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

Year-to-Date: 20.40%
Dec Performance: -2.60%

Min Investment: $ 250k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 9.30%
Sharpe (RFR=1%): 0.11
CAROR: 1.63%

Assets: $ 2.8M
Worst DD: -20.50
S&P Correlation: -0.13

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2020	1yr	3yr	5yr	10yr	Since 5/2013
Hedged Volatility Strategy	-2.60	-2.44	-20.40	-18.99	-15.78	-8.78	-	15.70
S&P 500	3.71	11.69	16.26	16.26	40.48	81.90	-	127.99
+/- S&P 500	-6.31	-14.12	-36.66	-35.25	-56.26	-90.68	-	-112.29

Strategy Description

Summary

The 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.

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%

Summary

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.

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Index: Chart Type:

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:

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

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
1.90	1	11/1/2020	11/1/2020
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

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
-2.60	1	12/1/2020	12/1/2020
-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
-1.70	1	10/1/2020	10/1/2020
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	92.00	90.00	87.00	81.00	75.00	69.00	57.00	45.00	33.00
Percent Profitable	51.09	55.56	59.77	71.60	77.33	78.26	78.95	80.00	78.79
Average Period Return	0.17	0.50	0.83	2.53	4.69	6.96	10.55	13.99	17.50
Average Gain	2.21	3.25	4.12	5.58	8.04	10.72	15.01	19.09	23.56
Average Loss	-2.00	-2.95	-4.05	-5.40	-6.73	-7.02	-6.18	-6.40	-5.02
Best Period	8.50	9.62	16.16	23.08	26.93	23.32	30.05	32.39	33.40
Worst Period	-6.20	-11.31	-16.30	-14.99	-13.85	-13.98	-12.02	-11.08	-11.61
Standard Deviation	2.68	3.97	5.48	6.96	8.42	9.66	11.31	12.56	13.23
Gain Standard Deviation	1.75	2.39	3.46	4.97	5.85	6.79	7.88	7.80	6.43
Loss Standard Deviation	1.61	2.60	4.13	5.06	5.15	5.22	4.11	4.13	3.12
Sharpe Ratio (1%)	0.03	0.06	0.06	0.22	0.38	0.51	0.66	0.79	0.94
Average Gain / Average Loss	1.10	1.10	1.02	1.03	1.19	1.53	2.43	2.98	4.69
Profit / Loss Ratio	1.18	1.38	1.51	2.73	4.07	5.88	9.11	11.93	17.42
Downside Deviation (10%)	2.00	3.28	4.92	6.34	7.77	9.07	11.52	14.13	16.46
Downside Deviation (5%)	1.81	2.74	3.87	4.22	4.59	4.67	4.60	4.99	4.86
Downside Deviation (0%)	1.77	2.61	3.64	3.81	3.99	3.89	3.36	3.35	2.67
Sortino Ratio (10%)	-0.12	-0.22	-0.33	-0.39	-0.37	-0.36	-0.45	-0.54	-0.62
Sortino Ratio (5%)	0.05	0.09	0.09	0.36	0.69	1.06	1.63	1.99	2.55
Sortino Ratio (0%)	0.10	0.19	0.23	0.66	1.17	1.79	3.14	4.18	6.56

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Stock Index Trader Index	Month	4	3.10	9/2020
Stock Index Trader Index	Month	4	3.10	9/2020
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
Systematic Trader Index	Month	10	3.40	1/2017
Stock Index Trader Index	Month	4	3.40	1/2017
Stock Index Trader Index	Month	3	4.30	9/2016
Systematic Trader Index	Month	7	4.30	9/2016
IASG CTA Index	Month	9	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.

^#4

Top Performer

STOCK INDEX TRADER INDEX

SEPTEMBER
2020

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More Programs by Coloma Capital Futures(r), LLC

Program Name	CAROR
Hedged Volatility Strategy	1.63%
Coloma Commodity Strategy	1.09%

IASG Activity

Blends 29
Portfolios 8
Watchlists 15

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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