Coloma Capital Futures(r), LLC : Coloma Hedged Volatility Strategy (Prop)

archived programs
Year-to-Date
N / A
Jul Performance
1.50%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.26%
Sharpe (RFR=1%)
1.20
CAROR
9.91%
Assets
$ 5.5M
Worst DD
-6.55
S&P Correlation
0.15

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
5/2013
Coloma Hedged Volatility Strategy (Prop) 1.50 - - - - - - 23.68
S&P 500 1.97 - - - - - - 112.46
+/- S&P 500 -0.47 - - - - - - -88.78

Strategy Description

Summary

The Coloma Volatility strategy seeks to generate returns by trading mispricing of the VIX futures. This prop return series is no longer being updated as the client series speaks for itself. However, as the prop series starts before the client series, interested parties can check... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 2.50
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 800 RT/YR/$M
Avg. Margin-to-Equity 13%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 6.60%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 1.00%
Systematic 99.00%

Strategy

Fundamental
50.00%
Spreading/hedging
50.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
VIX
50.00%
Composition Pie Chart

Summary

The Coloma Volatility strategy seeks to generate returns by trading mispricing of the VIX futures. This prop return series is no longer being updated as the client series speaks for itself. However, as the prop series starts before the client series, interested parties can check the first months to extend their return analysis.

Investment Strategy

The quantitative model generates long or short (or no) positions in VIX futures based on a proprietary valuation process. The position is then paired with a market hedge to lower return volatility.

Risk Management

The model has a number of parameters such as hard limits on the size of the VIX futures and hedge positions as well as a daily review for adjusting the hedge.

   

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
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
-6.55 8 7 7/1/2013 3/1/2014
-3.37 3 1 10/1/2014 1/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
16.14 6 2/1/2015 7/1/2015
9.48 3 5/1/2013 7/1/2013
5.49 3 4/1/2014 6/1/2014
4.51 2 9/1/2014 10/1/2014
1.00 1 11/1/2013 11/1/2013
0.30 1 9/1/2013 9/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.53 4 12/1/2013 3/1/2014
-3.37 3 11/1/2014 1/1/2015
-2.40 1 10/1/2013 10/1/2013
-2.29 2 7/1/2014 8/1/2014
-1.00 1 8/1/2013 8/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable59.2664.0063.6481.2590.00
Average Period Return0.812.133.175.287.78
Average Gain2.234.766.627.108.95
Average Loss-1.25-2.56-2.86-2.64-2.73
Best Period4.8010.8516.1415.7618.47
Worst Period-2.40-4.43-5.89-2.80-2.73
Standard Deviation2.104.335.956.646.77
Gain Standard Deviation1.442.964.385.996.02
Loss Standard Deviation0.681.102.240.20
Sharpe Ratio (1%)0.350.430.450.640.93
Average Gain / Average Loss1.791.862.312.693.28
Profit / Loss Ratio2.603.314.0511.6629.54
Downside Deviation (10%)1.132.363.463.914.40
Downside Deviation (5%)0.941.792.391.581.37
Downside Deviation (0%)0.901.662.141.150.86
Sortino Ratio (10%)0.360.380.200.070.04
Sortino Ratio (5%)0.771.051.122.714.57
Sortino Ratio (0%)0.901.281.484.619.02

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.