Clinamen Financial Group LLC : VIX Portfolio Hedging (VXH) Program - Proprietary

archived programs
Year-to-Date
N / A
Apr Performance
-1.49%
Min Investment
$ 50k
Mgmt. Fee
2.50%
Perf. Fee
5.00%
Annualized Vol
116.28%
Sharpe (RFR=1%)
0.15
CAROR
-16.64%
Assets
$ 47k
Worst DD
-67.03
S&P Correlation
-0.45

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/2010
VIX Portfolio Hedging (VXH) Program - Proprietary -1.49 - - - - - - -35.59
S&P 500 1.81 - - - - - - 164.64
+/- S&P 500 -3.30 - - - - - - -200.24

Strategy Description

Summary

The goal of the VIX Portfolio Hedging (VXH) program is to offer protection to equity and equity index investors against sudden and severe market shocks by investing in short-term futures contracts on the CBOE Volatility Index (VIX). The VIX index is a widely-followed measurement of... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 1.00
Management Fee 2.50%
Performance Fee 5.00%
Average Commission $3.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1100 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 80.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Spreading/hedging
20.00%
Trend-following
80.00%
Strategy Pie Chart

Composition

VIX
80.00%
Other
20.00%
Composition Pie Chart

Summary

The goal of the VIX Portfolio Hedging (VXH) program is to offer protection to equity and equity index investors against sudden and severe market shocks by investing in short-term futures contracts on the CBOE Volatility Index (VIX). The VIX index is a widely-followed measurement of the short-term implied volatility in S&P 500 option prices. Few asset classes exhibited a low or negative correlation to equities during the financial crisis of 2007-2008; volatility was an exception. The VXH program is designed to provide access to long volatility assets as a means of hedging existing equity exposure.

Investment Strategy

The VXH program establishes long positions in VIX futures according to a defined allocation formula, and “rolls” those positions on a monthly basis by selling existing contracts and buying new, longer-dated contracts. The VXH program is not expected to yield meaningful profits in many market environments, and may experience small losses on a regular basis. Profits are achieved when S&P 500 implied volatility rises, which historically has coincided with large and/or sudden declines in equity prices. Because of the expected return profile of the VXH program, it is essential that clients avoid participating in the program on a short-term or ad hoc basis. Clients who participate in the program are strongly urged to do so for a period not less than (3) calendar years. The allocation formula maintains a minimal level of constant volatility exposure but may increase exposure substantially in response to changes in the historical and implied volatility of the S&P 500 index. The allocation formula does not rely on methods such as fundamental analysis or subjective technical analysis (i.e., chart visuals or pattern recognition); the formula relies only on changes in historical and implied volatility.

   

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
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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
-67.03 18 - 10/1/2011 4/1/2013
-43.95 7 1 12/1/2010 7/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
247.81 3 8/1/2011 10/1/2011
24.02 1 5/1/2012 5/1/2012
0.38 1 10/1/2012 10/1/2012
0.22 1 12/1/2010 12/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-49.83 6 11/1/2011 4/1/2012
-43.95 7 1/1/2011 7/1/2011
-30.64 4 6/1/2012 9/1/2012
-23.90 6 11/1/2012 4/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable20.6914.8125.0050.0050.00
Average Period Return1.517.9411.712.33-8.48
Average Gain36.91154.67137.3053.0317.77
Average Loss-8.08-17.58-30.15-48.36-34.73
Best Period167.28247.81178.0588.2824.09
Worst Period-26.30-31.45-49.83-56.68-67.03
Standard Deviation33.5773.4476.4253.3934.79
Gain Standard Deviation65.03111.7935.3314.966.25
Loss Standard Deviation6.388.6010.587.2331.15
Sharpe Ratio (1%)0.040.100.150.02-0.29
Average Gain / Average Loss4.578.804.551.100.51
Profit / Loss Ratio1.251.531.521.100.51
Downside Deviation (10%)9.1719.0129.6238.0436.05
Downside Deviation (5%)8.9518.1928.0035.2332.57
Downside Deviation (0%)8.8917.9827.5934.5331.74
Sortino Ratio (10%)0.120.350.31-0.07-0.45
Sortino Ratio (5%)0.160.420.400.04-0.31
Sortino Ratio (0%)0.170.440.420.07-0.27

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.