Ion Asset Architecture : Ion Volium Fund

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
0.95%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
50.00%
Annualized Vol
0.75%
Sharpe (RFR=1%)
2.41
CAROR
2.84%
Assets
$ 1.9M
Worst DD
N/A
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
4/2011
Ion Volium Fund 0.95 - - - - - - 12.62
S&P 500 -2.10 - - - - - - 144.06
+/- S&P 500 3.05 - - - - - - -131.44

Strategy Description

Summary

The Ion Volium Fund is a 100% systematic fund that employs very high-frequency trading strategies on a handful of listed instruments. The focus is on selecting strategies that offer consistency in returns. Due to the very short holding periods employed, the entire portfolio is subject... Read More

Account & Fees

Type Fund
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 50.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 50000 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 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Summary

The Ion Volium Fund is a 100% systematic fund that employs very high-frequency trading strategies on a handful of listed instruments. The focus is on selecting strategies that offer consistency in returns. Due to the very short holding periods employed, the entire portfolio is subject to strong capacity constraints.

   

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

Consecutive Gains

Run-up Length (Mos.) Start End
12.33 41 2/1/2012 6/1/2015
0.26 3 5/1/2011 7/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods51.0049.0046.0040.0034.0028.0016.00
Percent Profitable86.2791.8497.83100.00100.00100.00100.00
Average Period Return0.230.671.332.654.005.318.14
Average Gain0.270.731.362.654.005.318.14
Average Loss
Best Period0.951.973.645.747.789.4211.87
Worst Period0.000.000.000.241.472.315.35
Standard Deviation0.220.500.891.421.701.992.04
Gain Standard Deviation0.210.470.871.421.701.992.04
Loss Standard Deviation
Sharpe Ratio (1%)0.700.860.941.161.471.652.50
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)0.250.731.432.743.975.317.88
Downside Deviation (5%)0.040.090.170.220.01
Downside Deviation (0%)
Sortino Ratio (10%)-0.68-0.76-0.80-0.86-0.91-0.93-0.97
Sortino Ratio (5%)4.234.574.787.45416.94
Sortino Ratio (0%)

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Sharpe 3 2.22 2014

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