DeltaHedge : VIXVOX 2

Year-to-Date
6.47%
Jun Performance
-0.03%
Min Investment
€ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.65%
Sharpe (RFR=1%)
0.63
CAROR
14.06%
Assets
€ 1.3M
Worst DD
-24.35
S&P Correlation
0.02

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
8/2015
VIXVOX 2 -0.03 7.98 6.47 0.28 36.26 - - 67.42
S&P 500 6.89 3.78 17.34 8.21 38.73 - - 47.65
+/- S&P 500 -6.92 4.19 -10.87 -7.93 -2.47 - - 19.77

Strategy Description

Summary

VIXVOX Program is based on a strategy developed by Edoardo Ciravegna, Asset Manager with more than 25 years of experience in the financial markets. The program trades in CBOE VIX Futures and EUREX VSTOXX Futures, with a “carry” volatility strategy and / or exploiting strong directional... Read More

Account & Fees

Type
Managed Account
Minimum Investment
€ 250k
Trading Level Incremental Increase
€ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
18800 RT/YR/$M
Avg. Margin-to-Equity
16%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Financial & Metals Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
Systematic
100.00%

Composition

VIX
100.00%
Composition Pie Chart

Summary

VIXVOX Program is based on a strategy developed by Edoardo Ciravegna, Asset Manager with more than 25 years of experience in the financial markets. The program trades in CBOE VIX Futures and EUREX VSTOXX Futures, with a “carry” volatility strategy and / or exploiting strong directional movements. The following results are displayed with reference to the EUR traded Program.

   

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
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
-24.35 4 5 10/1/2015 2/1/2016
-20.62 12 - 1/1/2017 1/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
47.54 7 7/1/2016 1/1/2017
28.97 3 8/1/2015 10/1/2015
27.07 3 3/1/2016 5/1/2016
23.92 1 2/1/2018 2/1/2018
8.01 2 4/1/2019 5/1/2019
4.15 1 1/1/2016 1/1/2016
1.61 1 9/1/2017 9/1/2017
1.26 2 1/1/2019 2/1/2019
0.86 2 4/1/2018 5/1/2018
0.76 1 9/1/2018 9/1/2018
0.55 1 7/1/2017 7/1/2017
0.44 1 11/1/2017 11/1/2017
0.31 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.27 2 11/1/2015 12/1/2015
-13.85 5 2/1/2017 6/1/2017
-12.20 1 2/1/2016 2/1/2016
-8.25 2 12/1/2017 1/1/2018
-6.64 3 10/1/2018 12/1/2018
-3.90 1 6/1/2018 6/1/2018
-3.41 1 3/1/2018 3/1/2018
-2.62 1 3/1/2019 3/1/2019
-2.08 1 8/1/2017 8/1/2017
-0.90 1 6/1/2016 6/1/2016
-0.19 1 8/1/2018 8/1/2018
-0.06 1 10/1/2017 10/1/2017
-0.03 1 6/1/2019 6/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods47.0045.0042.0036.0030.0024.00
Percent Profitable55.3248.8950.0075.0076.6775.00
Average Period Return1.323.266.4015.1718.8321.12
Average Gain5.2012.5320.6123.4825.9131.64
Average Loss-3.48-5.60-7.81-9.77-4.44-10.44
Best Period23.9228.9748.7185.1081.2882.76
Worst Period-12.20-15.19-14.86-20.62-7.62-12.66
Standard Deviation6.8311.7217.6425.5423.5225.66
Gain Standard Deviation6.439.4814.0324.0322.4020.47
Loss Standard Deviation3.424.574.086.743.143.22
Sharpe Ratio (1%)0.180.260.330.550.740.74
Average Gain / Average Loss1.492.242.642.405.833.03
Profit / Loss Ratio1.852.142.647.2119.169.10
Downside Deviation (10%)3.435.847.808.136.5310.54
Downside Deviation (5%)3.275.266.526.263.206.39
Downside Deviation (0%)3.235.126.205.832.575.42
Sortino Ratio (10%)0.270.350.501.251.721.03
Sortino Ratio (5%)0.380.570.912.265.412.99
Sortino Ratio (0%)0.410.641.032.607.343.90

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 5.89 5/2019
Systematic Trader Index Month 9 5.89 5/2019
IASG CTA Index 3 Year Rolling 10 47.36 2015 - 2018
Trend Following Strategy Index Month 9 0.76 9/2018
Trend Following Strategy Index Month 7 0.76 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.