W.G. Wealth Guardian Ltd. : Strategic Volatility Returns Program (SVRP)

Year-to-Date
12.07%
Oct Performance
1.29%
Min Investment
$ 40k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
9.64%
Sharpe (RFR=1%)
1.38
CAROR
14.76%
Assets
$ 1.3M
Worst DD
-6.20
S&P Correlation
0.47

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Strategic Volatility Returns Program (SVRP) 1.29 1.38 12.07 12.31 44.78 - - 69.51
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 51.86
+/- S&P 500 -0.75 -0.54 -9.09 0.30 3.37 - - 17.65

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

The 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 Strategy

SVRP 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 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, 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.

   

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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Gain Frequency:
Average Gain:
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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
-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
-0.33 1 1 5/1/2016 6/1/2016
-0.16 2 1 1/1/0001 2/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
24.26 9 11/1/2016 7/1/2017
14.59 6 4/1/2018 9/1/2018
12.57 3 3/1/2016 5/1/2016
12.31 12 11/1/2018 10/1/2019
8.48 2 7/1/2016 8/1/2016
5.04 2 9/1/2017 10/1/2017
3.65 1 12/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-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
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable76.0977.27100.00100.00100.00100.00
Average Period Return1.193.727.3714.5721.6928.89
Average Gain2.205.687.3714.5721.6928.89
Average Loss-2.01-2.96
Best Period8.2312.9521.7231.3545.6048.46
Worst Period-6.20-5.750.071.886.3114.93
Standard Deviation2.784.775.918.549.929.85
Gain Standard Deviation1.973.375.918.549.929.85
Loss Standard Deviation2.621.72
Sharpe Ratio (1%)0.400.731.161.592.032.73
Average Gain / Average Loss1.091.92
Profit / Loss Ratio3.486.53
Downside Deviation (10%)1.702.160.620.590.24
Downside Deviation (5%)1.591.720.08
Downside Deviation (0%)1.571.61
Sortino Ratio (10%)0.461.157.9216.1059.30
Sortino Ratio (5%)0.702.0285.34
Sortino Ratio (0%)0.762.31

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 3 Year Rolling 7 51.25 2015 - 2018
Systematic Trader Index Month 9 2.94 7/2018
Systematic Trader Index Month 2 4.46 4/2018
Systematic Trader Index Month 1 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.