W.G. Wealth Guardian Ltd. : Strategic Volatility Returns Program (SVRP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 10.29% Dec Performance -1.87% Min Investment $ 40k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 11.82% Sharpe (RFR=1%) 0.77 CAROR 9.85% Assets $ 1.0M Worst DD -16.31 S&P Correlation 0.40 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 Since1/2016 Strategic Volatility Returns Program (SVRP) -1.87 4.45 -10.29 -10.29 7.76 59.97 - 59.97 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 - 91.62 +/- S&P 500 -5.58 -7.24 -26.55 -26.55 -32.72 -21.93 - -31.65 Strategy Description SummaryThe Strategic Volatility Returns Program (SVRP) is a market neutral trading strategy that seeks to generate returns by employing momentum and spread arbitrage methodologies in a variety of market volatility instruments. The strategy has been formalised into an automated system, thereby... Read More Account & Fees Type Managed Account Minimum Investment $ 40k Trading Level Incremental Increase $ 40k CTA Max Funding Factor 1.50 Management Fee 1.00% Performance Fee 25.00% Average Commission $7.00 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency 7-14 Days Redemption Frequency 7-14 Days Investor Requirements QEP Lock-up Period 1 Trading Trading Frequency 450 RT/YR/$M Avg. Margin-to-Equity 12% Targeted Worst DD -30.00% Worst Peak-to-Trough 26.00% Sector Focus Arbitrage & Spread Traders Holding Periods Over 12 Months 4-12 Months 5.00% 1-3 Months 20.00% 1-30 Days 75.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Arbitrage 5.00% Counter-trend 15.00% Momentum 15.00% Pattern Recognition 10.00% Seasonal/cyclical 5.00% Spreading/hedging 30.00% Technical 20.00% Composition VIX 100.00% SummaryThe Strategic Volatility Returns Program (SVRP) is a market neutral trading strategy that seeks to generate returns by employing momentum and spread arbitrage methodologies in a variety of market volatility instruments. The strategy has been formalised into an automated system, thereby eliminating human intervention and ensuring unencumbered operation. The system attempts to produce consistent returns - during normal market deviations - 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 StrategySVRP excels in taking advantage of sideways or rangebound markets (normal market deviations) to generate consistent income. However, it also has the potential to capture additional returns during market turmoil and selloffs. The strategy seeks to exploit pricing inefficiencies across markets and time horizons by trading cash and forward markets as discrepancies appear. This means that the strategy may stay out of markets for sustained periods of time 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 outright positions or 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. SVRP 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, it is naturally protected against sharp market downturns stemming from, for example, geopolitical events. At the same time is 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 -16.31 5 - 5/1/2020 10/1/2020 -6.20 1 4 7/1/2017 8/1/2017 -5.95 1 4 9/1/2018 10/1/2018 -5.66 3 2 12/1/2017 3/1/2018 -3.66 2 3 8/1/2016 10/1/2016 -2.07 3 2 12/1/2019 3/1/2020 -0.33 1 1 5/1/2016 6/1/2016 -0.16 2 1 1/1/0001 2/1/2016 Show More Consecutive Gains Run-up Length (Mos.) Start End 24.26 9 11/1/2016 7/1/2017 18.14 14 11/1/2018 12/1/2019 14.59 6 4/1/2018 9/1/2018 12.57 3 3/1/2016 5/1/2016 8.48 2 7/1/2016 8/1/2016 6.51 1 11/1/2020 11/1/2020 5.04 2 9/1/2017 10/1/2017 4.97 1 7/1/2020 7/1/2020 4.72 2 4/1/2020 5/1/2020 3.65 1 12/1/2017 12/1/2017 0.02 1 2/1/2020 2/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -14.79 3 8/1/2020 10/1/2020 -6.43 1 6/1/2020 6/1/2020 -6.20 1 8/1/2017 8/1/2017 -5.95 1 10/1/2018 10/1/2018 -5.66 3 1/1/2018 3/1/2018 -3.66 2 9/1/2016 10/1/2016 -2.06 1 1/1/2020 1/1/2020 -1.87 1 12/1/2020 12/1/2020 -0.33 1 6/1/2016 6/1/2016 -0.16 2 1/1/2016 2/1/2016 -0.08 1 11/1/2017 11/1/2017 -0.03 1 3/1/2020 3/1/2020 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00 Percent Profitable70.0072.4190.9191.8490.7097.30100.00100.00 Average Period Return0.842.575.3111.5117.3723.2536.4254.08 Average Gain2.345.216.7913.3019.6924.0336.4254.08 Average Loss-2.64-4.38-9.42-8.63-5.30-4.56 Best Period8.2312.9521.7231.3545.6048.4662.5878.32 Worst Period-13.00-14.79-13.37-10.29-8.23-4.566.7730.71 Standard Deviation3.415.497.149.9011.5911.8116.1517.40 Gain Standard Deviation2.013.285.528.169.4010.9816.1517.40 Loss Standard Deviation3.513.773.981.892.53 Sharpe Ratio (1%)0.220.420.671.061.371.802.072.87 Average Gain / Average Loss0.891.190.721.543.715.26 Profit / Loss Ratio2.073.137.2117.3336.21189.52 Downside Deviation (10%)2.513.523.793.973.992.962.61 Downside Deviation (5%)2.393.103.182.792.181.09 Downside Deviation (0%)2.362.993.032.511.750.75 Sortino Ratio (10%)0.170.380.751.642.454.407.93 Sortino Ratio (5%)0.320.751.523.767.2719.57 Sortino Ratio (0%)0.360.861.754.589.9230.99 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 10 3.51 5/2020 IASG CTA Index Sharpe 7 1.48 2019 IASG CTA Index 3 Year 7 51.25 2015 - 2018 Systematic Trader Index Month 9 2.94 7/2018 Systematic Trader Index Month 2 4.46 4/2018 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