Lyncestis LLP / V1 - Volatility Trading Program Arbitrage Trading Strategy / Equities Accepting New Investors: Yes Non-US Investors Only
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Ascent Capital Management CTA Report Report Start Date: Jan-2016 - Report End Date: Aug-2021 Lyncestis LLP / V1 - Volatility Trading Program Arbitrage Trading Strategy / Equities Accepting New Investors: Yes Non-US Investors Only Performance Since January 2016 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 2016 -1.68% 1.80% 6.22% 1.20% 1.54% -0.19% -1.36% -1.30% -1.09% 1.09% 0.91% 4.14% 2017 2.37% 1.75% 1.34% -0.43% 0.08% -0.80% 1.97% 0.10% 1.81% 0.71% 0.90% -0.03% 2018 -0.97% 2.77% -0.92% 1.86% 1.79% -2.63% 3.35% 2.72% 0.40% 0.61% 1.94% -0.30% 2019 3.39% 1.90% 2.31% -0.80% 1.14% 2.15% 1.77% 2.32% -0.58% 2.30% -0.29% 1.83% 2020 0.53% 1.15% 0.26% 0.48% 2.68% -0.93% 1.28% -0.03% 0.48% 0.07% 1.27% 0.99% 2021 -1.33% -1.37% 1.29% 0.94% 1.46% -0.68% -0.21% 1.46% 2016 2017 2018 2019 2020 2021 YTD ROR 11.55% 10.16% 10.96% 18.79% 8.49% 1.51% Max DD -3.88% -1.14% -2.63% -0.79% -0.93% -2.68% The Notes Below Are An Integral Part of this Report | Track Record Compiled By: N/A Program Description: V1-VOLATILITY TRADING PROGRAM is basically a market neutral, volatility arbitrage trading strategy. It exploits the term structure (contango and backwardation) of the VIX futures premium. The strategy aims to profit from the contango of VIX futures (the price of front month VIX futures is lower than price of more distant months), as VIX futures trade at contango over 90% of the time. When the term structure changes from contango to backwardation, the strategy adapts to the changing market condition. V1 uses time series analysis and does not use classical fundamental or technical analysis. The strategy can trade either iPath's S&P 500 VIX short/mid term futures ETNs (VXX, VXZ - prefered) or S&P 500 VIX short/mid term futures (VX, VM). V1 adjusts portfolio components on daily basis. The combined net leverage (long minus short positions leverage) is less than 0.3. The strategy uses relatively low leverage in order to prevent disastrous drawdowns from overleveraged trading. Strategy returns are weakly correlated with S&P 500 index returns. Since this strategy is not correlated to swing and trend following strategies, it can be seen as an excellent complement to them. Returns are based on proforma adjustments to a proprietary account to reflect fees. Client accounts will be traded in like fashion. Extensive strategy back testing results are available upon request. The information about this trading program is not intended for persons or entities resident, located or registered in jurisdictions that restrict the distribution of such trading programs. Consequently, this information does not constitute, and may not be used for the purposes of, an offer or invitation to invest in this trading program to any person in any jurisdiction: (a) in which any such offer or invitation is not authorised; (b) in which Quant Trading, LLC is not qualified to make such offer or invitation; or (c) on which it is unlawful to make any such offer or invitation. Investment Information Program Start Date Feb-2012 Minimum Investment 100,000 Management Fee 0.00% Incentive Fee 20.00% Trading Strategy Market Segment Margin Round Turns per Million 0 Currency US Dollar #Non NFA- NFA No: Member VAMI, AUM & Worst Drawdown (since Jan 2016) $ 1 ,8 0 0 $ 0 .0 5 2 0 1 7 2 0 1 8 2 0 1 9 2 0 2 0 2 0 2 1 $ 1 ,6 0 0 $ 0 .0 4 $ 1 ,4 0 0 $ 0 .0 4 VAMI $ 1 ,2 0 0 $ 0 .0 3 $ 1 ,0 9 3 $ 1 ,0 0 0 $ 0 .0 3 $ 1 ,0 0 0 $ 1 ,0 5 0 $ 8 0 0 $ 0 .0 2 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Assets Under Management V A MI (Red Line Indicates Max Drawdown) Program Statistics Annualized Statistics Peak-to-Valley Drawdown (1) (May 2016 - Sep 2016) -3.88% Annualized Compounded ROR (2) 10.75% Worst Monthly Return (Jun 2018) -2.63% Standard Deviation 5.30% Current Losing Streak 0.00% Sharpe Ratio (4) 1.77 Average Monthly Return 0.87% 36 Month Calmar Ratio (3) 3.86 PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN. Ascent Capital Management 311 S. Wacker Drive - Suite 600 * Chicago, IL 60606 Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com Ascent Capital Management CTA Report Report Start Date: Jan-2016 - Report End Date: Aug-2021 Time Window Analysis Historical Drawdown and Recoveries*** Length Best Average Worst Start Depth Length Recovery End 1 mo 6.2% 0.9% -2.6% Jun-16 -3.89% 4 mo 3 mo Dec-16 3 mo 9.4% 2.7% -3.7% Jan-21 -2.68% 2 mo 3 mo May-21 6 mo 12.1% 5.2% -2% Jun-18 -2.63% 1 mo 1 mo Jul-18 12 mo 20.4% 11.3% 2.9% Jan-16 -1.68% 1 mo 1 mo Feb-16 18 mo 29.5% 17.9% 8% Apr-17 -1.15% 3 mo 1 mo Jul-17 Dec-17 -1.00% 2 mo 1 mo Feb-18 24 mo 34.9% 25.3% 13.7% 36 mo 50.3% 41.5% 34.3% Comparisons Program AG CTA Index Annualized Compound ROR 10.75% 2.47% Cumulative Return 78.39% 14.85% Cumulative VAMI (5) 1784 1148 Largest Monthly Gain 6.22% 2.61% Largest Monthly Loss -2.63% -5.53% Correlation — -0.108 Last 12 Months 4.40% 7.79% Last 36 Months 34.30% 14.68% Growth of $1,000 VAMI - Program vs. Benchmarks (since Jan 2016) $1,800 2017 2018 2019 2020 2021 $1,600 $1,400 VAMI $1,200 $1,000 $800 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Program AG CTA Index Monthly Returns (since Jan 2016) Distribution of Returns (since Jan 2016) 9 % 4 0 M os . 2 0 1 6 2 0 1 7 2 0 1 8 2 0 1 9 2 0 2 0 2 0 2 1 3 2 M os . 6 % 2 4 M os . 3 % 1 6 M os . 0 % 8 M os . 0 M os . -3 % > 1 > 0 < -1 < 0 -6 % 0to 2 2to 4 4to 6 6to 8 -2to 0 8to 1 0 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 -8to -6 -6to -4 -4to -2 -1 0to -8 Month/Year Percent Return PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN. Ascent Capital Management 311 S. Wacker Drive - Suite 600 * Chicago, IL 60606 Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com Ascent Capital Management CTA Report Report Start Date: Jan-2016 - Report End Date: Aug-2021 + NOTES: A Qualified Eligible Person ('QEP') must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin). PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT. ** The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown. Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility. Statistical Notes 1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2016-01-31 to 2021-08-31 2.