ecamos Capital AG : ecamos Volatility Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.06% Aug Performance -1.78% Min Investment $ 50k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 17.73% Sharpe (RFR=1%) 0.52 CAROR 8.94% Assets $ 92.4M Worst DD -24.10 S&P Correlation 0.56 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since11/2011 ecamos Volatility Strategy -1.78 4.64 1.06 1.80 2.60 53.08 - 113.10 S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 - 177.84 +/- S&P 500 -8.79 -10.34 -7.28 -17.81 -37.79 -22.60 - -64.74 Strategy Description SummaryThis 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 SummaryThis program represents the ecamos Volatility Strategy which is accessible via a Cayman Island fund structure or Managed Account.Investment StrategyThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 9.17 2 4/1/2020 5/1/2020 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 6.54 1 7/1/2020 7/1/2020 5.91 4 9/1/2015 12/1/2015 4.98 3 12/1/2019 2/1/2020 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 0.66 1 10/1/2019 10/1/2019 0.57 1 3/1/2018 3/1/2018 Show More 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 -15.09 1 3/1/2020 3/1/2020 -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 -1.78 1 8/1/2020 8/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods106.00104.00101.0095.0089.0083.0071.0059.0047.00 Percent Profitable61.3268.2767.3366.3266.2968.6788.73100.00100.00 Average Period Return0.852.564.588.7012.3715.0521.6632.3442.23 Average Gain3.716.9410.4617.0123.1025.6325.2332.3442.23 Average Loss-3.77-6.87-7.53-7.65-8.73-8.14-6.45 Best Period12.6024.1731.2154.6561.9168.9661.1664.6584.52 Worst Period-17.60-19.22-22.52-19.05-19.86-18.39-14.3215.505.89 Standard Deviation5.128.3511.4716.2020.2322.8518.1710.1419.40 Gain Standard Deviation2.935.068.1513.1516.0319.7715.9910.1419.40 Loss Standard Deviation4.575.836.865.795.804.734.42 Sharpe Ratio (1%)0.150.280.360.480.540.571.022.791.91 Average Gain / Average Loss0.981.011.392.222.653.153.91 Profit / Loss Ratio1.602.172.864.385.206.9030.80 Downside Deviation (10%)3.785.606.918.1410.1811.119.010.805.08 Downside Deviation (5%)3.655.156.006.016.806.253.50 Downside Deviation (0%)3.615.045.785.546.055.242.57 Sortino Ratio (10%)0.120.240.310.460.470.430.6513.562.88 Sortino Ratio (5%)0.210.450.681.281.602.095.33 Sortino Ratio (0%)0.240.510.791.572.042.878.42 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. x {{title}} x {{title}} Add Cancel