SMART VOL

Growth Potential

Actively harvests the risk premium observed in VIX futures using transparent Exchange Traded Products (ETPs).

Risk Management

Deep out of the money VXX call options are used to help define maximum loss.

Unique Approach

Holds treasury and gold ETFs to reduce daily portfolio fluctuations.

Structure

SMA

Category

Long/Short

2020

154.02%

YTD

17.35%

Annualized

82.69%

SNAPSHOT

Max Drawdown

28.54%

PERFORMANCE

YEAR
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
NOV
DEC
TOTAL
2021
-4.20%
9.02%
11.05%
0.95%
0.23%
-
-
-
-
-
-
-
17.35%
2020
-0.13%
21.23%
63.33%
2.07%
12.81%
1.58%
5.25%
3.30%
-1.12%
2.19%
-0.47%
0.44%
154.02%
2019
-10.18%
-3.58%
-8.23%
10.01%
-2.95%
2.19%
0.58%
-3.42%
2.99%
9.28%
12.88%
-0.11%
6.89%
2018
-9.50%
44.16%
-5.89%
2.76%
3.25%
-4.31%
3.57%
5.68%
6.63%
-13.65%
-1.26%
5.46%
30.82%
2017
24.23%
0.66%
15.97%
-0.01%
3.60%
-1.81%
10.91%
-12.81%
24.62%
15.44%
-2.44%
7.02%
114.25%
2016
-8.06%
3.00%
44.62%
7.15%
19.73%
13.33%
27.84%
5.23%
9.11%
-4.01%
-8.77%
8.89%
178.70%

Past performance is not indicative of future returns and the value of your investment can go down as well as up, including loss of principal. Performance represents the performance of an individual, non-tax-advantaged Smart Vol account since January 2016 and includes the 3% management fee and all commissions. Individual account performance may vary, particularly for accounts managed under tax-advantaged structures like IRAs that may impose restrictions on some trading products and/or on short selling. The effect of these restrictions should be discussed with your advisor before investing. Performance represents a Smart Vol account managed by Invest in Vol, as well as a Smart Vol account managed by the Portfolio Manager before joining Invest in Vol. Smart Vol accounts have been managed by Invest In Vol since May 2019 and performance before this date represents the performance of a Smart Vol account managed by the Portfolio Manager before joining Invest in Vol. The investment decision maker and the investment decision making process have remained substantially consistent since January 2016.

AWARDS

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DESCRIPTION

The Invest In Vol Smart Volatility Strategy (Smart Vol) is a multi-factor algorithmic trading strategy developed in 2015 and updated semi-annually that applies a combination of more than ten weakly correlated indicators that individually demonstrate a profitable short volatility signal.

 

The indicators include the relationship between the VIX Index and the front two VIX futures, the relationship between the expected next-day VIX Index price and front two VIX futures, the relationship between modeled VIX futures prices and actual prices, as well as the rate at which these relationships change. Smart Vol also includes a series of proprietary and less common indicators that has helped it outperform many competing strategies.

 

In addition to these proprietary indicators, Smart Vol applies a weighted average of all its indicators to establish its volatility allocation. During periods of higher market volatility, trades may be made several times a day, while, during calmer periods, trades may be less frequent. While each indicator has proven robust in its own right, their combination has resulted in a more profitable strategy.

 

Smart Vol gains its volatility exposure through a fractional long or short position in VXX. To help avoid significant drawdowns, Smart Vol buys deep out of the money VXX call options to partially hedge any short VXX positions. Smart Vol also uses smaller positions in Treasury and/or Gold Miners ETFs to further manage daily portfolio fluctuations. Smart Vol can be customized for use in IRAs and for clients without options trading capabilities.

GIVING BACK

Invest In Virtue is an Invest in Vol initiative created to donate a portion of Smart Vol revenue to charities focused on providing food, shelter, healthcare, relief, education, and training for those in need around the world. In this way, Invest In Vol and our clients can help make a difference in the world and put a new spin on impact investing. Learn more.