Deep Field Capital AG : Intraday Convexity Capture (ICC)

Year-to-Date
4.99%
Oct Performance
1.77%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
2.35%
Sharpe (RFR=1%)
5.85
CAROR
-
Assets
$ 11.0M
Worst DD
N/A
S&P Correlation
-0.48

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2019
Intraday Convexity Capture (ICC) 1.77 4.03 4.99 - - - - 4.99
S&P 500 2.04 1.92 21.16 - - - - 1.92
+/- S&P 500 -0.27 2.11 -16.17 - - - - 3.08

Strategy Description

Summary

ICC 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
$ 500k
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%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

ICC 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 Strategy

ICC 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.

   

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
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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

Consecutive Gains

Run-up Length (Mos.) Start End
4.99 4 7/1/2019 10/1/2019
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Consecutive Losses

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

 1 Month
Number of Periods4.00
Percent Profitable100.00
Average Period Return1.23
Average Gain1.23
Average Loss
Best Period1.80
Worst Period0.41
Standard Deviation0.68
Gain Standard Deviation0.68
Loss Standard Deviation
Sharpe Ratio (1%)1.69
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)
Downside Deviation (5%)
Downside Deviation (0%)
Sortino Ratio (10%)
Sortino Ratio (5%)
Sortino Ratio (0%)

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.