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/ Certeza Asset Management / Macro Vega Fund

Certeza Asset Management : Macro Vega Fund

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Year-to-Date
13.35%
Dec Performance
1.92%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.29%
Sharpe (RFR=1%)
-0.16
CAROR
-2.63%
Assets
$ 29.0M
Worst DD
-22.79
S&P Correlation
0.25
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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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since
11/2017
Macro Vega Fund 1.92 4.09 -13.35 -14.48 -8.54 - - -4.51
S&P 500 3.71 11.69 16.26 16.26 40.48 - - 45.30
+/- S&P 500 -1.79 -7.60 -29.61 -30.74 -49.01 - - -49.81

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 Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $4.25
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 12

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough -14.64%
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

The Macro Vega Fund is an optimized pooled investment vehicle which combines the Macro Vega program with a cash management overlay. Macro Vega is a statistical arbitrage strategy which identifies perceived mispricings in the VIX term structure. The strategy trades liquid CBOE VIX futures, no options. The addition of the cash management overlay is meant to enhance and smooth returns while offsetting some of the management fees.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Monthly Annual
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Sharpe Ratio: (RF=1%)
Skewness:
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Compound RoR:
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Gain Frequency:
Average Gain:
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Standard Deviation:
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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
-22.79 9 - 11/1/2019 8/1/2020
-14.63 3 9 9/1/2018 12/1/2018
-2.48 4 3 1/1/2018 5/1/2018
-0.02 1 1 9/1/2019 10/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
15.83 7 3/1/2019 9/1/2019
9.23 4 9/1/2020 12/1/2020
6.33 4 6/1/2018 9/1/2018
4.93 3 4/1/2020 6/1/2020
4.05 1 1/1/2019 1/1/2019
3.79 3 11/1/2017 1/1/2018
3.35 1 11/1/2018 11/1/2018
0.86 1 4/1/2018 4/1/2018
0.04 1 11/1/2019 11/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.70 2 7/1/2020 8/1/2020
-13.67 1 10/1/2018 10/1/2018
-9.48 4 12/1/2019 3/1/2020
-4.32 1 12/1/2018 12/1/2018
-1.96 1 5/1/2018 5/1/2018
-1.59 1 2/1/2019 2/1/2019
-1.38 2 2/1/2018 3/1/2018
-0.02 1 10/1/2019 10/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods38.0036.0033.0027.0021.0015.00
Percent Profitable65.7952.7848.4851.8571.4360.00
Average Period Return-0.12-0.36-1.15-1.111.730.38
Average Gain1.884.516.046.285.595.27
Average Loss-3.96-5.81-7.91-9.06-7.91-6.96
Best Period4.948.1612.9517.4313.5710.18
Worst Period-17.55-15.80-20.30-19.65-9.24-18.22
Standard Deviation4.416.468.1010.116.948.09
Gain Standard Deviation1.371.813.826.753.573.40
Loss Standard Deviation5.665.284.146.330.997.57
Sharpe Ratio (1%)-0.05-0.09-0.20-0.210.03-0.20
Average Gain / Average Loss0.470.780.760.690.710.76
Profit / Loss Ratio0.910.870.720.751.771.14
Downside Deviation (10%)4.085.988.0010.828.8612.59
Downside Deviation (5%)3.965.456.698.165.067.16
Downside Deviation (0%)3.935.326.377.574.266.20
Sortino Ratio (10%)-0.13-0.27-0.45-0.56-0.66-0.78
Sortino Ratio (5%)-0.05-0.11-0.25-0.260.04-0.23
Sortino Ratio (0%)-0.03-0.07-0.18-0.150.410.06

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 6 5.71 9/2020
Systematic Trader Index Month 7 5.71 9/2020
IASG CTA Index Month 5 5.71 9/2020
Systematic Trader Index Month 6 5.71 9/2020

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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