Kona Peak LLC : Volatility Arbitrage

archived programs
Year-to-Date
N / A
Jun Performance
-7.84%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
12.66%
Sharpe (RFR=1%)
0.24
CAROR
-
Assets
$ 436k
Worst DD
-7.84
S&P Correlation
-0.17

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
11/2017
Volatility Arbitrage -7.84 - - - - - - 2.22
S&P 500 0.48 - - - - - - 35.41
+/- S&P 500 -8.32 - - - - - - -33.19

Strategy Description

Summary

The Kona Peak Volatility Arbitrage program investment objective is capital appreciation with excellent risk adjusted returns regardless of the overall stock or bond market direction.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 2.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 6000 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 0.82%
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Arbitrage
50.00%
Option-spreads
50.00%
Strategy Pie Chart

Composition

Currency Futures
15.00%
Precious Metals
15.00%
Energy
15.00%
Grains
15.00%
Interest Rates
15.00%
Stock Indices
15.00%
VIX
10.00%
Composition Pie Chart

Summary

The Kona Peak Volatility Arbitrage program investment objective is capital appreciation with excellent risk adjusted returns regardless of the overall stock or bond market direction.

Investment Strategy

The goal of volatility arbitrage is to take advantage of differences between the implied volatility of the option, and a forecast of future realized volatility of the option's underlying. The program normally sells high volatility premium and occasionally buys low volatility premium. The primary strategy utilized is selling vertical credit spreads to collect premium with only covered risk-defined positions. The program uses a tactical swing trading time frame and a hybrid systematic/discretionary methodology with key trade signals based on quantitative factors. The Program is diversified across macro asset classes and will trade Emini S&P 500 equity index futures and options, 30 Year Treasury Bond interest rate futures and options, Euro currency futures and options, VIX volatility futures and commodity futures and options including Gold, Crude Oil, and Soybeans.

Risk Management

Prudent risk management is our top priority and an integral part of Kona Peak's trading strategy. Risk management begins at order entry by maintaining relatively small individual positions in the markets we trade and diversifying across macro asset classes. To further manage risk, we primarily sell risk-defined vertical credit spreads which represent about 90% of total overall trades. We automatically fully hedge tail risk at all times via risk defined option spreads and covered futures positions only.

   

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
-7.84 1 - 5/1/2018 6/1/2018
-0.82 1 1 1/1/0001 11/1/2017
-0.16 1 1 12/1/2017 1/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
10.02 4 2/1/2018 5/1/2018
1.81 1 12/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.84 1 6/1/2018 6/1/2018
-0.82 1 11/1/2017 11/1/2017
-0.16 1 1/1/2018 1/1/2018
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable62.5083.33
Average Period Return0.343.52
Average Gain2.304.94
Average Loss-2.94-3.61
Best Period4.217.39
Worst Period-7.84-3.61
Standard Deviation3.664.13
Gain Standard Deviation1.202.47
Loss Standard Deviation4.26
Sharpe Ratio (1%)0.070.79
Average Gain / Average Loss0.781.37
Profit / Loss Ratio1.306.85
Downside Deviation (10%)2.951.98
Downside Deviation (5%)2.821.57
Downside Deviation (0%)2.791.47
Sortino Ratio (10%)-0.021.16
Sortino Ratio (5%)0.092.08
Sortino Ratio (0%)0.122.39

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.