DISCLOSURE

Strategy performance includes maximum fees and commissions. Strategy and Benchmark performance and statistics represents those of an account or Benchmark since the indicated date, and include the maximum management fee and all commissions. Individual account performance may vary.

 

Max Drawdown is the maximum loss from peak to trough measured monthly since the indicated date.

Sharpe Ratio is the average return earned in excess of the risk free rate per unit of volatility. Risk free rate reflects the daily average 4 week Bank Deposit rate quoted by the US Department of the Treasury since inception of the Strategy.

The Sortino Ratio is the excess return over the risk-free rate divided by the downside semi-variance. This ratio may be a better measure of an investment's risk-adjusted performance because it emphasizes the impact of negative returns or 'bad' volatility.

Cumulative return is the aggregate return since the inception of a Strategy. Annualized Return is the average return each year since inception of a Strategy.

Investing involves risk, including the possible loss of principal and fluctuation of value. Past performance is no guarantee of future results. Carefully consider the Strategy’s investment objectives, risk factors, charges and expenses before investing. All Strategies may be actively managed and there is no guarantee investments selected and strategies employed will achieve the intended results. Strategies are subject to change without notice. Active management may also increase transaction costs. The Strategy is not diversified, and narrowly focused investments may be subject to higher risk.

 

Past performance does not guarantee future results. All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment making decision. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Any specific securities mentioned are not representative of all securities purchased, sold or recommended for advisory clients. Actual portfolio holdings vary for each client and there is no guarantee that a particular client’s account will hold any, or all, of the securities identified. It should not be assumed that any of the securities or recommendations made in the future will be profitable or will equal the performance of the listed securities. It should not be assumed that any securities listed were or will be profitable. Performance reflects the deduction of brokerage commissions and other expenses. The views and opinions expressed are those of the portfolio manager at the time of publication and are subject to change without notice. There is no guarantee that these views will come to pass. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing. Investments are subject to change without notice.

 

The CBOE Volatility Index (the “VIX®”) is a product of S&P Dow Jones Indices LLC (“SPDJI”) and is based on the CBOE VIX® methodology, which is the property of Chicago Board Options Exchange (“CBOE”). S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); CBOE® and VIX® are registered trademarks of the CBOE. ProShares and ProShares ETFs are service marks of ProShares; iPath and iPath ETNs are the registered trademarks of Barclays Bank PLC. VelocityShares and VelocityShares ETNs are service marks of VelocityShares. Credit Suisse ETNs are the registered trademarks of Credit Suisse. Direxion and Direxion ETFs are service marks of the Direxion Group. All other trademarks, service marks or registered trademarks are the property of their respective owners.


Strategy will invest in Exchange-Traded Notes (ETNs) and Exchange Traded Funds (ETFs) and will be subject to the risks associated with such vehicles. The Strategy is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, the CBOE, S&P, ProShares, Barclays Bank, ProShares, VelocityShares, Credit Suisse, Direxion Group, or their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such products, nor do they have any liability for any errors, omissions, or interruptions of the Index, ETNs, or ETFs.


The liquidity of the market for the ETNs and ETFs may vary materially over time. Any limitation or suspension on the issuance, or change in number of outstanding ETNs or ETFs, may materially and adversely affect the price and liquidity of the ETNs or ETFs in the secondary market.

 

The ProShares Short VIX Short-Term Futures ETF (SVXY) and the VelocityShares Daily Inverse VIX® Medium-Term ETN (ZIV) will lose value when the price of VIX® Futures Contracts rise. A single day or intraday increase in the value of these Futures Contracts approaching 100% could result in the total loss of any investment in SVXY and ZIV even if the levels of the Futures Contracts subsequently decrease.


Several factors may affect the price and/or liquidity of the Exchange-Traded Notes and Exchange-Traded Funds invested in by the Strategy, including but not limited to: prevailing market prices and forward volatility levels of the U.S. stock markets, equity securities included in the S&P 500®, and prevailing market prices of options on the S&P 500®, the VIX® Index, options on the VIX®, VIX® Futures, and/or any other financial instruments related to the S&P 500®, the VIX®, VIX® Futures, interest rates, US Treasury Prices, US Treasury Futures, and/or any other financial instruments related to the Treasury Market; economic, financial, political, regulatory, geographical or judicial events that affect the current volatility reading of the VIX® or the market price or forward volatility of the U.S. and stock markets; supply and demand as well as hedging activities in the listed and over-the-counter equity derivatives markets and Treasury Markets; disruptions in trading of the S&P 500®, Futures contracts on the S&P 500®, or options on the S&P 500® ; disruptions in trading US Treasuries, Futures contracts on US Treasuries; and the level of contango or backwardation in the VIX® Futures Contracts market.

Some Exchange Traded Products (ETPs), particularly leveraged, inverse, and inverse leveraged ETPs, are designed to be short-term trading tools (with holding periods as short as one day) rather than buy-and-hold investments. Because of the effects of compounding, the performance of these products over long periods can differ significantly from the stated multiple of the performance (or inverse of the performance) of the underlying index or benchmark during the same period.

There are a number of risks associated with Exchange-Traded Notes (ETNs), including:

Credit Risk: ETNs are unsecured debt obligations of the issuer. If the issuer defaults on the note, investors may lose some or all of their investment.

Market Risk: ETNs are market-linked: the value of an ETN is largely influenced by the value of the index it tracks. As an index's value changes with market forces, so will the value of the ETN in general, which can result in a loss of principal to investors. Thus, in addition to credit risk, an ETN subjects investors to market risk, which is generally not assumed by investors in traditional corporate debt.

Liquidity Risk: Although ETNs are exchange-traded, they do carry liquidity risk. As with other Exchange-Traded Products, a trading market may not develop. In addition, under some circumstances, issuers can delist an ETN. If this happens, the market for the ETN can dry up or evaporate entirely.

Price-Tracking Risk: An ETN's market price may vary significantly from its intra-day indicative value and its closing indicative or net asset value.

Holding-Period Risk: Some ETNs, particularly some leveraged, inverse and inverse leveraged ETNs, are designed to be short-term trading tools (with holding periods as short as one day) rather than buy-and-hold investments. Because of the effects of compounding, the performance of these products over long periods can differ significantly from the stated multiple of the performance (or inverse of the performance) of the underlying index or benchmark during the same period.

Call, Early Redemption and Acceleration Risk: Some ETNs are callable at the issuer's discretion. In some instances ETNs can be subject to early redemption or an "accelerated" maturity date at the discretion of the issuer or one of its affiliates. Since ETNs may be called at any time, their value when called may be less than the market price that you paid or even zero, resulting in a partial or total loss of your investment.

Conflicts of Interest: There are a number of potential conflicts of interest between investors and the issuer of these products. For example, the issuer of the notes may engage in trading activities that are at odds with investors who hold the notes (shorting strategies, for instance). Please carefully read the ETN's prospectus for any mention of "conflicts of interest" and evaluate whether these conflicts are worth the risk.

 

This is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment making decision. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Any specific securities mentioned are not representative of all securities purchased, sold or recommended for advisory clients. Actual portfolio holdings vary for each client and there is no guarantee that a particular client’s account will hold any, or all, of the securities identified. It should not be assumed that any of the securities or recommendations made in the future will be profitable or will equal the performance of the listed securities. It should not be assumed that any securities listed were or will be profitable. Performance reflects the deduction of brokerage commissions and other expenses. The views and opinions expressed are those of the portfolio manager at the time of publication and are subject to change. There is no guarantee that these views will come to pass. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing. Investments are subject to change without notice.

Investing in VIX futures contracts could result in substantial fluctuations in the performance and value of any strategy that uses futures contracts. Strategies using futures contracts may be highly volatile. Futures generally are volatile and are not suitable for all investors.

 

Futures contracts involve, to varying degrees, elements of market risk and exposure to loss in excess of the amounts of variation margin, which are the amounts of cash that the Strategies agree to pay to Futures Commission Merchants (FCMs) equal to the daily fluctuation in the value of a futures contract. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the level of the underlying benchmark and the possibility of an illiquid market for a futures contract. With futures contracts, there is some counterparty risk since futures contracts are exchange traded and the exchange’s clearing house, as counterparty to all exchange-traded futures contracts, effectively guarantees futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting the Strategies to substantial losses. If trading is not possible or if the Strategies determine not to close a futures position in anticipation of adverse price movements, the Strategies may be required to make daily cash payments of variation margin.

 

Investing in options could result in substantial fluctuations in the performance and value of any strategy that uses options. Strategies using options may be highly volatile. Options generally are volatile and are not suitable for all investors. In addition, investments in options may require a high degree of leverage, meaning the overall contract value (and, accordingly, the potential for profits or losses in that value) is much greater than the deposit used to buy the position in the options contract. Options can also be highly volatile. The prices of options and the investments underlying the derivative instruments may fluctuate rapidly and over wide ranges and may reflect unforeseeable events or changes in conditions, none of which can be controlled by the Adviser.

 

In connection with the use of options, there may be an imperfect correlation between the change in market value of a security and the prices of options in the Client’s account. In addition, investments in options may encounter a lack of a liquid secondary market and the resulting inability to close a position prior to its maturity date. These methods, strategies and investments involve risk of loss to Clients and Clients must be prepared to bear the loss of their entire investment.

 

Some strategies may sell ETNs and ETFs short. Short selling refers to the sale of a security that the seller has borrowed to make the short sale. Unlike a long position in a security, where the loss is limited to the amount invested in the security, a short sale carries the risk of infinite loss. Short selling involves a number of costs over and above trading commissions, including borrowing shares to short and the cost of paying dividends. Regulators occasionally impose bans on short selling and this may force the short seller to cover positions at a loss. Stocks that are heavily shorted have a risk of "buy in", which refers to the forced closing out of a short position by a broker if the stock is hard to borrow.

 

The preceding risks do not purport to be a complete explanation of all the risks applicable to investing in the Strategies.

 

Invest In Vol, LLC is the investment adviser for the separately managed account (SMA); it provides investment advisory services to individual and institutional clients and does not sell securities. Part II of Form ADV contains information about the background and business practices of Invest In Vol, LLC. This material is available at www.investinvol.com/adv or by contacting Invest In Vol, LLC at contact@investinvol.com.

|

Investing involves risk, including the possible loss of principal and fluctuation of value. Past performance is no guarantee of future results. Carefully consider the investment objectives, risk factors, charges and expenses before investing. Invest In Vol, LLC is the investment advisor for the separately managed accounts (SMAs) and advisory services; it provides investment advisory services to clients and does not sell securities. For a more complete disclosure & definitions click here. For a more complete description of our business, Form ADV 2A, and accompanying brochures, click here.

© 2020 by Invest In Vol, LLC

  • Black Twitter Icon
  • Black LinkedIn Icon