Cohalo Advisory LLC

Cohalo Dynamic Volatility Strategies - Futures

Minimum Investment
$ 100,000
Management Fee 1.00%
Performance Fee 20.00%

Summary

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 is underpinned by persistently divergent equity volatility expectations (both under/overpriced) and resulting risk premiums, seeking to capitalize on acute and extended mispricings by employing a disciplined process of dynamic exposure in both direction and degree to listed volatility futures. The program will primarily take long and short positions on the VIX futures curve. Notably, the expected long-term correlation to VIX is roughly zero.

All returns shown are net of fees, commissions, and related accruals and represent the composite performance of individual managed accounts using the OAT performance accounting method. Results in 2020 are from a proprietary account, adjusted to reflect pro forma fees of 1% management and 20% performance. Results from 2021 forward are from the customer composite.