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

Year-to-Date: 3.80%
Feb Performance: 5.65%

Min Investment: $ 1,500k
Mgmt. Fee: 2.00%
Perf. Fee: 25.00%

Annualized Vol: 14.83%
Sharpe (RFR=1%): 0.64
CAROR: 9.80%

Assets: $ 22.0M
Worst DD: -22.63
S&P Correlation: 0.04

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Growth of 1,000 - VAMI

Monthly Performance

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	Feb	Qtr	YTD	1yr	3yr	5yr	10yr	Since 12/2014
Systematic Volatility Arbitrage Program (VolArb)	5.65	-3.80	-3.80	-7.60	9.56	65.29	-	79.34
S&P 500	5.94	8.65	4.76	33.19	44.98	101.57	-	97.20
+/- S&P 500	-0.29	-12.44	-8.55	-40.80	-35.42	-36.28	-	-17.85

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%

Composition

Stock Indices: 50.00%
VIX: 50.00%

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.

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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.

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Index:

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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
-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

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
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

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
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	75.00	73.00	70.00	64.00	58.00	52.00	40.00	28.00
Percent Profitable	66.67	61.64	64.29	79.69	100.00	100.00	100.00	100.00
Average Period Return	0.87	2.70	5.94	13.78	21.03	27.12	45.48	60.09
Average Gain	2.74	7.16	12.83	18.16	21.03	27.12	45.48	60.09
Average Loss	-2.87	-4.46	-6.47	-3.42
Best Period	21.32	27.42	27.50	42.26	43.56	57.72	69.54	80.60
Worst Period	-8.94	-12.78	-21.71	-7.66	1.61	2.09	12.85	19.67
Standard Deviation	4.28	8.38	12.45	14.51	10.06	10.21	16.37	16.69
Gain Standard Deviation	3.68	7.31	9.55	12.94	10.06	10.21	16.37	16.69
Loss Standard Deviation	2.65	3.69	5.35	2.30
Sharpe Ratio (1%)	0.18	0.29	0.44	0.88	1.94	2.46	2.59	3.36
Average Gain / Average Loss	0.95	1.60	1.98	5.31
Profit / Loss Ratio	1.91	2.58	3.57	20.83
Downside Deviation (10%)	2.42	4.19	6.21	4.13	1.58	1.19	0.46	0.36
Downside Deviation (5%)	2.27	3.68	5.21	2.23
Downside Deviation (0%)	2.24	3.56	4.98	1.83
Sortino Ratio (10%)	0.19	0.35	0.56	2.12	8.50	14.16	64.62	108.34
Sortino Ratio (5%)	0.35	0.67	1.04	5.73
Sortino Ratio (0%)	0.39	0.76	1.19	7.51

Top Performer Badges

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

^#3

Top Performer

STOCK INDEX TRADER INDEX

FEBRUARY
2021

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More Programs by Deep Field Capital AG

Program Name	CAROR
Systematic Volatility Arbitrage Program (VolArb)	9.80%
Intraday Crisis Alpha Program (ICA)	6.90%
Intraday Convexity Capture (ICC)	-

IASG Activity

Blends 39
Portfolios 9
Watchlists 25

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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