SandPointe : SandPointe All-Seasons Strategy

archived programs
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

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 Since
1/2015
SandPointe All-Seasons Strategy -0.10 -0.22 - -8.20 34.33 - - 90.76
S&P 500 3.60 6.35 - 13.03 32.51 - - 43.97
+/- S&P 500 -3.70 -6.57 - -21.22 1.82 - - 46.79

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Stock Indices
75.00%
VIX
25.00%
Composition Pie Chart

Summary

The 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.

   

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
-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
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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
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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 Rolling 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.