Deep Field Capital AG

Intraday Convexity Capture (ICC)

Year-to-Date
-0.58%
Minimum Investment
$ 2,000,000
Management Fee 1.00%
Performance Fee 25.00%
Annualized Volatility 3.76%
Sharpe (RFR=1%) 0.06
CAROR 1.16%
Assets $0
Worst Drawdown -5.07
S&P Correlation -0.05

Summary

ICC is a pure intraday program taking directional long or short positions in the US VIX futures. It is built on the architecture and proven alpha drivers of the Intraday Crisis Alpha (ICA) Program, also targeting intraday equity momentum to the upside as well as downside but is further equipped to benefit from the specific characteristics of the VIX futures.