Systematic Absolute Return AG : SAR Volatility Arbitrage (VOLA)

archived programs
Year-to-Date
N / A
Apr Performance
1.41%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
16.53%
Sharpe (RFR=1%)
0.98
CAROR
17.20%
Assets
$ 2.5M
Worst DD
-11.65
S&P Correlation
0.05

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/2014
SAR Volatility Arbitrage (VOLA) 1.41 26.86 - 23.07 59.75 - - 71.99
S&P 500 0.27 -6.22 - 9.95 25.69 - - 27.32
+/- S&P 500 1.14 33.09 - 13.13 34.06 - - 44.68

Strategy Description

Summary

The SAR Volatility Arbitrage (VOLA) strategy takes a multistrategy approach in the equity index volatility market. It has one intraday momentum and two overnight strategies. Order execution is also fully systematic and automated. The strategy is available via a U.S. onshore fund,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
1.50
Management Fee
0%
Performance Fee
25.00%
Average Commission
$4.20
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
10000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
11.00%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
70.00%
Intraday
30.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
33.00%
Spreading/hedging
67.00%
Strategy Pie Chart

Composition

VIX
60.00%
Stock Indices
40.00%
Composition Pie Chart

Summary

The SAR Volatility Arbitrage (VOLA) strategy takes a multistrategy approach in the equity index volatility market. It has one intraday momentum and two overnight strategies. Order execution is also fully systematic and automated. The strategy is available via a U.S. onshore fund, an offshore fund or a separately managed account.

Investment Strategy

The strategy trades 1.) market neutral calendar spreads in VIX Index futures and 2.) VIX Index futures versus the S&P 500 Index futures to arbitrage the equity market volatility risk premium. Additionally, 3.) it takes directional intraday momentum trades in both the VIX Index futures and S&P Index futures. The investment process is systematic and based on SAR's proprietary volatility estimation model, which takes into consideration the volatility surface and VIX Index term-structure.

Risk Management

The VOLA strategy benefits from increased volatility and produces stable returns during periods of low volatility - the only difficult period being the transition phase between high and low volatility environments. Historically, periods of inverted term-structures (Backwardation, short-term forward volatility exceeding long-term forward volatility) have provided the best absolute returns and the highest diversification.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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Loss Frequency:
Average Loss:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-11.65 4 7 3/1/2017 7/1/2017
-8.63 1 7 7/1/2015 8/1/2015
-6.96 1 2 5/1/2016 6/1/2016
-0.88 1 1 3/1/2015 4/1/2015
-0.11 1 1 10/1/2016 11/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
29.01 4 2/1/2016 5/1/2016
26.86 3 2/1/2018 4/1/2018
15.99 4 7/1/2016 10/1/2016
8.62 4 12/1/2014 3/1/2015
5.96 4 12/1/2016 3/1/2017
4.57 5 8/1/2017 12/1/2017
3.08 2 9/1/2015 10/1/2015
1.81 3 5/1/2015 7/1/2015
0.36 1 6/1/2017 6/1/2017
0.19 1 12/1/2015 12/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.63 1 8/1/2015 8/1/2015
-6.96 1 6/1/2016 6/1/2016
-6.88 2 4/1/2017 5/1/2017
-5.46 1 7/1/2017 7/1/2017
-2.36 1 1/1/2016 1/1/2016
-1.02 1 1/1/2018 1/1/2018
-0.88 1 4/1/2015 4/1/2015
-0.38 1 11/1/2015 11/1/2015
-0.11 1 11/1/2016 11/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable75.6171.7958.3376.67100.00100.00
Average Period Return1.444.407.1314.2726.3236.32
Average Gain2.967.9715.7319.7826.3236.32
Average Loss-3.28-4.71-4.90-3.84
Best Period20.8727.4827.6743.0445.2960.94
Worst Period-8.63-7.82-10.03-5.803.9219.50
Standard Deviation4.779.1412.4916.1610.1010.02
Gain Standard Deviation4.208.308.9614.4110.1010.02
Loss Standard Deviation3.122.063.061.33
Sharpe Ratio (1%)0.280.450.530.822.463.42
Average Gain / Average Loss0.901.693.215.15
Profit / Loss Ratio2.804.314.4916.91
Downside Deviation (10%)2.333.335.134.460.76
Downside Deviation (5%)2.212.833.982.41
Downside Deviation (0%)2.182.713.701.95
Sortino Ratio (10%)0.440.950.912.0824.66
Sortino Ratio (5%)0.611.461.675.50
Sortino Ratio (0%)0.661.621.937.32

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 8 3.50 3/2018
Systematic Trader Index Month 8 3.50 3/2018
IASG CTA Index Month 1 20.87 2/2018
Systematic Trader Index Month 2 20.87 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.