Cohalo Advisory LLC : Cohalo Dynamic Volatility Strategies - Futures

Year-to-Date
11.99%
Apr Performance
2.47%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.69%
Sharpe (RFR=1%)
2.54
CAROR
-
Assets
$ 428k
Worst DD
-1.36
S&P Correlation
0.27

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
9/2020
Cohalo Dynamic Volatility Strategies - Futures 2.47 10.66 11.99 - - - - 12.49
S&P 500 5.24 16.22 14.93 - - - - 28.36
+/- S&P 500 -2.77 -5.56 -2.94 - - - - -15.88

Strategy Description

Summary

The Cohalo Dynamic Volatility Strategies - Futures program is a futures trading program incorporating elements of systematic and discretionary trading, based on instruments and industry knowledge utilized by the Trading Principal. The program will primarily take long and short positions... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 1.50
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $1.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -15.00%
Worst Peak-to-Trough -1.36%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 50.00%
1-30 Days 50.00%
Intraday 0%

Decision-Making

Discretionary 35.00%
Systematic 65.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

The Cohalo Dynamic Volatility Strategies - Futures program is a futures trading program incorporating elements of systematic and discretionary trading, based on instruments and industry knowledge utilized by the Trading Principal. The program will primarily take long and short positions on the VIX futures curve.

* Returns from September 1 2020 to December 31 2020 are fully funded proprietary account results, adjusted to reflect pro forma fees of 1% management and 20% performance. Customer composite began January 2021. All returns shown are net of fees, commissions, and related accruals and represent the composite performance of individual managed accounts using the OAT method of performance accounting.

The manager also operates a securities-based implementation of the flagship strategy with an inception of July 2018 that achieved attractive performance through the inception of this futures-based implementation. Tracking error between the implementation methods is expected to be minimal. Please contact the manager for more details.

Investment Strategy

DVS-Futures is underpinned by persistently divergent equity volatility expectations (both under/over-priced) and resulting risk premiums, seeking to capitalize on acute and extended mispricings by employing a disciplined process of dynamic exposure in both direction and degree to listed volatility futures. Notably, the strategy is agnostic to VIX levels, and the expected correlation to VIX is zero.

Risk Management

DVS-Futures uses both systematic and discretionary elements to manage the net direction and degree of exposure taken, with related processes designed to mitigate the inherently negative elements of both short and long-biased positions in volatility (i.e., blow-ups and bleed-outs).

   

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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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
-1.36 1 3 9/1/2020 10/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
12.45 6 11/1/2020 4/1/2021
1.41 1 9/1/2020 9/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.36 1 10/1/2020 10/1/2020
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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.