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

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

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Year-to-Date
1.10%
Feb Performance
1.20%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.72%
Sharpe (RFR=1%)
0.51
CAROR
5.19%
Assets
$ 9.0M
Worst DD
-9.67
S&P Correlation
-0.13
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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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
5/2013
Hedged Volatility Strategy 1.20 4.44 1.10 4.85 5.48 25.98 - 41.31
S&P 500 -8.41 -5.95 -8.56 6.09 23.71 38.95 - 79.32
+/- S&P 500 9.61 10.38 9.66 -1.24 -18.23 -12.97 - -38.01

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.

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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%
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. 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 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.

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
-9.67 2 12 8/1/2015 10/1/2015
-7.87 7 - 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
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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 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
1.20 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
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Consecutive Losses

Run-up Length (Mos.) Start End
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods82.0080.0077.0071.0065.0059.0047.0035.00
Percent Profitable54.8860.0066.2378.8787.6991.5395.7497.14
Average Period Return0.451.242.164.657.6010.7915.9821.49
Average Gain2.193.914.796.469.0811.9416.7822.17
Average Loss-1.71-2.76-3.00-2.09-3.02-1.66-2.05-1.83
Best Period8.5010.9019.2926.7630.7926.2933.9536.85
Worst Period-6.20-7.14-8.26-4.29-6.17-3.24-2.53-1.83
Standard Deviation2.524.105.116.097.288.199.439.07
Gain Standard Deviation1.782.814.085.586.477.578.818.24
Loss Standard Deviation1.411.812.091.251.651.130.69
Sharpe Ratio (1%)0.150.240.320.600.841.071.371.92
Average Gain / Average Loss1.281.421.593.093.017.198.2012.13
Profit / Loss Ratio1.602.123.1311.5421.4677.66184.49412.56
Downside Deviation (10%)1.682.773.463.824.725.346.516.68
Downside Deviation (5%)1.502.212.361.531.691.151.121.00
Downside Deviation (0%)1.462.082.111.111.190.570.430.31
Sortino Ratio (10%)0.030.01-0.09-0.090.000.100.03-0.01
Sortino Ratio (5%)0.250.450.702.383.607.6111.5217.51
Sortino Ratio (0%)0.310.601.024.206.3919.0836.8269.57

Top Performer Badges

Index Award Type Rank Performance Period
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 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.

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