W.G. Wealth Guardian Ltd. : Gamma Volatility Ratio Program (GVRP)

Year-to-Date
17.52%
Aug Performance
-8.38%
Min Investment
$ 60k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
13.49%
Sharpe (RFR=1%)
0.73
CAROR
10.42%
Assets
$ 1.0M
Worst DD
-18.72
S&P Correlation
0.06

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
9/2016
Gamma Volatility Ratio Program (GVRP) -8.38 -17.19 -17.52 -15.14 27.40 - - 48.64
S&P 500 7.01 14.98 8.34 19.61 40.39 - - 59.79
+/- S&P 500 -15.39 -32.16 -25.86 -34.75 -12.99 - - -11.15

Strategy Description

Summary

The Gamma Volatility Ratio Program (GVRP) is a market neutral trading strategy that seeks to generate returns by employing momentum and spread arbitrage methodologies in specific market volatility instruments. The strategy has been formalized into an automated system, thereby eliminating... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 60k
Trading Level Incremental Increase $ 60k
CTA Max Funding Factor 2.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $7.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 7-14 Days
Redemption Frequency 7-14 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 1400 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 24.00%
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 22.00%
1-3 Months 66.00%
1-30 Days 12.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
30.00%
Momentum
25.00%
Spreading/hedging
45.00%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

The Gamma Volatility Ratio Program (GVRP) is a market neutral trading strategy that seeks to generate returns by employing momentum and spread arbitrage methodologies in specific market volatility instruments. The strategy has been formalized into an automated system, thereby eliminating human intervention and ensuring unencumbered operation. The system attempts to produce consistent returns in varying market volatility environments that have little or no correlation to traditional and alternative strategies alike. This makes it a valuable component of any multi-asset class portfolio as it can greatly reduce overall volatility. The strategy was developed by investment professionals by utilizing the expertise and knowledge gained through years of trading and market observation.

Investment Strategy

In normal to low volatility environments, GVRP excels in taking advantage of sideways or rangebound markets to generate consistent income. At the same time, the strategy is inherently long gamma and has the capability to capture increasing returns during market turmoil and selloffs. The strategy seeks to exploit pricing inefficiencies across markets and time horizons by arbitraging cash and forward markets as discrepancies appear. This means that the strategy may hold positions for sustained periods even during extended market declines. It may also be flat when opportunities are limited or risk is under-priced. The methodology is conceptually driven and based on quantitative analysis of statistical information but also includes market psychology/ sentiment indicators. The analysis attempts to identify different phases in the market cycle and acts accordingly - taking various spread positions or being in cash. Therefore, the strategy can potentially profit in many different types of market environments – be it market lulls, rallies or sharp declines. GVRP can provide excellent diversification and hedging potential, not only having very low correlation to traditional investments such as stocks and bonds but also to the alternative investment world.

Risk Management

The strategy was conceived conceptually (as opposed to data mining) with risk management at is heart. The means that risk management is inherent in the selection and execution of trades rather than placing limits that disregard the current character of the market. Traditional markets and strategies are typically vulnerable to shocks while most strategies classed as alternative are vulnerable to periods of sideways / range-bound movement. This strategy attempts to outperform in exactly such situations. By maintaining a market neutral approach as well as taking advantage of gamma convexity, it is preemptively protected against sharp market downturns. At the same time it reaps returns during periods of low volatility and sideways movement.

   

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:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-18.72 4 - 4/1/2020 8/1/2020
-4.82 2 3 7/1/2017 9/1/2017
-3.98 1 3 9/1/2018 10/1/2018
-3.74 1 2 2/1/2018 3/1/2018
-3.55 3 2 1/1/0001 11/1/2016
-0.83 1 3 2/1/2019 3/1/2019
-0.67 1 1 5/1/2018 6/1/2018
-0.64 2 1 1/1/2020 3/1/2020
-0.40 1 1 12/1/2017 1/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
26.98 8 12/1/2016 7/1/2017
16.61 10 4/1/2019 1/1/2020
14.22 1 2/1/2018 2/1/2018
7.96 4 11/1/2018 2/1/2019
6.23 2 4/1/2018 5/1/2018
4.74 1 12/1/2017 12/1/2017
4.58 1 10/1/2017 10/1/2017
2.48 3 7/1/2018 9/1/2018
2.12 1 4/1/2020 4/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.72 4 5/1/2020 8/1/2020
-4.82 2 8/1/2017 9/1/2017
-3.98 1 10/1/2018 10/1/2018
-3.74 1 3/1/2018 3/1/2018
-3.55 3 9/1/2016 11/1/2016
-0.83 1 3/1/2019 3/1/2019
-0.67 1 6/1/2018 6/1/2018
-0.64 2 2/1/2020 3/1/2020
-0.58 1 11/1/2017 11/1/2017
-0.40 1 1/1/2018 1/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods48.0046.0043.0037.0031.0025.0013.00
Percent Profitable64.5873.9188.3791.8996.7796.00100.00
Average Period Return0.903.398.1417.2928.0936.6561.86
Average Gain2.666.2510.2419.5129.1838.2161.86
Average Loss-2.31-4.70-7.84-7.87-4.63-0.77
Best Period14.2219.1623.7936.0953.1254.5883.53
Worst Period-8.38-17.19-17.02-15.14-4.63-0.7727.40
Standard Deviation3.906.839.219.9512.5414.4419.76
Gain Standard Deviation3.304.767.276.5511.1612.4119.76
Loss Standard Deviation2.705.116.396.34
Sharpe Ratio (1%)0.210.460.831.642.122.402.98
Average Gain / Average Loss1.151.331.312.486.3149.78
Profit / Loss Ratio2.103.779.9228.09189.231194.79
Downside Deviation (10%)2.253.934.043.952.192.23
Downside Deviation (5%)2.113.553.452.921.100.56
Downside Deviation (0%)2.083.463.312.680.830.15
Sortino Ratio (10%)0.220.551.403.119.3411.84
Sortino Ratio (5%)0.390.882.215.5724.1562.35
Sortino Ratio (0%)0.430.982.466.4533.81238.76

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 3 Year 4 83.53 2016 - 2019
IASG CTA Index Sharpe 9 1.40 2019
Systematic Trader Index Month 6 9.98 6/2019

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.