W.G. Wealth Guardian Ltd. : Gamma Volatility Ratio Program (GVRP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 25.63% Dec Performance -4.91% Min Investment $ 60k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 14.32% Sharpe (RFR=1%) 0.47 CAROR 6.99% Assets $ 1.0M Worst DD -26.72 S&P Correlation 0.13 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since9/2016 Gamma Volatility Ratio Program (GVRP) -4.91 -0.24 -25.63 -25.63 5.56 - - 34.01 S&P 500 3.71 11.69 16.26 16.26 40.48 - - 71.47 +/- S&P 500 -8.62 -11.93 -41.89 -41.89 -34.92 - - -37.45 Strategy Description SummaryThe 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% Composition VIX 100.00% SummaryThe 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 StrategyIn 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -26.72 8 - 4/1/2020 12/1/2020 -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 Show More 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 4.98 1 11/1/2020 11/1/2020 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -26.59 6 5/1/2020 10/1/2020 -4.91 1 12/1/2020 12/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods52.0050.0047.0041.0035.0029.0017.00 Percent Profitable61.5468.0080.8582.9385.7182.76100.00 Average Period Return0.652.305.4913.3623.2530.6450.08 Average Gain2.736.2510.2419.5129.1838.2150.08 Average Loss-2.69-6.09-14.54-16.53-12.28-5.65 Best Period14.2219.1623.7936.0953.1254.5883.53 Worst Period-9.62-18.38-26.59-25.63-21.40-10.645.56 Standard Deviation4.137.8612.4515.3718.0920.3327.87 Gain Standard Deviation3.274.767.276.5511.1612.4127.87 Loss Standard Deviation3.076.449.409.066.193.99 Sharpe Ratio (1%)0.140.260.400.801.201.411.69 Average Gain / Average Loss1.021.030.701.182.386.76 Profit / Loss Ratio1.632.182.975.7314.2632.45 Downside Deviation (10%)2.675.448.409.557.806.772.83 Downside Deviation (5%)2.535.037.648.035.613.51 Downside Deviation (0%)2.494.937.457.665.092.78 Sortino Ratio (10%)0.090.200.360.882.013.0112.12 Sortino Ratio (5%)0.220.410.651.543.878.16 Sortino Ratio (0%)0.260.470.741.744.5711.04 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. x {{title}} x {{title}} Add Cancel