Macrocapital Limited : Macrocapital Adaptive Volatility Strategy

Year-to-Date
0.51%
Apr Performance
-0.32%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
7.12%
Sharpe (RFR=1%)
0.89
CAROR
7.32%
Assets
$ 1.4M
Worst DD
-6.72
S&P Correlation
-0.08

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
7/2015
Macrocapital Adaptive Volatility Strategy -0.32 -0.47 -0.51 3.25 9.35 - - 31.08
S&P 500 3.93 8.94 17.51 11.24 41.19 - - 38.61
+/- S&P 500 -4.25 -9.41 -18.02 -7.99 -31.84 - - -7.53

Strategy Description

Summary

Our “Adaptive Volatility Strategy”, “AVS”, captures the mean reversion of the S&P500 implied volatility, which oscillates around a moderately drifting mean, seeking 15% net returns p.a. with 12% vol. It is a synthetically created strategy, designed to be uncorrelated to S&P500, to... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
-13.80%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
50.00%
1-30 Days
45.00%
Intraday
0%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Option-purchasing
10.00%
Option-writing
20.00%
Seasonal/cyclical
50.00%
Other
20.00%
Strategy Pie Chart

Composition

VIX
60.00%
Stock Indices
20.00%
Other
20.00%
Composition Pie Chart

Summary

Our “Adaptive Volatility Strategy”, “AVS”, captures the mean reversion of the S&P500 implied volatility, which oscillates around a moderately drifting mean, seeking 15% net returns p.a. with 12% vol. It is a synthetically created strategy, designed to be uncorrelated to S&P500, to the volatility of the S&P500.

Investment Strategy

Every day we review the opportunities available in VIX and SPX options, where mean reversion is due and has the best risk reward. Among these opportunities, after simulating returns versus potential risks, our system proposes the optimal position. In certain circumstances, when volatility is moderate, we take synthetic volatility positions. This means we will go net long SPX volatility but sell against it volatility in a diversified S&P components basket, always with a net long vega. This has many merits: a) we wait for better opportunities to take risk, b) at times of market distress we have ammunition (margin) to trade and few positions to manage and c) at times of average volatility we capture dispersion and build longerterm strategies.

Risk Management

Our systems of course reflect all the necessary exposures (delta, Vega, gamma and ΔVega/ΔVol on a grid basis). One of the advantages of the strategy is that it only has 10 different positions and hence can be easily and continuously monitored. We monitor these parameters to see how statistically unusual an event is (so we monitor the speed with which VIX options vol changes as well as our our Vega in VIX options changes). However what is more important and we monitor is the loss per position with respect to the initial price. So we have indicators that track when the position loss reaches certain limits with respect to start that is driving a hedging/ restructuring program of such options.

   

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

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-6.72 1 1 7/1/2015 8/1/2015
-1.96 1 2 12/1/2016 1/1/2017
-1.10 2 4 3/1/2018 5/1/2018
-0.52 1 1 9/1/2017 10/1/2017
-0.51 4 - 12/1/2018 4/1/2019
-0.45 1 1 6/1/2017 7/1/2017
-0.40 1 1 6/1/2016 7/1/2016
-0.19 1 1 4/1/2017 5/1/2017
-0.11 1 1 8/1/2016 9/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
29.30 10 9/1/2015 6/1/2016
4.05 7 6/1/2018 12/1/2018
3.82 3 2/1/2017 4/1/2017
2.63 5 11/1/2017 3/1/2018
1.26 3 10/1/2016 12/1/2016
0.83 1 8/1/2016 8/1/2016
0.72 1 8/1/2017 8/1/2017
0.42 1 6/1/2017 6/1/2017
0.19 1 3/1/2019 3/1/2019
0.07 1 7/1/2015 7/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.72 1 8/1/2015 8/1/2015
-1.96 1 1/1/2017 1/1/2017
-1.10 2 4/1/2018 5/1/2018
-0.52 2 9/1/2017 10/1/2017
-0.45 1 7/1/2017 7/1/2017
-0.40 1 7/1/2016 7/1/2016
-0.38 2 1/1/2019 2/1/2019
-0.32 1 4/1/2019 4/1/2019
-0.19 1 5/1/2017 5/1/2017
-0.11 1 9/1/2016 9/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable71.7481.8295.12100.00100.00100.00
Average Period Return0.612.084.166.578.9911.92
Average Gain1.222.674.386.578.9911.92
Average Loss-1.01-0.56-0.02
Best Period8.8512.6325.5429.8529.9934.34
Worst Period-6.72-1.17-0.031.473.285.05
Standard Deviation2.053.335.777.047.538.47
Gain Standard Deviation1.833.415.847.047.538.47
Loss Standard Deviation1.870.360.01
Sharpe Ratio (1%)0.260.550.630.790.991.17
Average Gain / Average Loss1.204.75210.81
Profit / Loss Ratio3.3121.374110.71
Downside Deviation (10%)1.170.871.131.742.443.10
Downside Deviation (5%)1.070.370.14
Downside Deviation (0%)1.050.280.00
Sortino Ratio (10%)0.170.981.490.900.570.54
Sortino Ratio (5%)0.494.8926.72
Sortino Ratio (0%)0.587.46880.43

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.