V1 - Actual Performance

Strategy - V1 is basically a trend following, volatility trading strategy. It exploits the term structure of the VIX futures premium (contango/backwardation). The strategy uses time series analysis and does not use classical fundamental or technical analysis.

The strategy can either trade iPath's S&P 500 VIX short/mid term futures ETNs or CFDs (NYSEArca symbol: VXX - preferred instrument) or S&P 500 VIX short term futures (for accounts above $2,500,000). V1 trades 0-2 times a day. The position value relative to NAV is less than 30%, i.e. the strategy is underleveraged, in order to prevent disastrous drawdowns from overleveraged trading. Strategy returns are moderately correlated with S&P 500 index returns. Since this strategy is not correlated to other S&P 500 trading strategies, it can be seen as an excellent complement to them.

Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first is low leverage usage; second is use of position stops; third is position deleveraging at excessive VIX levels; and fourth is catastrophic stop based on money management rules.

The recommended minimum account size for the strategy is $100,000 (for VXX ETNs or CFDs) or $2,500,000 (for VIX futures - not recommended).

The strategy was modified in March 2015. To see extrapolation into the past of the currently traded strategy, see the hypothetical performance report from strategy back testing (V1 v.03/2015) on the Backtesting page (from February 2009 to March 2015). Returns before April 2015 are achieved by trading a former version of V1.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING EQUITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES.

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

VAMI

2011

See back testing results before Feb. 2012

1,000.0 1,000.0*

2012

4.18% 3.34%*

1.29% 1.03%*

2.19% 1.75%*

(0.28%) (0.28%)*

4.49% 3.65%*

1.06% 0.85%*

1.91% 1.53%*

1.61% 1.29%*

(5.00%) (5.00%)*

(0.33%) (0.33%)*

(1.33%) (1.33%)*

9.88% 6.42%*

1,098.8 1,064.2*

2013

0.37% 0.37%*

(0.10%) (0.10%)*

0.61% 0.61%*

0.73% 0.73%*

(0.89%) (0.89%)*

(0.05%) (0.05%)*

2.28% 2.28%*

(1.78%) (1.78%)*

2.11% 2.11%*

0.60% 0.60%*

1.28% 1.28%*

2.18% 2.09%*

7.51% 7.42%*

1,181.4 1,143.1*

2014

(0.04%) (0.04%)*

2.20% 1.77%*

0.02% 0.02%*

1.24% 0.99%*

2.34% 1.87%*

1.79% 1.43%*

(2.71%) (2.71%)*

0.90% 0.90%*

(2.49%) (2.49%)*

(2.37%) (2.37%)*

1.50% 1.50%*

(0.50%) (0.50%)*

1.71% 0.21%*

1,201.6 1,145.5*

2015

(1.24%) (1.24%)*

2.23% 2.23%*

0.55% 0.55%*

0.65% 0.65%*

2.48% 2.48%*

(1.16%) (1.16%)*

(1.04%) (1.04%)*

0.48% 0.48%*

1.18% 1.18%*

4.96% 4.33%*

(1.93%) (1.93%)*

(3.32%) (3.32%)*

3.64% 3.01%*

1,245.3 1,180.1*

2016

(1.68%) (1.68%)*

1.80% 1.80%*

6.41% 6.22%*

1.50% 1.20%*

1.92% 1.54%*

(0.19%) (0.19%)*

(1.36%) (1.36%)*

(1.30%) (1.30%)*

(1.09%) (1.09%)*

1.09% 1.09%*

0.91% 0.91%*

4.67% 4.14%*

13.08% 11.55%*

1,408.1 1,316.3*

2017

2.97% 2.37%*

2.19% 1.75%*

1.67% 1.34%*

(0.42%) (0.42%)*

0.08% 0.08%*

(0.80%) (0.80%)*

2.17% 1.97%*

0.12% 0.10%*

2.26% 1.81%

0.88% 0.71%*

1.13% 0.90%*

(0.02%) (0.02%)*

12.84% 10.17%*

1,589.0 1,450.1*

2018

(0.97%) (0.97%)*

3.21% 2.74%*

(0.92%) (0.92%)*

2.09% 1.86%*

2.24% 1.79%*

(2.63%) (2.63%)*

3.51% 3.35%*

3.40% 2.72%*

0.50% 0.40%*

0.76% 0.61%*

2.42% 1.94%*

(0.30%) (0.30%)*

13.92% 10.96%*

1,810.1 1,609.1*

2019

4.16% 3.39%*

2.37% 1.90%*

2.89% 2.31%*

(0.80%) (0.80%)*

1.23% 1.14%*

2.69% 2.15%*

2.21% 1.77%*

2.90% 2.32%*

(0.58%) (0.58%)*

2.73% 2.30%*

(0.29%) (0.29%)*

2.21% 1.83%*

23.85% 18.79%*

2,241.7 1,911.5*

2020

0.66% 0.53%*

1.43% 1.15%*

0.32% 0.26%*

0.60% 0.48%*

2.67% 2.14%*

(0.98%) (0.98%)*

1.35% 1.28%*

(0.03%) (0.03%)*

0.59% 0.48%*

0.07% 0.06%*

1.59% 1.27%*

1.24% 0.99%*

9.89% 7.85%*

2,463.6 2,061.6*

2021

(1.33%) (1.33%)*

(1.37%) (1.37%)*

1.29% 1.29%*

0.94% 0.94%*

1.69% 1.46%*

(0.67%) (0.67%)*

(0.21%) (0.21%)*

1.60% 1.46%*

(0.42%) (0.42%)*

0.83% 0.74%*

0.00% 0.00%*

2.16% 1.73%*

4.51% 3.60%*

2,574.7 2,135.8*

2022

(1.07%) (1.07%)*

0.47% 0.47%*

(0.50%) (0.50%)*

0.59% 0.59%*

(0.63%) (0.63%)*

(1.70%) (1.70%)*

(0.37%) (0.37%)*

(1.44%) (1.44%)*

(0.60%) (0.60%)*

0.05% 0.05%*

0.74% 0.74%*

(2.08%) (2.08%)*

(6.39%) (6.39%)*

2,410.2 1,999.4*

2023

0.00% 0.00%*

(1.36%) (1.36%)*

1.13% 1.13%*

0.46% 0.46%*

(2.60%) (2.60%)*

5.06% 5.06%*

(1.17%) (1.17%)*

1.23% 1.23%*

(1.16%) (1.16%)*

1.24% 1.24%*

3.81% 3.81%*

0.01% 0.015*

6.59% 6.59%*

2,569.0 2,131.1*

* - Net of 20% monthly performance fee.

- Former version of the strategy

The above table shows actual trading results, before and after performance fees. Rates of return (ROR), net of 20% performance fee, are marked by asterisk (*). ROR figures have been calculated according to CFTC Regulation 4.35(a)(6)(i)(F), by dividing the monthly net performance (gain or loss) by the nominal (notional) account size. To see the calculations, open this Excel table. See also this performance fee calculation example in Excel.

The charts below show monthly rates of return (ROR) and the growth of $1,000 (the Value Added Monthly Index - VAMI), before and after 20% performance/incentive fee deduction. Compounding by monthly profit reinvesting is used.

II. Performance Analytics (Based on Actual Trading Results, Net of 20% Performance Fee)

Strategy Statistics
Reporting period	Feb/12 - Dec/23 (143 months)
Total return since strategy inception	113.11%
Return last 12 months	6.59%
Compound average annual rate of return (ROR)	6.56%
VAMI Index - hyp. growth of $1,000 since inception	2,131.1
# Profitable months / average positive ROR	91 / 1.51%
# Unprofitable months / average negative ROR	52 / (1.15%)
Kurtosis & skewness of monthly RORs	1.00 / 0.09
% Profitable months	63.6%
Ratio avg. positive / avg. negative monthly ROR (Gain to loss ratio)	1.32
Maximum / minimum monthly ROR	6.22% / (5.00%)
Monthly profit factor (Profit to loss ratio); Ratio sum positive returns ÷ sum negative returns	2.31

Risk Measures
Annualized standard deviation of monthly RORs	5.81%
Annualized downside deviation (below the RF rate of return of 1% per annum)	3.25%
Sharpe ratio, annualized (RF rate of return 1.0%)	0.96
Sortino ratio, annualized (below the RF rate of 1% per annum)	1.71
Efficiency Ratio	1.13
Calmar Ratio (since strategy inception)	0.76
Alpha relative to the S&P 500 Index, annualized	4.80%
Strategy Beta & Correlation coefficient, relative to the S&P 500 Index	0.15 / 0.38
Jensen's alpha relative to the S&P 500 Index, annualized	3.94%
Tracking error, rel. to the S&P 500 Index, annualized	13.32%
Information ratio, relative to the S&P 500 Index	(0.40)
Worst drawdown depth / duration (on end-of-month basis)	(8.63%) / 24 months
Longest recovery period	24 months

THE RISK OF LOSS IN TRADING CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. EQUITY TRADING IS SPECULATIVE AND MAY INVOLVE THE LOSS OF PRINCIPAL; THEREFORE, FUNDS PLACED UNDER MANAGEMENT SHOULD BE RISK CAPITAL FUNDS THAT IF LOST WILL NOT SIGNIFICANTLY AFFECT ONE'S PERSONAL WELL BEING. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION.