ecamos Capital AG : ecamos Volatility Strategy

Year-to-Date
12.59%
Jan Performance
12.59%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.16%
Sharpe (RFR=1%)
0.55
CAROR
9.74%
Assets
$ 124.4M
Worst DD
-24.10
S&P Correlation
0.60

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
11/2011
ecamos Volatility Strategy 12.59 10.43 12.59 -7.79 47.41 20.31 - 96.18
S&P 500 7.87 -0.28 7.87 -4.24 37.96 50.16 - 114.66
+/- S&P 500 4.72 10.71 4.72 -3.55 9.44 -29.86 - -18.48

Strategy Description

Summary

This program represents the ecamos Volatility Strategy which is accessible via a Cayman Island fund structure or Managed Account.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Not Specified

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Option-writing
50.00%
Other
50.00%
Strategy Pie Chart

Composition

Summary

This program represents the ecamos Volatility Strategy which is accessible via a Cayman Island fund structure or Managed Account.

Investment Strategy

The ecamos Volatility Strategy is based on a systematic investment approach to achieve substantial medium to long-term capital appreciation by exploiting risk premia on volatility futures and options. The strategy is positioned either long or short on the various volatility futures over the term-structure of the curve. Systematically hedging the positions enables the gap risk of the strategy to be reduced and stability of performance to be increased. Positions and weightings are dynamically adjusted to protect against prolonged drawdowns. Performance: From November 1, 2011 until May 15, 2013 returns are based on real traded figures of a managed account, adjusted for target volatility, management and performance fees as well as the interest rate differential for USD-CHF. Since May 16, 2013 returns are based on the corresponding USD share class of the Cayman Island fund. Performance data is shown net of fees with income reinvested.

   

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
-24.10 7 19 6/1/2014 1/1/2015
-21.43 4 - 8/1/2018 12/1/2018
-7.94 1 1 11/1/2012 12/1/2012
-7.30 2 1 4/1/2013 6/1/2013
-5.36 1 1 9/1/2012 10/1/2012
-3.65 4 2 11/1/2013 3/1/2014
-2.97 2 1 3/1/2012 5/1/2012
-2.61 2 1 1/1/0001 12/1/2011
-2.23 1 1 7/1/2013 8/1/2013
-1.94 1 1 8/1/2017 9/1/2017
-1.79 3 1 1/1/2018 4/1/2018
-1.52 1 1 5/1/2017 6/1/2017
-1.38 1 1 5/1/2018 6/1/2018
-0.96 1 1 9/1/2013 10/1/2013
-0.69 1 1 10/1/2016 11/1/2016
-0.50 1 1 11/1/2017 12/1/2017
-0.28 1 1 1/1/2013 2/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
34.55 9 2/1/2016 10/1/2016
24.17 3 1/1/2012 3/1/2012
23.13 4 6/1/2012 9/1/2012
19.75 4 2/1/2015 5/1/2015
13.32 6 12/1/2016 5/1/2017
12.60 1 11/1/2012 11/1/2012
12.59 1 1/1/2019 1/1/2019
9.75 1 7/1/2013 7/1/2013
9.58 1 1/1/2013 1/1/2013
8.27 3 4/1/2014 6/1/2014
7.73 1 7/1/2015 7/1/2015
5.91 4 9/1/2015 12/1/2015
4.88 1 5/1/2018 5/1/2018
4.65 2 7/1/2017 8/1/2017
4.53 2 3/1/2013 4/1/2013
4.00 1 11/1/2014 11/1/2014
3.97 2 10/1/2017 11/1/2017
3.61 1 11/1/2018 11/1/2018
2.64 1 9/1/2013 9/1/2013
2.61 2 7/1/2018 8/1/2018
1.84 1 11/1/2013 11/1/2013
1.46 1 8/1/2014 8/1/2014
0.98 1 1/1/2018 1/1/2018
0.57 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.89 2 9/1/2018 10/1/2018
-16.55 1 8/1/2015 8/1/2015
-14.61 2 9/1/2014 10/1/2014
-11.04 2 12/1/2014 1/1/2015
-9.73 1 1/1/2016 1/1/2016
-7.94 1 12/1/2012 12/1/2012
-7.30 2 5/1/2013 6/1/2013
-5.36 1 10/1/2012 10/1/2012
-5.34 1 12/1/2018 12/1/2018
-5.31 1 7/1/2014 7/1/2014
-3.65 4 12/1/2013 3/1/2014
-2.97 2 4/1/2012 5/1/2012
-2.61 2 11/1/2011 12/1/2011
-2.23 1 8/1/2013 8/1/2013
-2.05 1 6/1/2015 6/1/2015
-1.94 1 9/1/2017 9/1/2017
-1.52 1 6/1/2017 6/1/2017
-1.38 1 6/1/2018 6/1/2018
-1.19 1 4/1/2018 4/1/2018
-1.17 1 2/1/2018 2/1/2018
-0.96 1 10/1/2013 10/1/2013
-0.69 1 11/1/2016 11/1/2016
-0.50 1 12/1/2017 12/1/2017
-0.28 1 2/1/2013 2/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods87.0085.0082.0076.0070.0064.0052.0040.0028.00
Percent Profitable62.0769.4173.1773.6870.0070.3188.46100.00100.00
Average Period Return0.922.595.2210.4915.2219.3123.0029.3446.44
Average Gain3.846.8810.5117.7726.5131.3327.0329.3446.44
Average Loss-3.86-7.16-9.20-9.86-11.13-9.17-7.84
Best Period12.6024.1731.2154.6561.9168.9661.1651.3884.52
Worst Period-17.60-19.22-22.52-19.05-19.86-18.39-14.3215.505.89
Standard Deviation5.248.5111.8617.1421.7224.2819.257.6122.01
Gain Standard Deviation3.085.188.1513.5515.3318.3616.577.6122.01
Loss Standard Deviation4.496.237.606.014.684.734.18
Sharpe Ratio (1%)0.160.270.400.550.630.711.043.321.88
Average Gain / Average Loss0.990.961.141.802.383.423.45
Profit / Loss Ratio1.632.183.125.045.568.0926.43
Downside Deviation (10%)3.795.747.188.2910.6111.139.260.976.51
Downside Deviation (5%)3.655.316.336.337.366.593.93
Downside Deviation (0%)3.625.206.135.886.595.592.96
Sortino Ratio (10%)0.130.240.380.660.720.810.788.072.89
Sortino Ratio (5%)0.230.440.751.501.862.625.08
Sortino Ratio (0%)0.250.500.851.782.313.457.77

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.