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

Year-to-Date: 2.67%
Jun Performance: 0.08%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 14.88%
Sharpe (RFR=1%): 0.78
CAROR: 12.22%

Assets: $ 13.0M
Worst DD: -12.26
S&P Correlation: 0.02

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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	Jun	Qtr	YTD	1yr	3yr	5yr	10yr	Since 12/2014
Systematic Volatility Arbitrage Program (VolArb)	0.08	-2.09	-2.67	-1.24	37.94	-	-	69.66
S&P 500	6.89	3.78	17.34	8.21	38.73	-	-	32.31
+/- S&P 500	-6.81	-5.87	-20.01	-9.45	-0.79	-	-	37.35

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: $ 1,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 3.00
Management Fee: 2.00%
Performance Fee: 20.00%
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

VolArb 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, 3.) it takes directional intraday momentum trades in global equity index futures. The investment process is systematic and based on the Advisor’s proprietary volatility estimation model, taking into consideration the volatility surface and VIX Index term-structure. Order execution is fully systematic and automated.

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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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
-12.26	4	7	3/1/2017	7/1/2017
-8.35	6	3	7/1/2015	1/1/2016
-5.67	1	3	5/1/2016	6/1/2016
-3.59	7	-	10/1/2018	5/1/2019
-1.54	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
30.11	4	2/1/2016	5/1/2016
28.60	6	2/1/2018	7/1/2018
14.69	4	7/1/2016	10/1/2016
8.75	4	12/1/2014	3/1/2015
6.02	4	12/1/2016	3/1/2017
3.53	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
1.46	3	5/1/2015	7/1/2015
1.36	1	12/1/2017	12/1/2017
0.84	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
0.08	1	6/1/2019	6/1/2019

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-8.32	1	8/1/2015	8/1/2015
-7.23	2	4/1/2017	5/1/2017
-5.67	1	6/1/2016	6/1/2016
-5.55	1	7/1/2017	7/1/2017
-2.43	1	1/1/2016	1/1/2016
-2.28	3	11/1/2018	1/1/2019
-2.17	2	4/1/2019	5/1/2019
-1.54	1	8/1/2018	8/1/2018
-1.42	1	1/1/2018	1/1/2018
-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
Number of Periods	55.00	53.00	50.00	44.00	38.00	32.00	20.00
Percent Profitable	69.09	64.15	62.00	79.55	100.00	100.00	100.00
Average Period Return	1.05	3.33	6.88	15.66	25.69	31.44	55.32
Average Gain	2.53	7.08	13.94	20.72	25.69	31.44	55.32
Average Loss	-2.26	-3.37	-4.64	-4.02
Best Period	21.99	28.75	29.19	44.70	46.28	61.59	71.51
Worst Period	-8.32	-7.70	-10.86	-7.49	2.96	16.08	30.02
Standard Deviation	4.29	8.28	12.47	15.98	9.19	10.43	14.55
Gain Standard Deviation	4.11	8.03	10.62	13.90	9.19	10.43	14.55
Loss Standard Deviation	2.51	2.47	3.12	2.20
Sharpe Ratio (1%)	0.23	0.37	0.51	0.92	2.63	2.82	3.59
Average Gain / Average Loss	1.12	2.10	3.00	5.16
Profit / Loss Ratio	2.50	3.76	4.90	20.07
Downside Deviation (10%)	2.01	3.11	4.78	4.37	0.87
Downside Deviation (5%)	1.88	2.60	3.68	2.46
Downside Deviation (0%)	1.85	2.48	3.42	2.04
Sortino Ratio (10%)	0.32	0.68	0.92	2.44	20.92
Sortino Ratio (5%)	0.52	1.19	1.73	5.97
Sortino Ratio (0%)	0.57	1.35	2.01	7.66

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Year Rolling	3	28.10	2017 - 2018
IASG CTA Index	3 Year Rolling	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
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

IASG CTA INDEX

2018

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More Programs by Deep Field Capital AG

Program Name	CAROR
Systematic Volatility Arbitrage Program (VolArb)	12.22%
Intraday Crisis Alpha Program (ICA)	10.10%
SINGULARITY Program	6.89%

IASG Activity

Blends 9
Portfolios 3
Watchlists 10

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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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