ecamos Capital AG : ecamos Volatility Strategy

Year-to-Date: 21.01%
Dec Performance: 0.76%

Min Investment: $ 50k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 17.30%
Sharpe (RFR=1%): 0.56
CAROR: 9.57%

Assets: $ 117.7M
Worst DD: -24.10
S&P Correlation: 0.55

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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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 11/2011
ecamos Volatility Strategy	0.76	1.36	21.01	21.01	17.34	56.45	-	110.86
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	-	156.45
+/- S&P 500	-2.10	-7.17	-7.85	-7.85	-25.50	1.13	-	-45.59

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%

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.

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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.

Compare to:

Index:

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Sharpe Ratio: (RF=1%)
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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
-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

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
19.40	3	1/1/2019	3/1/2019
13.32	6	12/1/2016	5/1/2017
12.60	1	11/1/2012	11/1/2012
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
6.67	2	5/1/2019	6/1/2019
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
0.76	1	12/1/2019	12/1/2019
0.66	1	10/1/2019	10/1/2019
0.57	1	3/1/2018	3/1/2018

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
-5.03	3	7/1/2019	9/1/2019
-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
-1.30	1	4/1/2019	4/1/2019
-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
-0.06	1	11/1/2019	11/1/2019

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	98.00	96.00	93.00	87.00	81.00	75.00	63.00	51.00	39.00
Percent Profitable	61.22	68.75	70.97	68.97	66.67	73.33	90.48	100.00	100.00
Average Period Return	0.89	2.72	5.20	9.56	13.11	17.04	23.80	31.98	42.63
Average Gain	3.69	6.95	10.69	17.48	24.24	26.42	27.13	31.98	42.63
Average Loss	-3.52	-6.58	-8.21	-8.05	-9.15	-8.77	-7.84
Best Period	12.60	24.17	31.21	54.65	61.91	68.96	61.16	51.38	84.52
Worst Period	-17.60	-19.22	-22.52	-19.05	-19.86	-18.39	-14.32	15.50	5.89
Standard Deviation	4.99	8.32	11.68	16.52	20.89	23.11	18.06	8.82	20.28
Gain Standard Deviation	2.99	5.20	8.16	13.27	16.26	19.67	15.52	8.82	20.28
Loss Standard Deviation	4.29	6.01	7.28	6.06	5.61	4.94	4.18
Sharpe Ratio (1%)	0.16	0.30	0.40	0.52	0.56	0.65	1.15	3.16	1.85
Average Gain / Average Loss	1.05	1.06	1.30	2.17	2.65	3.01	3.46
Profit / Loss Ratio	1.65	2.32	3.18	4.82	5.30	8.28	32.87
Downside Deviation (10%)	3.60	5.48	6.94	8.08	10.33	10.65	8.42	0.85	5.57
Downside Deviation (5%)	3.46	5.05	6.07	6.04	6.93	6.11	3.57
Downside Deviation (0%)	3.43	4.94	5.86	5.58	6.17	5.17	2.69
Sortino Ratio (10%)	0.13	0.27	0.39	0.56	0.53	0.64	0.95	12.20	2.69
Sortino Ratio (5%)	0.23	0.49	0.78	1.42	1.67	2.46	5.81
Sortino Ratio (0%)	0.26	0.55	0.89	1.71	2.13	3.30	8.84

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.

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More Programs by ecamos Capital AG

Program Name	CAROR
ecamos Volatility Strategy	9.57%
ecamos Core Strategy 2X	9.31%
eGO (ecamos Global Opportunities) UCITS Fund 1.5X - Class C USD	-
ecamos Core Strategy 1X	3.63%

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Watchlists 12

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ecamos Capital AG : ecamos Volatility Strategy

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

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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