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

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Growth of 1,000 - VAMI

Monthly Performance

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

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%

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.

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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.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	102.00	100.00	97.00	91.00	85.00	79.00	67.00	55.00	43.00
Percent Profitable	68.63	73.00	79.38	89.01	98.82	98.73	100.00	100.00	100.00
Average Period Return	0.27	0.76	1.46	2.66	3.62	4.70	7.12	9.31	11.92
Average Gain	0.72	1.33	2.08	3.07	3.68	4.76	7.12	9.31	11.92
Average Loss	-0.73	-0.80	-0.92	-0.65	-1.49	-0.24
Best Period	4.95	7.79	12.29	17.00	17.69	17.47	20.38	23.69	25.29
Worst Period	-3.25	-2.11	-2.07	-1.68	-1.49	-0.24	1.94	4.77	4.70
Standard Deviation	1.06	1.70	2.34	3.19	3.31	3.34	3.82	3.97	4.76
Gain Standard Deviation	0.82	1.61	2.22	3.14	3.28	3.31	3.82	3.97	4.76
Loss Standard Deviation	0.84	0.62	0.61	0.52
Sharpe Ratio (1%)	0.17	0.30	0.41	0.52	0.64	0.81	1.07	1.32	1.43
Average Gain / Average Loss	0.99	1.67	2.25	4.71	2.47	20.18
Profit / Loss Ratio	2.17	4.50	8.67	38.13	207.37	1574.11
Downside Deviation (10%)	0.80	1.20	1.94	3.33	4.83	6.34	9.40	12.86	16.40
Downside Deviation (5%)	0.65	0.63	0.71	0.63	0.46	0.46	0.19		0.07
Downside Deviation (0%)	0.62	0.52	0.50	0.27	0.16	0.03
Sortino Ratio (10%)	-0.18	-0.39	-0.52	-0.70	-0.82	-0.88	-0.92	-0.95	-0.96
Sortino Ratio (5%)	0.28	0.80	1.36	2.64	4.56	5.81	21.64		99.19
Sortino Ratio (0%)	0.43	1.45	2.93	9.80	22.38	176.99

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.

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More Programs by Certeza Asset Management

Program Name	CAROR
Macro Vega	3.18%
Macro Vega Fund	1.30%

IASG Activity

Blends 56
Portfolios 11
Watchlists 20

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Certeza Asset Management : Macro Vega

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Certeza Asset Management : Macro Vega

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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