The Vega Group LLC

Dynamic Volatility Program

Year-to-Date
N/A
Minimum Investment
$ 500,000
Management Fee 1.00%
Performance Fee 25.00%
Annualized Volatility 16.50%
Sharpe (RFR=1%) -0.74
CAROR
Assets $3,300,000
Worst Drawdown -26.32
S&P Correlation 0.56

Summary

The Dynamic Volatility Strategy seeks to profit from the discrepancies between the implied volatility and realized volatility. The return has a low to negative correlation with the overall market’s return. The Fund relies on the mathematical principal of mean reversion (the likelihood of two disparate values reverting back to the same value given sufficient time and a large enough sample size) as we expect to earn the difference in realized volatility and implied volatility. Volatility arbitrage strategies work best during periods of high market volatility because the spreads between real and implied volatility significantly increase during these period.