Pearl Capital Advisors, LLC : Hedged VIX Program

Year-to-Date
11.26%
Oct Performance
-2.65%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
12.26%
Sharpe (RFR=1%)
0.46
CAROR
6.13%
Assets
$ 16.2M
Worst DD
-16.45
S&P Correlation
-0.22

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2015
Hedged VIX Program -2.65 -6.81 -11.26 -12.01 8.23 - - 27.52
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 44.60
+/- S&P 500 -4.69 -8.72 -32.42 -24.02 -33.18 - - -17.07

Strategy Description

Investment Strategy

The Pearl Capital Advisors, LLC ("Pearl") Hedged VIX Program (the "Program") was built by Pearl, an independent alternative investment arm of a California-based family office, to seek greater diversification and a unique source of alpha. The Program is a futures-based,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.50
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
$0
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
4700 RT/YR/$M
Avg. Margin-to-Equity
12%
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
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
VIX
50.00%
Composition Pie Chart

Investment Strategy

The Pearl Capital Advisors, LLC ("Pearl") Hedged VIX Program (the "Program") was built by Pearl, an independent alternative investment arm of a California-based family office, to seek greater diversification and a unique source of alpha. The Program is a futures-based, non-directional, and systematic strategy which seeks to monetize the mispricing of risk between implied volatility and realized volatility. Due to behavioral biases, investors routinely purchase unneeded investment protection during "risk-on" environments and fail to purchase needed protection during "risk-off" periods. This mispricing of risk is observable, is both behavioral and structural in nature, and is persistent over time.

Pearl structures trades which isolate both over/under mispricings and strip out market direction bias in the process. The result is a strategy which not only has the ability to provide solid returns in rising markets, but also has tail-risk-like properties to generate outsized returns during market turmoil. Therefore, the Program is designed to be "all-weather" and absolute return in nature. The Program boasts negative correlation to the S&P 500 and is also uncorrelated to CTAs, fixed income, and volatility strategies. The Program seeks to deliver true diversification and can benefit even the most diversified institutional portfolios.

   

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
-16.45 16 - 6/1/2018 10/1/2019
-3.71 1 1 11/1/2016 12/1/2016
-3.60 1 3 5/1/2016 6/1/2016
-3.25 1 3 1/1/2017 2/1/2017
-2.13 2 1 5/1/2017 7/1/2017
-1.43 1 1 12/1/2015 1/1/2016
-1.35 1 2 11/1/2017 12/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
21.99 6 1/1/2018 6/1/2018
9.78 4 2/1/2016 5/1/2016
9.32 4 8/1/2017 11/1/2017
8.37 5 7/1/2016 11/1/2016
4.32 1 1/1/2017 1/1/2017
4.27 3 10/1/2015 12/1/2015
3.48 3 3/1/2017 5/1/2017
1.11 1 9/1/2019 9/1/2019
1.00 1 12/1/2018 12/1/2018
0.84 2 6/1/2019 7/1/2019
0.64 1 10/1/2018 10/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.64 3 7/1/2018 9/1/2018
-5.57 5 1/1/2019 5/1/2019
-5.32 1 8/1/2019 8/1/2019
-3.71 1 12/1/2016 12/1/2016
-3.60 1 6/1/2016 6/1/2016
-3.25 1 2/1/2017 2/1/2017
-2.65 1 10/1/2019 10/1/2019
-2.13 2 6/1/2017 7/1/2017
-1.83 1 11/1/2018 11/1/2018
-1.43 1 1/1/2016 1/1/2016
-1.35 1 12/1/2017 12/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable63.2753.1961.3676.3290.63100.00100.00
Average Period Return0.551.733.888.8015.4623.1627.67
Average Gain2.065.529.2114.6218.5023.1627.67
Average Loss-2.04-2.57-4.60-9.95-13.88
Best Period19.0920.2521.9930.4834.4740.8044.17
Worst Period-5.32-6.81-7.43-12.01-15.401.218.23
Standard Deviation3.546.018.5313.0012.3410.8211.20
Gain Standard Deviation3.545.826.448.638.1710.8211.20
Loss Standard Deviation1.411.961.871.551.33
Sharpe Ratio (1%)0.130.250.400.601.131.952.20
Average Gain / Average Loss1.012.152.001.471.33
Profit / Loss Ratio1.742.443.184.7412.88
Downside Deviation (10%)1.702.924.557.316.592.492.06
Downside Deviation (5%)1.532.333.375.374.720.16
Downside Deviation (0%)1.492.193.074.894.26
Sortino Ratio (10%)0.090.170.310.521.195.195.77
Sortino Ratio (5%)0.310.641.001.452.96134.76
Sortino Ratio (0%)0.370.791.261.803.63

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 7 1.00 12/2018
Stock Index Trader Index Month 1 19.09 2/2018
Systematic Trader Index Month 3 19.09 2/2018

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