Clinamen Financial Group LLC : VIX Portfolio Hedging (VXH) Program - Proprietary Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since12/2010 VIX Portfolio Hedging (VXH) Program - Proprietary -1.49 - - - - - -18.59 -35.59 S&P 500 1.81 - - - - - 74.20 222.78 +/- S&P 500 -3.30 - - - - - -92.80 -258.37 Strategy Description SummaryThe 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% Composition VIX 80.00% Other 20.00% SummaryThe 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 StrategyThe 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. 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 -67.03 18 - 10/1/2011 4/1/2013 -43.95 7 1 12/1/2010 7/1/2011 Show More 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 Show More 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 Show More 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. 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