Red River Capital LLC : Volatility Advantage Strategy (Proprietary) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since7/2015 Volatility Advantage Strategy (Proprietary) 5.01 - - - -7.74 99.76 - 121.51 S&P 500 1.79 - - - 31.33 51.31 - 64.68 +/- S&P 500 3.22 - - - -39.07 48.45 - 56.83 Strategy Description SummaryThe 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% Composition VIX 99.00% Stock Indices 1.00% SummaryThe 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 StrategyVIX 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 Management1) 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. 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 -16.29 22 - 12/1/2016 10/1/2018 -0.24 1 1 8/1/2015 9/1/2015 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel