Deep Field Capital AG : Intraday Convexity Capture (ICC) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.94% Jun Performance 0.02% Min Investment $ 2,000k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 3.90% Sharpe (RFR=1%) 0.04 CAROR 1.07% Assets $ 0k Worst DD -5.07 S&P Correlation -0.05 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since7/2019 Intraday Convexity Capture (ICC) 0.02 -0.12 -0.94 -3.27 - - - 2.15 S&P 500 2.22 8.17 18.13 43.11 - - - 52.26 +/- S&P 500 -2.20 -8.29 -19.07 -46.38 - - - -50.11 Strategy Description SummaryICC is a pure intraday program taking directional long or short positions in the US VIX futures. It is built on the architecture and proven alpha drivers of the Intraday Crisis Alpha (ICA) Program, also targeting intraday equity momentum to the upside as well as downside but is further... Read More Account & Fees Type Managed Account Minimum Investment $ 2,000k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 4.00 Management Fee 1.00% Performance Fee 25.00% Average Commission Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1200 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Momentum 100.00% Composition VIX 100.00% SummaryICC is a pure intraday program taking directional long or short positions in the US VIX futures. It is built on the architecture and proven alpha drivers of the Intraday Crisis Alpha (ICA) Program, also targeting intraday equity momentum to the upside as well as downside but is further equipped to benefit from the specific characteristics of the VIX futures. Investment StrategyICC is a pure intraday program taking directional long or short positions in the US VIX futures. It is built on the architecture and proven alpha drivers of the Intraday Crisis Alpha (ICA) Program, also targeting intraday equity momentum to the upside as well as downside but is further equipped to benefit from the specific characteristics of the VIX futures. ICC is framed by a dynamic risk management framework utilizing the proprietary qualifiers’ strength of evaluating intraday moves in real-time, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. It can react quicker to short-term shifts in market trends than traditional volatility strategies and has historically shown a desirable return convexity / long volatility profile together with positively skewed and positive returns on equity up and down days. 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 -5.07 13 - 4/1/2020 5/1/2021 -1.28 1 1 11/1/2019 12/1/2019 -0.63 1 1 1/1/2020 2/1/2020 Show More Consecutive Gains Run-up Length (Mos.) Start End 5.47 5 7/1/2019 11/1/2019 1.98 1 1/1/2020 1/1/2020 1.96 2 3/1/2020 4/1/2020 1.14 1 6/1/2020 6/1/2020 0.81 1 2/1/2021 2/1/2021 0.22 1 12/1/2020 12/1/2020 0.16 1 10/1/2020 10/1/2020 0.02 1 6/1/2021 6/1/2021 0.01 1 8/1/2020 8/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -2.48 1 9/1/2020 9/1/2020 -1.83 1 5/1/2020 5/1/2020 -1.28 1 12/1/2019 12/1/2019 -1.23 3 3/1/2021 5/1/2021 -1.14 1 7/1/2020 7/1/2020 -0.63 1 2/1/2020 2/1/2020 -0.54 1 1/1/2021 1/1/2021 -0.25 1 11/1/2020 11/1/2020 Show More 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. x {{title}} x {{title}} Add Cancel