Certeza Asset Management : Macro Vega Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 17.39% Sep Performance 4.94% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 15.86% Sharpe (RFR=1%) -0.25 CAROR -4.17% Assets $ 29.0M Worst DD -22.79 S&P Correlation 0.24 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since11/2017 Macro Vega Fund 4.94 -14.69 -17.39 -18.96 - - - -8.55 S&P 500 -3.92 8.47 4.09 12.98 - - - 30.09 +/- S&P 500 8.86 -23.16 -21.48 -31.93 - - - -38.64 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 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% 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 StrategyThe 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. 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 -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 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.83 7 3/1/2019 9/1/2019 6.33 4 6/1/2018 9/1/2018 4.94 1 9/1/2020 9/1/2020 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods35.0033.0030.0024.0018.00 Percent Profitable62.8651.5253.3358.3383.33 Average Period Return-0.24-0.42-0.310.593.35 Average Gain1.954.306.046.285.59 Average Loss-3.96-5.44-7.58-7.39-7.84 Best Period4.946.9712.9517.4313.57 Worst Period-17.55-15.80-20.30-19.65-9.24 Standard Deviation4.586.228.039.406.10 Gain Standard Deviation1.431.683.826.753.57 Loss Standard Deviation5.665.224.516.231.41 Sharpe Ratio (1%)-0.07-0.11-0.10-0.040.30 Average Gain / Average Loss0.490.790.800.850.71 Profit / Loss Ratio0.830.840.911.193.56 Downside Deviation (10%)4.255.837.499.127.14 Downside Deviation (5%)4.135.306.276.623.85 Downside Deviation (0%)4.105.175.976.113.24 Sortino Ratio (10%)-0.15-0.28-0.37-0.48-0.59 Sortino Ratio (5%)-0.08-0.13-0.13-0.060.48 Sortino Ratio (0%)-0.06-0.08-0.050.101.04 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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