Deep Field Capital AG

Systematic Volatility Arbitrage (VolArb) *QEP*


Monthly Performance (%)

Date Range: 11/14 - 11/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 -1.11 22.08 3.50 1.41 0.47 0.46 0.45 -2.30 1.82 2.82 -0.30   31.01 
2017 0.75 0.83 2.24 -5.81 -1.30 0.28 -5.54 1.14 0.52 0.91 0.05 1.46  -4.75 
2016 -2.44 1.12 7.63 8.51 10.28 -5.86 3.89 1.92 8.23 0.14 -0.16 2.12  39.95 
2015 1.58 3.71 2.98 -0.96 0.83 0.26 0.57 -8.58 1.81 1.09 -0.46 0.11  2.42 
2014 0.43  0.43 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Systematic Volatility Arbitrage (VolArb) strategy takes a multi-strategy. It trades 1.) market neutral calendar spreads in VIX Index futures and 2.) VIX Index futures versus the S&P 500 Index futures to arbitrage the equity market volatility risk premium. Additionally, 3.) it takes directional intraday momentum trades in S&P Index futures. The investment process is systematic and based on Deep Field Captial's proprietary volatility estimation model, taking into consideration the volatility surface and VIX Index term-structure. Order execution is fully systematic and automated. The strategy is available via a SMA and other structures upon request.

Performance Statistics

Date Range: 11/14 - 11/18
  Program S&P 500 Altegris 40 
Total Return 79.64% 48.97% 0.87% 
Annualized Return 15.77% 10.25% 0.21% 
Annualized Std. Deviation 15.71% 10.31% 9.04% 
Correlation -0.02 -0.38 
Sharpe Ratio (rf=2.5%) 0.84 0.75 -0.25 
Worst Month -8.58% -6.84% -6.10% 
Date of Worst Month 08/2015 10/2018 02/2018 
Worst Drawdown -11.94% -8.35% -12.85% 
Date of Worst Drawdown 3/17 - 7/17 7/15 - 9/15 3/15 - 9/17 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 11/14 - 11/18

Year or YTD Program S&P 500 Altegris 40 
2018 31.01 5.11 -4.69 
2017 -4.75 21.84 1.24 
2016 39.95 11.98 -3.13 
2015 2.42 1.41 0.09 
2014 0.43 -0.25 1.76 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 11/14 - 11/18
Date: 11/30/2018
Perf: $952.04 Date: 10/31/2018
Perf: $963.60 Date: 9/30/2018
Perf: $988.01 Date: 8/31/2018
Perf: $992.47 Date: 7/31/2018
Perf: $967.79 Date: 6/30/2018
Perf: $975.11 Date: 5/31/2018
Perf: $966.99 Date: 4/30/2018
Perf: $979.62 Date: 3/31/2018
Perf: $969.16 Date: 2/28/2018
Perf: $970.03 Date: 1/31/2018
Perf: $1,033.04 Date: 12/31/2017
Perf: $998.88 Date: 11/30/2017
Perf: $988.11 Date: 10/31/2017
Perf: $986.83 Date: 9/30/2017
Perf: $947.14 Date: 8/31/2017
Perf: $967.56 Date: 7/31/2017
Perf: $951.76 Date: 6/30/2017
Perf: $948.06 Date: 5/31/2017
Perf: $976.58 Date: 4/30/2017
Perf: $974.73 Date: 3/31/2017
Perf: $980.61 Date: 2/28/2017
Perf: $995.14 Date: 1/31/2017
Perf: $973.91 Date: 12/31/2016
Perf: $986.64 Date: 11/30/2016
Perf: $979.19 Date: 10/31/2016
Perf: $990.09 Date: 9/30/2016
Perf: $1,016.31 Date: 8/31/2016
Perf: $1,029.59 Date: 7/31/2016
Perf: $1,058.05 Date: 6/30/2016
Perf: $1,047.37 Date: 5/31/2016
Perf: $1,004.67 Date: 4/30/2016
Perf: $1,022.56 Date: 3/31/2016
Perf: $1,048.89 Date: 2/29/2016
Perf: $1,079.88 Date: 1/31/2016
Perf: $1,053.95 Date: 12/31/2015
Perf: $1,018.51 Date: 11/30/2015
Perf: $1,042.49 Date: 10/31/2015
Perf: $1,008.11 Date: 9/30/2015
Perf: $1,025.96 Date: 8/31/2015
Perf: $1,004.17 Date: 7/31/2015
Perf: $1,021.85 Date: 6/30/2015
Perf: $983.40 Date: 5/31/2015
Perf: $1,037.34 Date: 4/30/2015
Perf: $1,044.86 Date: 3/31/2015
Perf: $1,086.82 Date: 2/28/2015
Perf: $1,063.32 Date: 1/31/2015
Perf: $1,065.02 Date: 12/31/2014
Perf: $1,017.60 Date: 11/30/2014
Perf: $1,000.00 Date: 11/30/2018
Perf: $1,450.66 Date: 10/31/2018
Perf: $1,421.66 Date: 9/30/2018
Perf: $1,526.04 Date: 8/31/2018
Perf: $1,517.39 Date: 7/31/2018
Perf: $1,469.48 Date: 6/30/2018
Perf: $1,416.78 Date: 5/31/2018
Perf: $1,408.05 Date: 4/30/2018
Perf: $1,374.91 Date: 3/31/2018
Perf: $1,369.71 Date: 2/28/2018
Perf: $1,405.40 Date: 1/31/2018
Perf: $1,459.25 Date: 12/31/2017
Perf: $1,380.17 Date: 11/30/2017
Perf: $1,365.02 Date: 10/31/2017
Perf: $1,324.36 Date: 9/30/2017
Perf: $1,294.20 Date: 8/31/2017
Perf: $1,268.08 Date: 7/31/2017
Perf: $1,264.16 Date: 6/30/2017
Perf: $1,238.65 Date: 5/31/2017
Perf: $1,231.01 Date: 4/30/2017
Perf: $1,213.90 Date: 3/31/2017
Perf: $1,201.52 Date: 2/28/2017
Perf: $1,200.08 Date: 1/31/2017
Perf: $1,154.26 Date: 12/31/2016
Perf: $1,132.74 Date: 11/30/2016
Perf: $1,110.74 Date: 10/31/2016
Perf: $1,071.11 Date: 9/30/2016
Perf: $1,090.97 Date: 8/31/2016
Perf: $1,090.75 Date: 7/31/2016
Perf: $1,089.22 Date: 6/30/2016
Perf: $1,050.46 Date: 5/31/2016
Perf: $1,047.74 Date: 4/30/2016
Perf: $1,029.21 Date: 3/31/2016
Perf: $1,025.21 Date: 2/29/2016
Perf: $960.12 Date: 1/31/2016
Perf: $961.37 Date: 12/31/2015
Perf: $1,011.54 Date: 11/30/2015
Perf: $1,027.78 Date: 10/31/2015
Perf: $1,024.71 Date: 9/30/2015
Perf: $944.95 Date: 8/31/2015
Perf: $968.88 Date: 7/31/2015
Perf: $1,031.06 Date: 6/30/2015
Perf: $1,009.85 Date: 5/31/2015
Perf: $1,029.83 Date: 4/30/2015
Perf: $1,016.71 Date: 3/31/2015
Perf: $1,007.04 Date: 2/28/2015
Perf: $1,023.21 Date: 1/31/2015
Perf: $967.58 Date: 12/31/2014
Perf: $997.50 Date: 11/30/2014
Perf: $1,000.00 Date: 11/30/2018
Perf: $1,796.40 Date: 10/31/2018
Perf: $1,801.80 Date: 9/30/2018
Perf: $1,752.39 Date: 8/31/2018
Perf: $1,721.06 Date: 7/31/2018
Perf: $1,761.58 Date: 6/30/2018
Perf: $1,753.69 Date: 5/31/2018
Perf: $1,745.66 Date: 4/30/2018
Perf: $1,737.49 Date: 3/31/2018
Perf: $1,713.33 Date: 2/28/2018
Perf: $1,655.40 Date: 1/31/2018
Perf: $1,355.99 Date: 12/31/2017
Perf: $1,371.21 Date: 11/30/2017
Perf: $1,351.48 Date: 10/31/2017
Perf: $1,350.81 Date: 9/30/2017
Perf: $1,338.62 Date: 8/31/2017
Perf: $1,331.70 Date: 7/31/2017
Perf: $1,316.69 Date: 6/30/2017
Perf: $1,393.91 Date: 5/31/2017
Perf: $1,390.02 Date: 4/30/2017
Perf: $1,408.33 Date: 3/31/2017
Perf: $1,495.20 Date: 2/28/2017
Perf: $1,462.44 Date: 1/31/2017
Perf: $1,450.40 Date: 12/31/2016
Perf: $1,439.61 Date: 11/30/2016
Perf: $1,409.72 Date: 10/31/2016
Perf: $1,411.98 Date: 9/30/2016
Perf: $1,410.00 Date: 8/31/2016
Perf: $1,302.79 Date: 7/31/2016
Perf: $1,278.24 Date: 6/30/2016
Perf: $1,230.38 Date: 5/31/2016
Perf: $1,306.97 Date: 4/30/2016
Perf: $1,185.14 Date: 3/31/2016
Perf: $1,092.19 Date: 2/29/2016
Perf: $1,014.77 Date: 1/31/2016
Perf: $1,003.53 Date: 12/31/2015
Perf: $1,028.62 Date: 11/30/2015
Perf: $1,027.49 Date: 10/31/2015
Perf: $1,032.24 Date: 9/30/2015
Perf: $1,021.11 Date: 8/31/2015
Perf: $1,002.96 Date: 7/31/2015
Perf: $1,097.09 Date: 6/30/2015
Perf: $1,090.87 Date: 5/31/2015
Perf: $1,088.04 Date: 4/30/2015
Perf: $1,079.09 Date: 3/31/2015
Perf: $1,089.55 Date: 2/28/2015
Perf: $1,058.02 Date: 1/31/2015
Perf: $1,020.17 Date: 12/31/2014
Perf: $1,004.30 Date: 11/30/2014
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 11/14 - 11/18
Date: 11/30/2018
Return: -0.30 % Date: 10/31/2018
Return: 2.82 % Date: 9/30/2018
Return: 1.82 % Date: 8/31/2018
Return: -2.30 % Date: 7/31/2018
Return: 0.45 % Date: 6/30/2018
Return: 0.46 % Date: 5/31/2018
Return: 0.47 % Date: 4/30/2018
Return: 1.41 % Date: 3/31/2018
Return: 3.50 % Date: 2/28/2018
Return: 22.08 % Date: 1/31/2018
Return: -1.11 % Date: 12/31/2017
Return: 1.46 % Date: 11/30/2017
Return: 0.05 % Date: 10/31/2017
Return: 0.91 % Date: 9/30/2017
Return: 0.52 % Date: 8/31/2017
Return: 1.14 % Date: 7/31/2017
Return: -5.54 % Date: 6/30/2017
Return: 0.28 % Date: 5/31/2017
Return: -1.30 % Date: 4/30/2017
Return: -5.81 % Date: 3/31/2017
Return: 2.24 % Date: 2/28/2017
Return: 0.83 % Date: 1/31/2017
Return: 0.75 % Date: 12/31/2016
Return: 2.12 % Date: 11/30/2016
Return: -0.16 % Date: 10/31/2016
Return: 0.14 % Date: 9/30/2016
Return: 8.23 % Date: 8/31/2016
Return: 1.92 % Date: 7/31/2016
Return: 3.89 % Date: 6/30/2016
Return: -5.86 % Date: 5/31/2016
Return: 10.28 % Date: 4/30/2016
Return: 8.51 % Date: 3/31/2016
Return: 7.63 % Date: 2/29/2016
Return: 1.12 % Date: 1/31/2016
Return: -2.44 % Date: 12/31/2015
Return: 0.11 % Date: 11/30/2015
Return: -0.46 % Date: 10/31/2015
Return: 1.09 % Date: 9/30/2015
Return: 1.81 % Date: 8/31/2015
Return: -8.58 % Date: 7/31/2015
Return: 0.57 % Date: 6/30/2015
Return: 0.26 % Date: 5/31/2015
Return: 0.83 % Date: 4/30/2015
Return: -0.96 % Date: 3/31/2015
Return: 2.98 % Date: 2/28/2015
Return: 3.71 % Date: 1/31/2015
Return: 1.58 % Date: 12/31/2014
Return: 0.43 % Date: 11/30/2014
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 11/14 - 11/18
Return: 22.00 %
Count: 1 Return: -6.00 %
Count: 3 Return: 10.00 %
Count: 1 Return: 9.00 %
Count: 1 Return: 8.00 %
Count: 2 Return: -2.00 %
Count: 2 Return: -9.00 %
Count: 1 Return: 1.00 %
Count: 11 Return: -1.00 %
Count: 3 Return: 3.00 %
Count: 3 Return: 4.00 %
Count: 2 Return: 2.00 %
Count: 6 Return: 0.00 %
Count: 13
Note: All performance data is since program inception.

Underwater Curve

Date Range: 11/14 - 11/18
Date: 11/30/2018
Drawdown: -0.30 % Date: 10/31/2018
Drawdown: 0.00 % Date: 9/30/2018
Drawdown: -0.52 % Date: 8/31/2018
Drawdown: -2.30 % Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: 0.00 % Date: 5/31/2018
Drawdown: 0.00 % Date: 4/30/2018
Drawdown: 0.00 % Date: 3/31/2018
Drawdown: 0.00 % Date: 2/28/2018
Drawdown: 0.00 % Date: 1/31/2018
Drawdown: -9.31 % Date: 12/31/2017
Drawdown: -8.29 % Date: 11/30/2017
Drawdown: -9.61 % Date: 10/31/2017
Drawdown: -9.66 % Date: 9/30/2017
Drawdown: -10.47 % Date: 8/31/2017
Drawdown: -10.93 % Date: 7/31/2017
Drawdown: -11.94 % Date: 6/30/2017
Drawdown: -6.77 % Date: 5/31/2017
Drawdown: -7.03 % Date: 4/30/2017
Drawdown: -5.81 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: 0.00 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: -0.16 % Date: 10/31/2016
Drawdown: 0.00 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: -0.32 % Date: 7/31/2016
Drawdown: -2.20 % Date: 6/30/2016
Drawdown: -5.86 % Date: 5/31/2016
Drawdown: 0.00 % Date: 4/30/2016
Drawdown: 0.00 % Date: 3/31/2016
Drawdown: -0.45 % Date: 2/29/2016
Drawdown: -7.50 % Date: 1/31/2016
Drawdown: -8.53 % Date: 12/31/2015
Drawdown: -6.24 % Date: 11/30/2015
Drawdown: -6.34 % Date: 10/31/2015
Drawdown: -5.91 % Date: 9/30/2015
Drawdown: -6.93 % Date: 8/31/2015
Drawdown: -8.58 % Date: 7/31/2015
Drawdown: 0.00 % Date: 6/30/2015
Drawdown: 0.00 % Date: 5/31/2015
Drawdown: -0.14 % Date: 4/30/2015
Drawdown: -0.96 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  Deep Field Capital AG
Address: Baarerstrasse 125
City: CH-6300 Zug
State:
Zip:
Country: Switzerland

Key People

Name:  Bastian Bolesta
Position:  Chief Executive Officer
Biography: 

As CEO I oversee all aspects of the firm’s day-to-day business and represent the team and its trading strategies to investors and all other external parties. Our objective is to provide institutional and other qualified investors with high quality quantitative investment strategies to optimize long term risk adjusted returns. Our quantitative trading ideas and programs are built on more than 15 years of personal experience in self-funded proprietary day trading and in depth research. Separating the development and management of our systematic trading programs from the former discretionary proprietary trading business, we transferred the asset management responsibilities for the SINGULARITY Program (the BVI fund and any related managed accounts) from our former asset management company to the newly established Deep Field Capital AG in 2014.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Other Futures Yes 
 Investment Methodology
 Systematic Yes 
 Sector Specialist Yes 
 Volatility Trading Yes 
 Other Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Intra-Week Yes 
 Intra-Day Yes 
 Investment Terms & Information
 Managed Account Minimum: $2,000,000 
 Margin / Equity Ratio: 10% 
 Managed Account Availability: Open