W.G. Wealth Guardian Ltd. : Strategic Volatility Master Program (SVMP)

Year-to-Date
2.88%
Jun Performance
-12.08%
Min Investment
$ 550k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
19.31%
Sharpe (RFR=1%)
0.94
CAROR
18.96%
Assets
$ 1.1M
Worst DD
-12.08
S&P Correlation
0.01

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2016
Strategic Volatility Master Program (SVMP) -12.08 -9.58 -2.88 2.23 60.40 - - 89.01
S&P 500 1.84 19.95 -4.04 5.39 26.82 - - 39.56
+/- S&P 500 -13.92 -29.54 1.16 -3.16 33.58 - - 49.44

Strategy Description

Summary

The Strategic Volatility Master Program (SVMP) is a direction neutral trading strategy that seeks to generate returns by employing momentum and arbitrage methodologies in specific volatility instruments. It combines all of our standalone volatility trading programs with another in-house... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 550k
Trading Level Incremental Increase $ 550k
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 1

Trading

Trading Frequency 1950 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 9.50%
Sector Focus Arbitrage & Spread Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 30.00%
1-30 Days 60.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
30.00%
Counter-trend
5.00%
Momentum
15.00%
Pattern Recognition
10.00%
Spreading/hedging
30.00%
Technical
10.00%
Strategy Pie Chart

Composition

VIX
85.00%
Stock Indices
15.00%
Composition Pie Chart

Summary

The Strategic Volatility Master Program (SVMP) is a direction neutral trading strategy that seeks to generate returns by employing momentum and arbitrage methodologies in specific volatility instruments. It combines all of our standalone volatility trading programs with another in-house developed strategy that extends the existing arbitrage methodology to include stock index futures. The approach 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 significantly 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

As the existing SVRP and GVRP are components of this Master program, SVMP excels in taking advantage of sideways or range-bound 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. In addition, SVMP extends the arbitrage methodology from only between volatility instruments to encompass a benchmark stock index future - the S&P500. By spreading the broad market index against designated volatility instruments, the strategy seeks to take advantage of mispriced risk premium caused by psychological and emotional factors. 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 the quantitative analysis of statistical information. 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. SVMP 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 its 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 pre-emptively 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:
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
-12.08 1 - 5/1/2020 6/1/2020
-8.72 2 5 7/1/2017 9/1/2017
-6.91 1 3 9/1/2018 10/1/2018
-4.26 1 1 2/1/2018 3/1/2018
-2.28 2 2 8/1/2019 10/1/2019
-0.84 1 1 1/1/0001 11/1/2016
-0.66 2 1 3/1/2019 5/1/2019
-0.55 1 1 5/1/2018 6/1/2018
-0.51 1 1 6/1/2019 7/1/2019
-0.03 1 1 7/1/2018 8/1/2018
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
22.43 1 2/1/2018 2/1/2018
21.86 8 12/1/2016 7/1/2017
19.40 1 6/1/2019 6/1/2019
16.56 7 11/1/2019 5/1/2020
12.59 5 11/1/2018 3/1/2019
5.82 2 4/1/2018 5/1/2018
4.76 1 12/1/2017 12/1/2017
4.25 1 7/1/2018 7/1/2018
3.97 1 10/1/2017 10/1/2017
2.60 1 8/1/2019 8/1/2019
1.24 1 9/1/2018 9/1/2018
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-12.08 1 6/1/2020 6/1/2020
-8.72 2 8/1/2017 9/1/2017
-6.91 1 10/1/2018 10/1/2018
-4.26 1 3/1/2018 3/1/2018
-4.05 1 1/1/2018 1/1/2018
-2.28 2 9/1/2019 10/1/2019
-0.87 1 11/1/2017 11/1/2017
-0.84 1 11/1/2016 11/1/2016
-0.66 2 4/1/2019 5/1/2019
-0.55 1 6/1/2018 6/1/2018
-0.51 1 7/1/2019 7/1/2019
-0.03 1 8/1/2018 8/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable65.9178.5784.62100.00100.00100.00
Average Period Return1.605.5311.2023.8037.4650.55
Average Gain3.878.1813.6723.8037.4650.55
Average Loss-2.79-4.22-2.39
Best Period22.4323.3228.6038.8360.9871.97
Worst Period-12.08-9.58-5.442.2321.8834.09
Standard Deviation5.577.749.719.419.6912.40
Gain Standard Deviation5.066.378.409.419.6912.40
Loss Standard Deviation3.592.951.65
Sharpe Ratio (1%)0.270.681.102.423.713.92
Average Gain / Average Loss1.391.945.72
Profit / Loss Ratio2.687.1031.49
Downside Deviation (10%)2.762.842.020.48
Downside Deviation (5%)2.632.441.28
Downside Deviation (0%)2.602.341.11
Sortino Ratio (10%)0.431.514.3238.93
Sortino Ratio (5%)0.582.168.38
Sortino Ratio (0%)0.622.3610.11

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.