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 fluctations.

Structure

SMA

Category

Short/Long Vol

Q1 2020

97.75%

1 Year

141.16%

Max Drawdown*

-3.09%

Portfolio Mgmt

SNAPSHOT

Data as of 3/31/20

*Trailing 1 Year

DESCRIPTION

The Invest In Vol Smart Volatility Strategy uses a multi-factor model developed in 2015 and updated semi-annually. The model employs a combination of unique indicators, each significantly outperforming a stand-alone short volatility position. The indicators utilize elements such as 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, and the relationship between modeled VIX futures prices and actual prices. Each indicator has proven robust in its own right, but when used together in this model, have produced more significant signals overall.

A weighted average of all indicators is used to establish the volatility allocation from short VXX to long VXX. During periods of higher market volatility, trades may be made several times a day, while during more calm markets, trades may be far less frequent.

To help avoid sudden and severe market moves triggering significant drawdowns, deep out of the money VXX call options are purchased as a partial hedge to manage potential short-term losses.  The Strategy also may use small positions in Treasury, Gold, and/or Gold Miners ETFs to further reduce day to day portfolio fluctuations.

|

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