Kona Peak LLC : Volatility Arbitrage Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Jun Qtr 2020 1yr 3yr 5yr 10yr Since11/2017 Volatility Arbitrage -7.84 - - - 1.23 - - 2.22 S&P 500 0.48 - - - 30.43 - - 45.30 +/- S&P 500 -8.32 - - - -29.20 - - -43.08 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyThe 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 ManagementPrudent 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel