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/ Deep Field Capital AG / Systematic Volatility Arbitrage Program (VolArb)

Deep Field Capital AG : Systematic Volatility Arbitrage Program (VolArb)

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Year-to-Date
6.80%
Dec Performance
-3.03%
Min Investment
$ 1,500k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
14.35%
Sharpe (RFR=1%)
0.71
CAROR
10.78%
Assets
$ 35.0M
Worst DD
-15.03
S&P Correlation
0.01
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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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since
12/2014
Systematic Volatility Arbitrage Program (VolArb) -3.03 -10.08 6.80 6.80 40.29 82.42 - 86.42
S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 - 80.58
+/- S&P 500 -6.74 -21.76 -9.46 -9.46 -0.18 0.52 - 5.84

Strategy Description

Summary

Systematic 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%
Strategy Pie Chart

Composition

Stock Indices
50.00%
VIX
50.00%
Composition Pie Chart

Summary

Systematic Volatility Arbitrage employs a multi-strategy approach in the equity index volatility market.

Investment Strategy

The 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 Management

VolArb´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.

   

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
-15.03 6 - 6/1/2020 12/1/2020
-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
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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
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
1.04 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
0.13 1 6/1/2017 6/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.91 4 9/1/2020 12/1/2020
-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
-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
-1.17 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
-0.06 1 11/1/2017 11/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable67.1263.3866.1882.26100.00100.00100.00100.00
Average Period Return0.943.056.7014.2921.5528.0146.7562.96
Average Gain2.687.1612.8318.1621.5528.0146.7562.96
Average Loss-2.62-4.06-5.30-3.67
Best Period21.3227.4227.5042.2643.5657.7269.5480.60
Worst Period-8.29-12.25-15.03-7.661.6110.5222.6532.49
Standard Deviation4.148.2111.7814.459.819.3315.6613.39
Gain Standard Deviation3.697.319.5512.949.819.3315.6613.39
Loss Standard Deviation2.383.403.612.40
Sharpe Ratio (1%)0.210.340.530.922.042.792.794.40
Average Gain / Average Loss1.021.762.424.95
Profit / Loss Ratio2.093.054.7422.96
Downside Deviation (10%)2.193.794.994.001.43
Downside Deviation (5%)2.053.303.952.19
Downside Deviation (0%)2.013.183.701.82
Sortino Ratio (10%)0.240.480.852.329.79
Sortino Ratio (5%)0.420.851.576.06
Sortino Ratio (0%)0.470.961.817.85

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 3 5.46 6/2020
Systematic Trader Index Month 5 5.46 6/2020
IASG CTA Index Month 7 5.46 6/2020
IASG CTA Index Month 5 7.52 4/2020
Systematic Trader Index Month 4 7.52 4/2020
Stock Index Trader Index Month 3 7.52 4/2020
Stock Index Trader Index Month 3 7.52 4/2020
IASG CTA Index Month 5 7.52 4/2020
Systematic Trader Index Month 4 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
Systematic Trader Index Month 4 4.92 9/2019
Stock Index Trader Index Month 3 4.92 9/2019
IASG CTA Index Month 6 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.

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