ALPHA VOL

Growth Potential

Actively seeks to harvest the risk premium observed in VIX futures using Exchange Traded Funds (ETFs).

Short Holding Period

Strict exit signals trigger quick moves to cash during market uncertainty.

Sophisticated Analysis

Strategy Developer holds a PhD in Nuclear Physics from MIT and multiple patents in data discovery.

Structure

SMA

Category

Short Vol

Q1 2020

-14.88%

1 Year

-5.11%

Max Drawdown*

-16.27%

Portfolio Mgmt

SNAPSHOT

Data as of 3/31/20

*Trailing 1 Year

DESCRIPTION

The Vaucluse Alpha Volatility Strategy seeks to systematically harvest the premium observed in VIX Futures contracts, while opportunistically exploiting their tendency to mean revert. The Strategy uses an algorithmic approach to identify opportunities to establish a short position in a basket of VIX Futures with an average time to expiry of approximately 30 days. The algorithm analyzes the term structure of the VIX® Futures contracts on a daily basis, and triggers a long position in the ProShares Short VIX Short-Term Futures ETF (SVXY) when it signals conditions are favorable. The algorithm analysis is based on the effect of VIX Futures premium on the risk/reward of holding a long position in SVXY in two important ways:

 

> Quantifying the state of contango - the degree to which medium-term VIX Futures are trading at a premium to short-term VIX Futures and the VIX Index itself, and;

> Assessing the probability of a favorable mean reversion of the VIX® Futures term structure following a period of market instability.

The Strategy manages risk using strict exit signals triggered when market conditions deteriorate, including decreasing levels of contango in the VIX Futures market, and increasing volatility of the VIX Index itself. The Strategy is either 100% invested in SVXY or 100% in cash. Its shortest holding period is one day and its average holding period is approximately ten days.

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

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