Red River Capital LLC : Volatility Advantage Strategy (Proprietary)

archived programs
Year-to-Date
N / A
Nov Performance
5.01%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.80%
Sharpe (RFR=1%)
1.50
CAROR
26.21%
Assets
$ 635k
Worst DD
-16.29
S&P Correlation
0.16

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
7/2015
Volatility Advantage Strategy (Proprietary) 5.01 - - - -8.27 85.82 - 121.51
S&P 500 1.79 - - - 31.33 51.31 - 53.85
+/- S&P 500 3.22 - - - -39.60 34.51 - 67.67

Strategy Description

Summary

The Volatility Advantage Strategy seeks to achieve high returns by harnessing the power of volatility while maintaining a low correlation to the S&P 500.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
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 4000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 19.30%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 40.00%
Intraday 50.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

VIX
99.00%
Stock Indices
1.00%
Composition Pie Chart

Summary

The Volatility Advantage Strategy seeks to achieve high returns by harnessing the power of volatility while maintaining a low correlation to the S&P 500.

Investment Strategy

VIX futures prices are subject to overreactions, emotions, and price noise. Red River's model is used to determine when futures are likely to be overpriced, underpriced, or fairly priced. Differences between actual and theoretical prices can be profitably traded.

Risk Management

1) Target a maximum margin to equity ratio of 30%.
2) Maintain a long bias (as short VIX futures are vulnerable to a market crash).
3) Purchase, when dictated by the strategy, S&P futures options as insurance.

   

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
-16.29 22 - 12/1/2016 10/1/2018
-0.24 1 1 8/1/2015 9/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
127.80 15 10/1/2015 12/1/2016
10.89 2 7/1/2015 8/1/2015
5.01 1 11/1/2018 11/1/2018
3.80 1 4/1/2018 4/1/2018
3.07 2 8/1/2018 9/1/2018
2.20 3 5/1/2017 7/1/2017
1.83 5 9/1/2017 1/1/2018
0.37 1 3/1/2017 3/1/2017
0.27 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.70 2 2/1/2018 3/1/2018
-7.37 1 10/1/2018 10/1/2018
-4.56 2 1/1/2017 2/1/2017
-2.69 1 8/1/2017 8/1/2017
-0.31 1 7/1/2018 7/1/2018
-0.24 1 5/1/2018 5/1/2018
-0.24 1 9/1/2015 9/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable75.6169.2366.6763.3370.8388.89
Average Period Return2.066.4213.6526.3341.2553.77
Average Gain3.6411.0123.0946.3961.9261.12
Average Loss-3.17-3.91-5.23-8.31-8.95-4.98
Best Period15.1638.4954.1388.38152.00145.31
Worst Period-7.77-12.41-11.59-12.65-12.62-7.81
Standard Deviation4.5611.1720.5335.9251.3350.39
Gain Standard Deviation3.7910.2618.8230.2847.2148.57
Loss Standard Deviation3.013.824.212.772.634.00
Sharpe Ratio (1%)0.430.550.640.710.771.03
Average Gain / Average Loss1.152.814.425.586.9212.27
Profit / Loss Ratio3.956.338.839.6516.8098.15
Downside Deviation (10%)2.143.505.098.299.155.17
Downside Deviation (5%)2.023.074.045.865.802.51
Downside Deviation (0%)1.992.973.815.285.011.91
Sortino Ratio (10%)0.771.482.202.573.688.42
Sortino Ratio (5%)0.982.013.254.326.8520.59
Sortino Ratio (0%)1.032.163.584.998.2328.16

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.