Clinamen Financial Group LLC : Volatility Arbitrage Program

archived programs
Year-to-Date
N / A
Apr Performance
4.48%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
26.88%
Sharpe (RFR=1%)
-0.18
CAROR
-7.21%
Assets
$ 610k
Worst DD
-57.11
S&P Correlation
0.18

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
7/2009
Volatility Arbitrage Program 4.48 - - - - - -20.82 -30.34
S&P 500 0.62 - - - - - 70.11 237.04
+/- S&P 500 3.86 - - - - - -90.93 -267.38

Strategy Description

Investment Strategy

The goal of the Volatility Arbitrage program is to provide superior risk-adjusted returns by making investments which the Advisor believes offer significant opportunities for growth and income. The program identifies opportunities for exploiting the differential between... Read More

Account & Fees

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

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1700 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 15.00%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 95.00%
1-30 Days 0%
Intraday 5.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Option-spreads
90.00%
Spreading/hedging
10.00%
Strategy Pie Chart

Composition

Stock Indices
80.00%
Precious Metals
5.00%
Energy
5.00%
Interest Rates
5.00%
VIX
5.00%
Composition Pie Chart

Investment Strategy

The goal of the Volatility Arbitrage program is to provide superior risk-adjusted returns by making investments which the Advisor believes offer significant opportunities for growth and income. The program identifies opportunities for exploiting the differential between present implied and future realized volatility over particular timeframes, and the Advisor uses futures and options on futures to trade these opportunities.

The program establishes market-neutral positions that are net short options on futures. A position is “net short” options when the value of option contracts sold to open is higher than the value of option contracts bought to open, such that the position is opened for an initial credit. The market-neutral orientation of this program signifies that profits are not directly dependent on the price behavior of the underlying; the Advisor does not attempt to forecast price direction. Instead, these positions stand to gain from any of three distinct factors, namely: the natural decay of option premiums over time, a decline in implied volatility from levels at which a position was opened, and/or a lower future realized volatility than the amount implied at the time when a position was opened. Profits are realized when option positions are closed for a price lower than the initial amount of credit received on opening them.

The profitability of any individual position that is net short options is affected to some extent by the price movement of the underlying asset. For instance, if the Advisor sells out of the money calls and buys further out of the money calls on some underlying futures contract, the option position will be maximally profitable if the futures contract is below the strike price of the short calls at expiration. The position will incur its maximum pre-defined loss if the futures contract is above the strike price of the long calls at expiration. During any given short period of time, the program therefore exhibits some path dependency, and clients are advised to commit to participation for at least twelve to eighteen months to avoid unduly magnifying the effects of any ordinary drawdown.

Positions may be allowed to expire worthless to achieve the maximum profit potential or may be closed prior to expiration, depending on the conditions specified by the program. The Advisor may purchase options or employ other hedging strategies to reduce the risk of or to offset existing positions as needed. The Advisor may trade uncovered (“naked”) options as well as spreads of various types, including vertical, calendar, butterfly, condor, ratio, straddle, strangle, and other spreads. The primary underlying assets used are equity index futures, although options on commodity contracts are also employed when called for by the program, including but not limited to Eurodollars, precious metals, corn, crude oil, and coffee. Including assets with low or no correlation to US equity indexes is intended to reduce overall portfolio volatility and provide additional avenues for growth and income. The implementation of the program is driven by analysis of changes in the volatility environment of the underlying. This analysis includes but is not necessarily limited to the relationship between implied and historical volatility over various time periods, volatility forecasting models (e.g. GARCH(1,1), EGARCH, Stochastic), and changes in the term structure of volatility derivatives. Traditional methods such as fundamental or technical analysis may be considered at the Advisor’s discretion on a supplementary basis, although neither approach is necessary for the implementation of the program.

The investment program is designed to be as mechanical as possible. The program is rulebased, and it is estimated that less than 10% of the trading decisions of the program depend on the discretion, skill, or judgment of the Advisor. However, the Advisor’s business plan includes ongoing development and refinement of its programs, so the Advisor retainsthe right to revise any methods, rules, or strategy, including the trading rules employed, commodity interests traded, and/or risk and money management principles used. It may make any such changes without notification or prior approval of any client if it believes such changes are in the best interest of the client. The program is proprietary and confidential, and the descriptions herein are of necessity general and are not intended to be exhaustive. Consequently, you will not be able to determine the full details of the program or whether the program is being followed. There can be no assurance that any trading strategy of the Advisor will produce profits or will not result in losses.

Risk Management

Under normal circumstances, the program is functionally “short” volatility, in that it profits when volatility does not rise dramatically over a short period of time. Such periods of persistently rising volatility are typical of extreme market events and this exposure to rapidly rising volatility is one of the principal risk factors of the program.

The program is not sensitive to market environments in which volatility merely persists at some high level (e.g. most bear markets in US equity indexes), and is actually designed to thrive in such markets. Rather, the primary risk exposure is to some multi-week dramatic rise in volatility such that existing positions are threatened. The Advisor has adopted the following procedures for the purpose of reducing and responding to this risk factor:

1. The use of risk-defined option spreads significantly reduces the impact of extreme market events relative to simple short option positions by defining in advance the amount of capital that may be gained or lost by a given position.

2. The practice of dynamically hedging open positions reduces exposure to directional risk. The Advisor balances the need for dynamic hedging against the increased costs associated with such practices.

3. Time-distributed positions reduce program sensitivity to jump risk: by staggering the entry and exit of positions across time, the program reduces the amount of capital exposed at any one time to an unforeseen swing in market prices.

4. Proprietary market stress models help the Advisor anticipate and identify abnormal market environments. Upon identifying such an environment, the Advisor may reduce in size or offset entirely any open positions. The Advisor may also initiate “long” volatility positions for hedging or speculative purposes when market conditions warrant.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
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Compound RoR:
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Average Gain:
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Risk
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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
-57.11 -1 - 1/1/0001 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
28.51 4 1/1/2013 4/1/2013
26.74 4 9/1/2013 12/1/2013
19.09 3 2/1/2014 4/1/2014
17.44 3 3/1/2011 5/1/2011
16.42 1 7/1/2013 7/1/2013
15.87 2 11/1/2009 12/1/2009
10.03 3 2/1/2012 4/1/2012
7.82 1 8/1/2010 8/1/2010
7.40 1 6/1/2010 6/1/2010
5.13 1 6/1/2012 6/1/2012
3.17 1 12/1/2010 12/1/2010
3.00 3 8/1/2012 10/1/2012
2.79 2 2/1/2010 3/1/2010
1.78 1 11/1/2011 11/1/2011
1.35 1 8/1/2009 8/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-48.55 5 6/1/2011 10/1/2011
-18.26 2 5/1/2013 6/1/2013
-13.10 2 4/1/2010 5/1/2010
-11.82 2 1/1/2011 2/1/2011
-10.93 1 7/1/2009 7/1/2009
-10.46 1 8/1/2013 8/1/2013
-9.36 3 9/1/2010 11/1/2010
-8.56 2 12/1/2011 1/1/2012
-8.07 2 11/1/2012 12/1/2012
-7.79 1 7/1/2010 7/1/2010
-6.78 1 5/1/2012 5/1/2012
-6.00 2 9/1/2009 10/1/2009
-2.92 1 1/1/2014 1/1/2014
-1.37 1 1/1/2010 1/1/2010
-0.87 1 7/1/2012 7/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable53.4551.7952.8342.5529.2720.000.00
Average Period Return-0.31-0.74-2.03-8.55-15.37-25.53-40.78
Average Gain5.159.0610.5914.5825.3334.88
Average Loss-6.59-11.28-16.18-25.68-32.22-40.64-40.78
Best Period16.4221.5634.8038.7947.5147.61-14.84
Worst Period-22.20-45.20-48.99-50.89-52.94-55.77-55.85
Standard Deviation7.7613.4818.6925.0931.5733.4212.07
Gain Standard Deviation4.176.499.7110.9113.8211.38
Loss Standard Deviation5.9510.8016.0017.6318.5813.9512.07
Sharpe Ratio (1%)-0.05-0.07-0.14-0.38-0.53-0.82-3.63
Average Gain / Average Loss0.780.800.650.570.790.86
Profit / Loss Ratio0.900.860.730.420.330.21
Downside Deviation (10%)6.2211.3916.7426.7236.8447.1357.76
Downside Deviation (5%)6.0510.8815.7224.1032.2540.0645.37
Downside Deviation (0%)6.0110.7515.4723.4731.1438.3542.46
Sortino Ratio (10%)-0.12-0.17-0.27-0.51-0.62-0.76-0.98
Sortino Ratio (5%)-0.07-0.09-0.16-0.40-0.52-0.69-0.97
Sortino Ratio (0%)-0.05-0.07-0.13-0.36-0.49-0.67-0.96

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.