Certeza Asset Management : Macro Vega

Year-to-Date
1.39%
Jun Performance
-0.05%
Min Investment
$ 200k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
3.83%
Sharpe (RFR=1%)
0.71
CAROR
3.69%
Assets
$ 23.6M
Worst DD
-3.18
S&P Correlation
-0.05

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 -0.05 0.92 1.39 0.07 7.38 10.57 - 31.23
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 121.87
+/- S&P 500 -6.94 -2.86 -15.95 -8.14 -31.35 -37.97 - -90.64

Strategy Description

Summary

Macro Vega is a niche program focused exclusively on volatility futures. This unique niche has virtues present in no other asset class that make it an ideal component of any broader portfolio seeking non-correlated alpha generation; it provides consistent returns as well as crisis... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
3.00
Management Fee
1.00%
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
1500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-7.00%
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
10.00%
Systematic
90.00%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

Macro Vega is a niche program focused exclusively on volatility futures. This unique niche has virtues present in no other asset class that make it an ideal component of any broader portfolio seeking non-correlated alpha generation; it provides consistent returns as well as crisis alpha. Macro Vega is designed to be levered to the risk tolerance of the individual. On a non-levered basis, target returns are moderate with very low relative drawdowns, resulting in a favorable risk profile. Those with higher tolerance, or who wish to more efficiently utilize capital, may lever the program up to 3X with a corresponding increase in return.

Investment Strategy

Macro Vega is a futures spread trading statistical arbitrage program utilizing a systematic proprietary software to locate pricing inefficiencies in the volatility futures term structure. Virtues unique to the volatility asset class allow consistent generation of returns through both long and short volatility trades while maintaining a long volatility bias to avoid exposure to a market crisis. The program is designed to realize higher returns during periods of increased market turmoil while avoiding the monthly bleed of typical crisis alpha programs.

Risk Management

Certeza's proprietary expectancy based risk algorithms lie at the core of the risk management strategy. These algorithms utilize historical data but also include pricing events that are statistically possible despite not having occurred historically. Based around a proprietary "drawdown at risk", the program seeks to limit max allowable drawdown to 7% to a 99% level of confidence, without needing to rely on unreliable stop loss orders that would be vulnerable to crisis events. Additionally, volatility futures have no left tail. This allows the program to increase the size of trades with no tail risk while dramatically decreasing those with crash exposure. During a significant adverse move, the system scales out of open trades gradually and it is anticipated that once the max drawdown level is reached, the account would be nearing 100% allocation to cash with no remaining open positions.

   

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
-3.18 1 - 9/1/2018 10/1/2018
-2.62 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
-1.27 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
-0.31 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
7.17 5 9/1/2012 1/1/2013
6.04 14 5/1/2016 6/1/2017
4.56 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
2.04 4 1/1/2014 4/1/2014
1.98 1 7/1/2012 7/1/2012
1.88 4 6/1/2018 9/1/2018
1.87 3 3/1/2019 5/1/2019
1.68 4 4/1/2013 7/1/2013
1.36 4 11/1/2015 2/1/2016
1.29 1 1/1/2018 1/1/2018
1.15 1 9/1/2015 9/1/2015
1.07 2 8/1/2017 9/1/2017
1.01 1 7/1/2015 7/1/2015
0.68 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
0.42 1 11/1/2017 11/1/2017
0.12 1 1/1/2019 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.18 1 10/1/2018 10/1/2018
-2.62 1 8/1/2015 8/1/2015
-2.52 1 1/1/2012 1/1/2012
-2.18 2 3/1/2016 4/1/2016
-1.89 1 8/1/2012 8/1/2012
-1.32 1 5/1/2014 5/1/2014
-1.27 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
-0.54 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
-0.31 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
-0.11 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 Periods90.0088.0085.0079.0073.0067.0055.0043.0031.00
Percent Profitable70.0075.0081.1889.87100.00100.00100.00100.00100.00
Average Period Return0.310.971.833.354.726.128.9611.7315.67
Average Gain0.771.602.473.844.726.128.9611.7315.67
Average Loss-0.77-0.92-0.96-0.95
Best Period4.957.9012.4818.2719.0518.8022.1726.1727.98
Worst Period-3.18-2.63-2.59-2.010.092.404.325.6810.45
Standard Deviation1.111.922.593.683.673.594.314.545.10
Gain Standard Deviation0.851.762.433.563.673.594.314.545.10
Loss Standard Deviation0.860.820.730.61
Sharpe Ratio (1%)0.200.380.510.640.881.141.371.692.07
Average Gain / Average Loss1.001.742.574.02
Profit / Loss Ratio2.345.2211.0835.70
Downside Deviation (10%)0.801.231.853.044.045.167.8910.7612.97
Downside Deviation (5%)0.660.710.710.680.26
Downside Deviation (0%)0.620.610.520.35
Sortino Ratio (10%)-0.12-0.21-0.35-0.54-0.71-0.80-0.86-0.91-0.92
Sortino Ratio (5%)0.341.011.873.4812.55
Sortino Ratio (0%)0.491.593.539.48

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.