Equity Armor Investments, LLC : Armor Alpha

Year-to-Date
18.48%
May Performance
-0.08%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
27.30%
Sharpe (RFR=1%)
1.24
CAROR
-
Assets
$ 616k
Worst DD
-10.24
S&P Correlation
-0.16

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
10/2019
Armor Alpha -0.08 5.57 18.48 - - - - 23.23
S&P 500 4.53 3.05 -5.77 - - - - 2.07
+/- S&P 500 -4.61 2.52 24.25 - - - - 21.17

Strategy Description

Investment Strategy

EQUITY ARMOR INVESTMENTS, LLC ("EAI") is a Commodity Trading Advisor (CTA) offering an algorithmic managed futures and future options program that combines index option based strategies that is net long S&P 500 futures and options along with EAVOL Index, which trades VIX... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
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 Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

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

Composition

Investment Strategy

EQUITY ARMOR INVESTMENTS, LLC ("EAI") is a Commodity Trading Advisor (CTA) offering an algorithmic managed futures and future options program that combines index option based strategies that is net long S&P 500 futures and options along with EAVOL Index, which trades VIX futures, in order to arbitrage 30 day expiring option implied volatility and short term VIX futures. Allocations are based on notional account values and then implemented in S&P 500 futures and future options, EAVOL Index and short near term VIX futures. Brian Stutland, Chief Investment Officer, founded EAI and using his 20+ years of option floor trading experience designed the trading program using the firms proprietary EAVOL Index to hedge risk when taking long beta bets to the S&P 500.

   

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
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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
-10.24 1 1 1/1/2020 2/1/2020
-0.12 1 1 1/1/0001 10/1/2019
-0.08 1 - 4/1/2020 5/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
24.56 2 3/1/2020 4/1/2020
10.44 3 11/1/2019 1/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.24 1 2/1/2020 2/1/2020
-0.12 1 10/1/2019 10/1/2019
-0.08 1 5/1/2020 5/1/2020
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable62.5083.33
Average Period Return2.919.97
Average Gain6.7412.59
Average Loss-3.48-3.15
Best Period17.9024.46
Worst Period-10.24-3.15
Standard Deviation7.889.23
Gain Standard Deviation6.537.41
Loss Standard Deviation5.85
Sharpe Ratio (1%)0.361.05
Average Gain / Average Loss1.943.99
Profit / Loss Ratio3.2319.97
Downside Deviation (10%)3.771.79
Downside Deviation (5%)3.651.39
Downside Deviation (0%)3.621.29
Sortino Ratio (10%)0.664.89
Sortino Ratio (5%)0.777.00
Sortino Ratio (0%)0.807.74

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.