Corepoint Capital AG : EDGE - Tail Risk Protection

archived programs
Year-to-Date
N / A
Jun Performance
-0.10%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.05%
Sharpe (RFR=0.50%)
0.77
CAROR
-
Assets
$ 35.0M
Worst DD
-10.26
S&P Correlation
0.56

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
12/2011
EDGE - Tail Risk Protection -0.10 0.09 - -3.02 - - - 18.96
S&P 500 -1.50 2.36 - 17.92 - - - 27.73
+/- S&P 500 1.40 -2.27 - -20.94 - - - -8.77

Strategy Description

Summary

Volatility can be used not only to mitigate tail risk when equity markets sell-off, but also to provide absolute returns in times of low volatility. Investors’ Objectives:  Absolute return with equity like downside volatility  Protection of equity and bond portfolios during extreme... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
2.00
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
7-14 Days
Investor Requirements
Any Investor
Lock-up Period
1

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
-35.00%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
25.00%
1-30 Days
75.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
50.00%
Technical
20.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

VIX
80.00%
Other
20.00%
Composition Pie Chart

Summary

Volatility can be used not only to mitigate tail risk when equity markets sell-off, but also to provide absolute returns in times of low volatility. Investors’ Objectives:  Absolute return with equity like downside volatility  Protection of equity and bond portfolios during extreme events  No timing needed  Daily liquidity

Investment Strategy

EDGE - Tail Risk Protection fund is designed as an absolute return product for investors that can accept some downside volatility or as a fixed allocation to risk seeking portfolios. In events of sharp equity market declines and rising volatility, EDGE helps to protect the investor from extensive losses. In sideways to rising equity markets EDGE should modestly gain.
The performance of EDGE is based on long and short exposures to volatility futures on the S&P500 and Euro Stoxx 50. Through proprietary quantitative methods EDGE is designed to detect the three main market regimes of volatility:
   (1). longer periods of sideways to slowly falling volatility
   (2). followed by sharp spikes
   (3). followed by slowly to a lower mean level reverting volatility
The positioning of EDGE depends on the prevailing regime:
   (1) neutral to small long bias to volatility
   (2) building up long bias by reducing short exposures
   (3) reducing long bias by building up short exposure

Risk Management

The strategy has performance contribution only through two components:
  (1) Short exposure to short-term volatility
  (2) Long exposure to mid-term volatility
The graph below shows the historic performance attribution of the two components:
Corepoint

The comfort of the investor it should be noted that:
  (1) All larger negative returns from the short exposure are covered by positive returns from the long exposure, i.e. no major returns in the lower left quadrant
  (2) Largest positive and negative returns occur only with net long exposure, i.e. just like standard long-volatility products
  (3) Smaller negative long-term returns go hand in with positive short returns, i.e. the positive carry income

   

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:
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Reward/Risk
Sharpe Ratio: (RF=0.50%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=0.50%)
Skewness:
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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
-10.26 6 - 8/1/2012 2/1/2013
-7.50 2 1 3/1/2012 5/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
21.21 4 12/1/2011 3/1/2012
14.35 3 6/1/2012 8/1/2012
3.40 1 5/1/2013 5/1/2013
3.30 1 3/1/2013 3/1/2013
2.10 1 11/1/2012 11/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.50 2 4/1/2012 5/1/2012
-7.44 3 12/1/2012 2/1/2013
-5.04 2 9/1/2012 10/1/2012
-3.10 1 4/1/2013 4/1/2013
-0.10 1 6/1/2013 6/1/2013
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable52.6352.9450.0050.00
Average Period Return1.012.111.984.69
Average Gain4.267.178.8312.32
Average Loss-2.61-3.59-4.86-2.95
Best Period10.3019.0717.8324.30
Worst Period-6.00-7.44-10.26-3.45
Standard Deviation4.357.708.2410.65
Gain Standard Deviation3.157.285.3310.42
Loss Standard Deviation1.842.183.050.69
Sharpe Ratio (1%)0.210.240.180.35
Average Gain / Average Loss1.632.001.814.18
Profit / Loss Ratio1.812.251.814.18
Downside Deviation (10%)2.403.605.565.78
Downside Deviation (5%)2.212.984.292.82
Downside Deviation (0%)2.162.833.982.13
Sortino Ratio (10%)0.250.24-0.09-0.05
Sortino Ratio (5%)0.420.620.351.31
Sortino Ratio (0%)0.470.740.502.20

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.