DISCLOSURE

Strategy performance includes maximum fees and commissions. Performance represents an account invested on that date and includes the maximum management fee and all commissions. Individual account performance may vary. Benchmark performance and statistics are measured since Strategy inception.

 

Max Drawdown is the maximum loss from peak to trough measured monthly since inception of the Strategy.

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 inception of the Strategy. Annualized Return is the average return each year since inception of the 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. This Strategy is actively managed and there is no guarantee investments selected and strategies employed will achieve the intended results. Strategy is subject to change. 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. 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. VelocitySharesTM and VelocitySharesTM ETNs are service marks of VelocitySharesTM. DirexionTM and DirexionTM 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. The VelocityShares 1x Daily Inverse VSTOXX® Futures ETN (EXIV) will lose value when the price of VSTOXX® 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 the SVXY, ZIV, and EXIV 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. and European stock markets, equity securities included in the S&P 500® and Euro Stoxx 50®, and prevailing market prices of options on the S&P 500® and Euro Stoxx 50®, the VIX® Index and the VSTOXX® Index, options on the VIX® and options on the VSTOXX®, VIX® Futures, VSTOXX® Futures, and/or any other financial instruments related to the S&P 500®, the VIX®, VIX® Futures, Euro Stoxx 50®, the VSTOXX®, and VSTOXX® 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® and VSTOXX® or the market price or forward volatility of the U.S. and European 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® or Euro Stoxx 50®, Futures contracts on the S&P 500® and Euro Stoxx 50, or options on the S&P 500® or Euro Stoxx 50®; disruptions in trading US Treasuries, Futures contracts on US Treasuries; and the level of contango or backwardation in the VIX® and VSTOXX® 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.

 

Invest In Vol, LLC is the investment advisor 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.

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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 click here. For a more complete description of our business, Form ADV 2A, and accompanying brochures, click here.

© 2019 by Invest In Vol, LLC

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