Coloma Capital Futures(r), LLC : Hedged Volatility Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 16.97% Sep Performance 3.10% Min Investment $ 250k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 9.35% Sharpe (RFR=1%) 0.15 CAROR 2.03% Assets $ 2.8M Worst DD -20.50 S&P Correlation -0.15 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since5/2013 Hedged Volatility Strategy 3.10 0.43 -16.97 -11.74 -11.26 -7.54 - 16.06 S&P 500 -3.92 8.47 4.09 12.98 32.33 73.37 - 104.13 +/- S&P 500 7.02 -8.04 -21.06 -24.72 -43.59 -80.91 - -88.07 Strategy Description SummaryThe Coloma Volatility strategy seeks to generate returns by trading mispricing of the VIX futures. NB Monthly returns from 5/10/13 to 7/17/13 were based on Non-Customer accounts on a pro forma basis with 2/20 fees and actual commissions per trade per contract applied.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 $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1000 RT/YR/$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 5.00% Systematic 95.00% Strategy Fundamental 50.00% Spreading/hedging 50.00% Composition Stock Indices 50.00% VIX 50.00% SummaryThe Coloma Volatility strategy seeks to generate returns by trading mispricing of the VIX futures. NB Monthly returns from 5/10/13 to 7/17/13 were based on Non-Customer accounts on a pro forma basis with 2/20 fees and actual commissions per trade per contract applied.Investment StrategyThe 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 ManagementThe 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. 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 -20.50 6 - 2/1/2020 8/1/2020 -9.67 2 12 8/1/2015 10/1/2015 -7.87 7 18 1/1/2018 8/1/2018 -6.46 7 8 7/1/2013 2/1/2014 -6.46 3 7 3/1/2017 6/1/2017 -3.49 2 3 10/1/2016 12/1/2016 -2.98 3 1 10/1/2014 1/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 25.14 7 2/1/2015 8/1/2015 10.77 4 7/1/2016 10/1/2016 9.37 3 5/1/2013 7/1/2013 7.41 2 12/1/2017 1/1/2018 5.99 3 1/1/2017 3/1/2017 5.51 2 4/1/2019 5/1/2019 5.49 3 4/1/2014 6/1/2014 5.26 2 9/1/2018 10/1/2018 4.41 2 9/1/2014 10/1/2014 3.64 4 7/1/2017 10/1/2017 3.30 1 12/1/2019 12/1/2019 3.10 2 9/1/2019 10/1/2019 3.10 1 9/1/2020 9/1/2020 3.10 1 5/1/2016 5/1/2016 2.80 1 11/1/2015 11/1/2015 1.91 2 2/1/2016 3/1/2016 1.70 1 12/1/2018 12/1/2018 1.40 1 2/1/2020 2/1/2020 1.00 1 11/1/2013 11/1/2013 0.40 2 5/1/2018 6/1/2018 0.40 1 9/1/2013 9/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -20.50 6 3/1/2020 8/1/2020 -9.67 2 9/1/2015 10/1/2015 -6.97 3 6/1/2019 8/1/2019 -6.46 3 4/1/2017 6/1/2017 -5.04 2 7/1/2018 8/1/2018 -4.70 1 6/1/2016 6/1/2016 -4.53 4 12/1/2013 3/1/2014 -3.49 2 11/1/2016 12/1/2016 -3.37 3 2/1/2018 4/1/2018 -3.07 3 1/1/2019 3/1/2019 -2.98 3 11/1/2014 1/1/2015 -2.40 1 10/1/2013 10/1/2013 -2.19 2 7/1/2014 8/1/2014 -1.80 2 12/1/2015 1/1/2016 -1.10 1 11/1/2018 11/1/2018 -1.00 1 4/1/2016 4/1/2016 -1.00 1 8/1/2013 8/1/2013 -0.80 1 11/1/2017 11/1/2017 -0.10 1 1/1/2020 1/1/2020 -0.10 1 11/1/2019 11/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods89.0087.0084.0078.0072.0066.0054.0042.0030.00 Percent Profitable51.6956.3261.9073.0880.5681.8283.3385.7186.67 Average Period Return0.200.481.013.285.808.5012.8417.2421.38 Average Gain2.223.844.756.368.9611.9416.7821.2926.03 Average Loss-2.00-3.85-5.07-5.10-7.28-6.97-6.90-7.11-8.84 Best Period8.5010.9019.2926.7630.7926.2933.9536.8536.80 Worst Period-6.20-14.27-20.50-16.24-16.48-15.86-13.06-13.12-15.88 Standard Deviation2.704.906.607.529.0410.3412.1113.0614.07 Gain Standard Deviation1.762.824.055.586.487.578.808.837.63 Loss Standard Deviation1.643.365.285.445.816.044.474.724.80 Sharpe Ratio (1%)0.040.050.080.300.480.630.811.011.16 Average Gain / Average Loss1.111.000.941.251.231.712.432.992.94 Profit / Loss Ratio1.221.291.523.385.107.7112.1617.9719.14 Downside Deviation (10%)2.004.025.696.227.548.6410.6612.4714.92 Downside Deviation (5%)1.813.494.704.204.604.564.424.535.35 Downside Deviation (0%)1.773.364.483.824.053.863.303.143.57 Sortino Ratio (10%)-0.10-0.19-0.26-0.28-0.24-0.20-0.27-0.35-0.42 Sortino Ratio (5%)0.070.070.110.540.941.422.222.913.04 Sortino Ratio (0%)0.110.140.220.861.432.203.895.485.99 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 7 1.40 2/2020 Stock Index Trader Index Month 2 3.30 12/2019 Stock Index Trader Index Month 4 3.00 10/2019 IASG CTA Index Month 10 3.00 10/2019 Systematic Trader Index Month 10 5.30 5/2019 Stock Index Trader Index Month 2 5.30 5/2019 Stock Index Trader Index Month 4 1.70 12/2018 Stock Index Trader Index Month 4 3.70 10/2018 Systematic Trader Index Month 10 3.70 10/2018 Stock Index Trader Index Month 7 1.50 9/2018 Stock Index Trader Index Month 1 5.30 1/2018 Stock Index Trader Index Month 5 2.00 12/2017 Stock Index Trader Index Month 7 1.60 10/2017 Stock Index Trader Index Month 6 2.30 3/2017 Stock Index Trader Index Month 4 3.40 1/2017 Systematic Trader Index Month 10 3.40 1/2017 IASG CTA Index Month 9 4.30 9/2016 Systematic Trader Index Month 7 4.30 9/2016 Stock Index Trader Index Month 3 4.30 9/2016 Systematic Trader Index Month 4 2.70 8/2016 Stock Index Trader Index Month 5 2.70 8/2016 Stock Index Trader Index Month 4 3.10 7/2016 Stock Index Trader Index Month 4 3.10 5/2016 IASG CTA Index Month 8 3.10 5/2016 Systematic Trader Index Month 8 3.10 5/2016 Stock Index Trader Index Month 5 1.30 3/2016 Stock Index Trader Index Month 5 2.80 11/2015 Systematic Trader Index Month 5 8.50 8/2015 Stock Index Trader Index Month 2 8.50 8/2015 Stock Index Trader Index Month 4 3.90 4/2015 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel