The Vega Group LLC : Dynamic Volatility Program

Year-to-Date
23.83%
Jul Performance
-2.32%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
17.94%
Sharpe (RFR=1%)
-0.80
CAROR
-
Assets
$ 3.4M
Worst DD
-24.68
S&P Correlation
0.65

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
5/2019
Dynamic Volatility Program -2.32 -1.03 -23.83 -23.90 - - - -17.13
S&P 500 5.51 12.32 1.25 9.76 - - - 27.19
+/- S&P 500 -7.83 -13.35 -25.08 -33.65 - - - -44.32

Strategy Description

Summary

The Dynamic Volatility Strategy seeks to profit from the discrepancies between the implied volatility and realized volatility. The return has a low to negative correlation with the overall market’s return. The Fund relies on the mathematical principal of mean reversion (the likelihood... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 80.00%
Intraday 10.00%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Arbitrage
50.00%
Option-spreads
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Dynamic Volatility Strategy seeks to profit from the discrepancies between the implied volatility and realized volatility. The return has a low to negative correlation with the overall market’s return. The Fund relies on the mathematical principal of mean reversion (the likelihood of two disparate values reverting back to the same value given sufficient time and a large enough sample size) as we expect to earn the difference in realized volatility and implied volatility. Volatility arbitrage strategies work best during periods of high market volatility because the spreads between real and implied volatility significantly increase during these 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.

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
-24.68 4 - 11/1/2019 3/1/2020
-0.02 1 1 6/1/2019 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
6.86 4 8/1/2019 11/1/2019
2.96 2 5/1/2019 6/1/2019
2.41 3 4/1/2020 6/1/2020
0.23 1 1/1/2020 1/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.03 2 2/1/2020 3/1/2020
-2.32 1 7/1/2020 7/1/2020
-1.09 1 12/1/2019 12/1/2019
-0.02 1 7/1/2019 7/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods15.0013.0010.00
Percent Profitable66.6746.1540.00
Average Period Return-1.11-3.63-9.71
Average Gain1.244.577.68
Average Loss-5.80-10.67-21.30
Best Period5.798.179.85
Worst Period-15.83-23.85-24.22
Standard Deviation5.1811.0015.63
Gain Standard Deviation1.722.842.18
Loss Standard Deviation6.7810.495.79
Sharpe Ratio (1%)-0.23-0.35-0.65
Average Gain / Average Loss0.210.430.36
Profit / Loss Ratio0.430.370.24
Downside Deviation (10%)5.0111.2718.86
Downside Deviation (5%)4.8810.7217.38
Downside Deviation (0%)4.8410.5917.00
Sortino Ratio (10%)-0.30-0.43-0.65
Sortino Ratio (5%)-0.24-0.36-0.59
Sortino Ratio (0%)-0.23-0.34-0.57

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.