Cohalo Advisory LLC

Cohalo Dynamic Volatility Strategies - Futures

Minimum Investment
$ 100,000
Management Fee 1.00%
Performance Fee 20.00%
Annualized Volatility 9.69%
Sharpe (RFR=1%) 0.70
Assets $884,202
Worst Drawdown -5.28
S&P Correlation 0.46


The Cohalo Dynamic Volatility Strategies - Futures program is a futures trading program incorporating elements of systematic and discretionary trading, based on instruments and industry knowledge utilized by the Trading Principal. The program will primarily take long and short positions on the VIX futures curve.

* Returns from September 1 2020 to December 31 2020 are fully funded proprietary account results, adjusted to reflect pro forma fees of 1% management and 20% performance. Customer composite began January 2021. All returns shown are net of fees, commissions, and related accruals and represent the composite performance of individual managed accounts using the OAT method of performance accounting.

The manager also operates a securities-based implementation of the flagship strategy with an inception of July 2018 that achieved attractive performance through the inception of this futures-based implementation. Tracking error between the implementation methods is expected to be minimal. Please contact the manager for more details.