

Year-to-Date
1.31%
Jun Performance
0.36%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
3.68%
Sharpe (RFR=1%)
0.60
CAROR
3.18%
Assets
$ 29.8M
Worst DD
-3.25
S&P Correlation
0.02

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Macro Vega 0.36 0.53 -1.31 -0.09 2.34 6.98 - 27.25
S&P 500 1.84 19.95 -4.04 5.39 26.82 48.74 - 133.83
+/- S&P 500 -1.48 -19.42 2.73 -5.48 -24.49 -41.76 - -106.58

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 $4.25
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%
Strategy Pie Chart

Composition

VIX
100.00%
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 2011 and is an NFA member and registered with the CFTC.

Investment Strategy

MACRO 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.

   

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
-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
-2.37 6 - 9/1/2019 3/1/2020
-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
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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
1.01 1 7/1/2015 7/1/2015
0.66 1 11/1/2018 11/1/2018
0.56 2 9/1/2013 10/1/2013
0.53 3 4/1/2020 6/1/2020
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.25 1 10/1/2018 10/1/2018
-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
-0.12 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods102.00100.0097.0091.0085.0079.0067.0055.0043.00
Percent Profitable68.6373.0079.3889.0198.8298.73100.00100.00100.00
Average Period Return0.270.761.462.663.624.707.129.3111.92
Average Gain0.721.332.083.073.684.767.129.3111.92
Average Loss-0.73-0.80-0.92-0.65-1.49-0.24
Best Period4.957.7912.2917.0017.6917.4720.3823.6925.29
Worst Period-3.25-2.11-2.07-1.68-1.49-0.241.944.774.70
Standard Deviation1.061.702.343.193.313.343.823.974.76
Gain Standard Deviation0.821.612.223.143.283.313.823.974.76
Loss Standard Deviation0.840.620.610.52
Sharpe Ratio (1%)0.170.300.410.520.640.811.071.321.43
Average Gain / Average Loss0.991.672.254.712.4720.18
Profit / Loss Ratio2.174.508.6738.13207.371574.11
Downside Deviation (10%)0.801.201.943.334.836.349.4012.8616.40
Downside Deviation (5%)0.650.630.710.630.460.460.190.07
Downside Deviation (0%)0.620.520.500.270.160.03
Sortino Ratio (10%)-0.18-0.39-0.52-0.70-0.82-0.88-0.92-0.95-0.96
Sortino Ratio (5%)0.280.801.362.644.565.8121.6499.19
Sortino Ratio (0%)0.431.452.939.8022.38176.99

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.