Vernon Capital Partners, LLC. : Managed Account Program

Year-to-Date
11.83%
Aug Performance
1.50%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
17.50%
Annualized Vol
21.21%
Sharpe (RFR=1%)
0.77
CAROR
16.39%
Assets
$ 707k
Worst DD
-9.88
S&P Correlation
-0.13

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
5/2019
Managed Account Program 1.50 4.30 11.83 9.95 - - - 42.50
S&P 500 3.04 7.72 24.49 33.58 - - - 69.90
+/- S&P 500 -1.54 -3.42 -12.65 -23.63 - - - -27.40

Strategy Description

Summary

Vernon Capital’s trading strategies are designed to provide clients with the opportunity to achieve capital appreciation by engaging in low-frequency, short-term, systematic trading of volatility futures and related instruments. Its strategies rely on disciplined execution of proprietary,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 1.50%
Performance Fee 17.50%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 5.00%
1-30 Days 90.00%
Intraday 5.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Arbitrage
50.00%
Fundamental
50.00%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

Vernon Capital’s trading strategies are designed to provide clients with the opportunity to achieve capital appreciation by engaging in low-frequency, short-term, systematic trading of volatility futures and related instruments. Its strategies rely on disciplined execution of proprietary, data-driven methodologies.

The Advisor offers one Program, “Fundamental Volatility.” As certain elements of the Program are proprietary, descriptions in this Disclosure Document are general in nature and not intended to be exhaustive.

Investment Strategy

Vernon Capital’s Fundamental Volatility Program attempts to monetize observed price inefficiencies in volatility futures markets by identifying relatively expensive and inexpensive contracts and holding positions as market prices converge to inherent values. It targets a 15% allocation of risk capital daily primarily to directional long or short positions in the most attractively priced volatility futures contract(s). The Program is intended to provide consistent positive returns, uncorrelated with equities, bonds, and commodities as well as spot volatility over intermediate- and long-term horizons.

The strategy relies on simultaneous estimation of intrinsic values of listed futures contracts based on fundamental economic data. Although the Program is intended to be systematic, the Advisor may, infrequently, use discretion to limit realized losses.

   

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
-9.88 6 3 7/1/2020 1/1/2021
-9.52 4 7 1/1/0001 8/1/2019
-1.53 1 1 5/1/2020 6/1/2020
-0.80 1 1 6/1/2021 7/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
39.44 4 2/1/2020 5/1/2020
19.24 5 2/1/2021 6/1/2021
7.01 1 11/1/2020 11/1/2020
6.90 3 9/1/2019 11/1/2019
2.95 1 7/1/2020 7/1/2020
1.81 1 6/1/2019 6/1/2019
1.50 1 8/1/2021 8/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.89 3 8/1/2020 10/1/2020
-7.57 2 12/1/2020 1/1/2021
-7.40 1 5/1/2019 5/1/2019
-4.03 2 7/1/2019 8/1/2019
-3.67 2 12/1/2019 1/1/2020
-1.53 1 6/1/2020 6/1/2020
-0.80 1 7/1/2021 7/1/2021
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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.