SandPointe

SandPointe All-Seasons Strategy

Year-to-Date
N/A
Minimum Investment
$ 5,000,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 16.87%
Sharpe (RFR=1%) 1.10
CAROR 19.75%
Assets $101,500,000
Worst Drawdown -10.84
S&P Correlation 0.18

Summary

The U.S. Volatility (VOL) Strategy aims to take advantage of the systematic mispricing of VIX Futures, which exist due to behavioral and structural reasons. The Strategy is built upon a classification model with the goal of differentiating between periods where VIX Futures may be overpriced, underpriced, or fairly-priced. Depending on the classification, the VOL Strategy buys or sells VIX futures, hedging the VIX exposure with S&P 500 futures.