SandPointe : SandPointe All-Seasons Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance -0.10% Min Investment $ 5,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 16.87% Sharpe (RFR=1%) 1.10 CAROR 19.75% Assets $ 101.5M Worst DD -10.84 S&P Correlation 0.18 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since1/2015 SandPointe All-Seasons Strategy -0.10 - - - -9.15 37.16 - 90.76 S&P 500 3.60 - - - 32.51 65.38 - 66.86 +/- S&P 500 -3.70 - - - -41.66 -28.22 - 23.90 Strategy Description SummaryThe U.S. Volatility (VOL) Strategy aims to take advantage of the systematic mispricing of VIX Futures, which exist due to behavioral and structural reasons. The Strategy is built upon a classification model with the goal of differentiating between periods where VIX Futures may be overpriced,... Read More Account & Fees Type Fund Minimum Investment $ 5,000k Trading Level Incremental Increase $ 100k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $1.50 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1279 RT/YR/$M Avg. Margin-to-Equity 30% Targeted Worst DD -15.00% Worst Peak-to-Trough 8.60% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 20.00% 1-30 Days 80.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Technical 100.00% Composition Stock Indices 75.00% VIX 25.00% SummaryThe U.S. Volatility (VOL) Strategy aims to take advantage of the systematic mispricing of VIX Futures, which exist due to behavioral and structural reasons. The Strategy is built upon a classification model with the goal of differentiating between periods where VIX Futures may be overpriced, underpriced, or fairly-priced. Depending on the classification, the VOL Strategy buys or sells VIX futures, hedging the VIX exposure with S&P 500 futures. 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 -10.84 14 - 5/1/2017 7/1/2018 -10.44 6 1 8/1/2015 2/1/2016 -5.21 1 1 5/1/2016 6/1/2016 -1.75 3 1 9/1/2016 12/1/2016 -0.49 1 1 1/1/2017 2/1/2017 -0.30 1 1 3/1/2017 4/1/2017 -0.17 1 1 1/1/0001 1/1/2015 -0.14 1 1 5/1/2015 6/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 38.05 4 2/1/2015 5/1/2015 30.34 3 3/1/2016 5/1/2016 25.19 3 7/1/2016 9/1/2016 5.74 1 1/1/2017 1/1/2017 4.15 1 3/1/2017 3/1/2017 3.18 2 7/1/2015 8/1/2015 2.40 2 9/1/2017 10/1/2017 2.30 1 11/1/2015 11/1/2015 1.58 1 12/1/2017 12/1/2017 1.32 1 5/1/2017 5/1/2017 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.31 7 1/1/2018 7/1/2018 -8.40 2 9/1/2015 10/1/2015 -5.21 1 6/1/2016 6/1/2016 -4.43 3 12/1/2015 2/1/2016 -2.88 3 6/1/2017 8/1/2017 -1.75 3 10/1/2016 12/1/2016 -1.60 1 11/1/2017 11/1/2017 -0.49 1 2/1/2017 2/1/2017 -0.30 1 4/1/2017 4/1/2017 -0.17 1 1/1/2015 1/1/2015 -0.14 1 6/1/2015 6/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods43.0041.0038.0032.0026.0020.00 Percent Profitable44.1960.9863.1678.1380.77100.00 Average Period Return1.625.109.5320.9739.1554.16 Average Gain5.5810.8118.6329.0949.1654.16 Average Loss-1.57-3.81-6.07-8.03-2.88 Best Period14.5130.3450.0259.9079.79104.70 Worst Period-6.47-9.97-10.44-10.64-6.656.28 Standard Deviation4.8710.5916.9221.6827.1024.82 Gain Standard Deviation4.569.6714.8017.0419.2324.82 Loss Standard Deviation1.993.253.513.432.17 Sharpe Ratio (1%)0.320.460.530.921.392.10 Average Gain / Average Loss3.552.843.073.6217.07 Profit / Loss Ratio2.934.435.2612.9471.69 Downside Deviation (10%)2.033.715.596.274.880.89 Downside Deviation (5%)1.873.214.494.482.11 Downside Deviation (0%)1.833.094.224.041.52 Sortino Ratio (10%)0.601.041.262.556.4749.50 Sortino Ratio (5%)0.821.512.014.4617.81 Sortino Ratio (0%)0.891.652.265.1925.70 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index 3 Year 3 112.69 2014 - 2017 Stock Index Trader Index Month 7 1.58 12/2017 Stock Index Trader Index Month 10 1.34 10/2017 Stock Index Trader Index Month 3 4.15 3/2017 Systematic Trader Index Month 4 4.15 3/2017 Systematic Trader Index Month 3 5.74 1/2017 Stock Index Trader Index Month 2 5.74 1/2017 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