Deep Field Capital AG : Systematic Volatility Arbitrage Program (VolArb) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 2.75% Sep Performance 1.15% Min Investment $ 1,500k Mgmt. Fee 2.00% Perf. Fee 25.00% Annualized Vol 14.37% Sharpe (RFR=1%) 0.61 CAROR 9.10% Assets $ 22.0M Worst DD -22.63 S&P Correlation 0.03 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since12/2014 Systematic Volatility Arbitrage Program (VolArb) 1.15 2.20 -2.75 -12.55 8.87 31.28 - 81.28 S&P 500 -4.76 0.37 18.56 32.42 52.81 103.30 - 114.10 +/- S&P 500 5.91 1.83 -21.32 -44.97 -43.94 -72.02 - -32.81 Strategy Description SummarySystematic Volatility Arbitrage employs a multi-strategy approach in the equity index volatility market. ... Read More Account & Fees Type Managed Account Minimum Investment $ 1,500k Trading Level Incremental Increase $ 0k CTA Max Funding Factor 3.00 Management Fee 2.00% 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 7000 RT/YR/$M Avg. Margin-to-Equity 4% Targeted Worst DD -20.00% Worst Peak-to-Trough -12.48% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 48.00% Intraday 52.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Arbitrage 100.00% Composition Stock Indices 50.00% VIX 50.00% SummarySystematic Volatility Arbitrage employs a multi-strategy approach in the equity index volatility market. Investment StrategyThe Systematic Volatility Arbitrage (VolArb) strategy takes a multi-strategy approach in the equity index volatility market. It trades (1) market neutral calendar spreads in VIX Index futures and (2) VIX Index futures versus the S&P 500 Index futures to arbitrage the equity market volatility risk premium. Additionally, it takes directional intraday momentum trades in equity index futures (3) and VIX Index futures (4). The investment process is systematic and based on Deep Field Capital’s proprietary volatility estimation model, taking into consideration the volatility surface and VIX Index term-structure. Order execution is fully systematic and automated. The strategy is available via a SMA and other structures upon request.Risk ManagementVolArb´s investment strategies are fully automated and model-based. Risk management procedures are implemented into trading strategies via clearly defined, programmed trading rules and limits that are automatically monitored and executed in real-time. All trading rules are frequently re-evaluated, to minimize various risks such as breach of guidelines, portfolio minimum standards, market illiquidity and impact, trade failure, technical breakdown, etc. 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 -22.63 7 - 6/1/2020 1/1/2021 -12.26 4 7 3/1/2017 7/1/2017 -8.32 6 3 7/1/2015 1/1/2016 -5.37 1 3 5/1/2016 6/1/2016 -5.05 10 2 10/1/2018 8/1/2019 -4.94 1 3 11/1/2019 12/1/2019 -1.51 1 2 7/1/2018 8/1/2018 -0.90 1 2 3/1/2015 4/1/2015 -0.18 1 1 10/1/2016 11/1/2016 Show More Consecutive Gains Run-up Length (Mos.) Start End 28.75 4 2/1/2016 5/1/2016 27.50 6 2/1/2018 7/1/2018 25.70 6 1/1/2020 6/1/2020 13.77 4 7/1/2016 10/1/2016 13.71 3 9/1/2019 11/1/2019 8.22 4 12/1/2014 3/1/2015 5.66 4 12/1/2016 3/1/2017 5.65 1 2/1/2021 2/1/2021 4.58 1 7/1/2021 7/1/2021 3.39 2 9/1/2018 10/1/2018 2.89 2 9/1/2015 10/1/2015 2.56 3 8/1/2017 10/1/2017 1.43 2 6/1/2019 7/1/2019 1.42 3 5/1/2015 7/1/2015 1.36 1 12/1/2017 12/1/2017 1.15 1 9/1/2021 9/1/2021 1.04 1 8/1/2020 8/1/2020 0.83 2 2/1/2019 3/1/2019 0.24 1 12/1/2015 12/1/2015 0.23 1 4/1/2021 4/1/2021 0.13 1 6/1/2017 6/1/2017 Show More Consecutive Losses Run-up Length (Mos.) Start End -22.52 5 9/1/2020 1/1/2021 -8.29 1 8/1/2015 8/1/2015 -7.23 2 4/1/2017 5/1/2017 -5.55 1 7/1/2017 7/1/2017 -5.37 1 6/1/2016 6/1/2016 -4.94 1 12/1/2019 12/1/2019 -3.39 1 8/1/2021 8/1/2021 -2.97 1 8/1/2019 8/1/2019 -2.43 1 1/1/2016 1/1/2016 -2.23 3 11/1/2018 1/1/2019 -2.14 2 4/1/2019 5/1/2019 -1.51 1 8/1/2018 8/1/2018 -1.42 1 1/1/2018 1/1/2018 -1.23 2 5/1/2021 6/1/2021 -1.17 1 7/1/2020 7/1/2020 -0.90 1 4/1/2015 4/1/2015 -0.66 1 11/1/2015 11/1/2015 -0.18 1 11/1/2016 11/1/2016 -0.09 1 3/1/2021 3/1/2021 -0.06 1 11/1/2017 11/1/2017 Show More Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 3 4.58 7/2021 Systematic Trader Index Month 10 4.58 7/2021 Stock Index Trader Index Month 3 5.65 2/2021 Stock Index Trader Index Month 3 5.65 2/2021 Stock Index Trader Index Month 3 5.65 2/2021 Stock Index Trader Index Month 3 5.65 2/2021 IASG CTA Index 5 Year 10 82.42 2015 - 2020 IASG CTA Index Month 7 5.46 6/2020 Systematic Trader Index Month 5 5.46 6/2020 Stock Index Trader Index Month 3 5.46 6/2020 Stock Index Trader Index Month 3 7.52 4/2020 Systematic Trader Index Month 4 7.52 4/2020 IASG CTA Index Month 5 7.52 4/2020 Systematic Trader Index Month 4 7.52 4/2020 IASG CTA Index Month 5 7.52 4/2020 Stock Index Trader Index Month 3 7.52 4/2020 Stock Index Trader Index Month 9 7.09 3/2020 Stock Index Trader Index Month 6 4.07 2/2020 IASG CTA Index 5 Year 6 80.33 2014 - 2019 Stock Index Trader Index Month 1 5.55 11/2019 IASG CTA Index Month 2 5.55 11/2019 Systematic Trader Index Month 2 5.55 11/2019 Stock Index Trader Index Month 2 3.21 10/2019 IASG CTA Index Month 7 3.21 10/2019 Systematic Trader Index Month 7 3.21 10/2019 IASG CTA Index Month 6 4.92 9/2019 Stock Index Trader Index Month 3 4.92 9/2019 Systematic Trader Index Month 4 4.92 9/2019 Stock Index Trader Index Month 6 1.28 7/2019 IASG CTA Index Annual 3 28.10 2018 IASG CTA Index 3 Year 3 69.71 2015 - 2018 Stock Index Trader Index Month 7 2.82 10/2018 Stock Index Trader Index Month 5 1.93 9/2018 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