Volt Capital Management AB : Diversified Alpha Program

Year-to-Date
34.63%
Sep Performance
0.36%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.21%
Sharpe (RFR=1%)
0.86
CAROR
9.66%
Assets
$ 40.0M
Worst DD
-8.81
S&P Correlation
-0.29

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
3/2017
Diversified Alpha Program 0.36 8.77 34.63 28.53 44.42 - - 39.17
S&P 500 -3.92 8.47 4.09 12.98 32.33 - - 40.89
+/- S&P 500 4.28 0.30 30.54 15.55 12.09 - - -1.72

Strategy Description

Investment Strategy

The Volt Diversified Alpha Program (the “Program”) is a diversified, systematic trading program that applies machine learning to financial markets with the aim to deliver capital appreciation in all market conditions. The Program is fundamental in nature, primarily seeking... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
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 1250 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Interest Rates
19.00%
Currency Futures
17.00%
Precious Metals
17.00%
Energy
17.00%
Grains
13.00%
Stock Indices
11.00%
Livestock
3.00%
Softs
3.00%
Composition Pie Chart

Investment Strategy

The Volt Diversified Alpha Program (the “Program”) is a diversified, systematic trading program that applies machine learning to financial markets with the aim to deliver capital appreciation in all market conditions. The Program is fundamental in nature, primarily seeking to capture price moves that are motivated by a change in underlying economic factors, but it also uses technical information for risk management, trade timing and execution decisions.

The Program trades a diversified portfolio of liquid futures contracts, covering the main global financial and commodity markets. Trading signals span a variety of horizons from monthly to intraday. Intraday or daily signals are used primarily to aid execution and risk management while signals with a weekly or longer horizon are used to establish core positions.

The Program targets a 10% annualized volatility. Position risk is managed on an intraday basis, maintaining strict limits on exposure and Value-at-Risk (VaR). Execution is fully automated using direct market access (DMA). Thanks to the use of machine learning and fundamental input data, the Program is expected to have a low correlation to traditional assets as well as systematic trading benchmarks.

   

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
-8.81 5 3 6/1/2019 11/1/2019
-7.55 4 6 1/1/0001 6/1/2017
-6.93 3 7 1/1/2018 4/1/2018
-1.09 3 1 2/1/2019 5/1/2019
-0.60 1 2 4/1/2020 5/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
27.36 5 12/1/2019 4/1/2020
12.79 5 10/1/2018 2/1/2019
9.29 4 6/1/2020 9/1/2020
5.63 4 10/1/2017 1/1/2018
5.33 2 7/1/2017 8/1/2017
4.72 2 5/1/2018 6/1/2018
1.81 1 6/1/2019 6/1/2019
1.38 1 8/1/2019 8/1/2019
0.50 1 3/1/2018 3/1/2018
0.40 1 8/1/2018 8/1/2018
0.23 1 4/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.71 3 9/1/2019 11/1/2019
-7.55 4 3/1/2017 6/1/2017
-4.26 1 2/1/2018 2/1/2018
-3.27 1 4/1/2018 4/1/2018
-1.86 1 7/1/2018 7/1/2018
-1.47 1 7/1/2019 7/1/2019
-1.04 1 9/1/2017 9/1/2017
-0.79 1 3/1/2019 3/1/2019
-0.65 1 9/1/2018 9/1/2018
-0.60 1 5/1/2020 5/1/2020
-0.53 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable62.7965.8571.0584.3892.31100.00
Average Period Return0.812.705.598.6613.6519.67
Average Gain2.455.789.1010.7314.9319.67
Average Loss-1.95-3.25-3.02-2.55-1.70
Best Period11.5422.5826.5928.5330.4743.29
Worst Period-4.36-8.71-7.16-4.41-2.241.66
Standard Deviation2.956.348.988.658.6013.09
Gain Standard Deviation2.385.448.297.757.6313.09
Loss Standard Deviation1.232.602.191.820.77
Sharpe Ratio (1%)0.250.390.570.891.411.35
Average Gain / Average Loss1.261.783.014.208.79
Profit / Loss Ratio2.123.437.3922.69105.43
Downside Deviation (10%)1.613.003.253.422.772.62
Downside Deviation (5%)1.442.512.201.550.900.08
Downside Deviation (0%)1.392.401.981.200.49
Sortino Ratio (10%)0.250.490.961.072.183.60
Sortino Ratio (5%)0.510.972.314.9413.48228.08
Sortino Ratio (0%)0.581.132.837.2327.59

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.