Futures Volatility Strategy (FVS)


Strategy Description FVS is a quantitative option trading program designed to profit from mispriced options determined from long term volatility patterns. The strategy is fully systematic and trades a diversified range of 15 future contracts. Options will be written in markets that have a high probability of volatility compression and options will be bought in markets that have a high probability of volatility expansion. Based on signals, small parcels of risk are deployed over a 3 to 9 month period. Some markets may have no signals for several years as volatility remains low or static. The algorithm has predetermined stops and a fixed allocation of risk per trade. No written options will be held into the money.
Benefits Positive statistical expectancy from mispriced options and time decay.
Investment Manager Non Correlated Capital Pty Ltd
Structure Managed Account
Management Fees 1% management fee
Performance Fees 20% performance fee
Minimum Investment $250,000
Liquidity Daily
Expected Return 12%
Expected Volatility 12%
Correlation to MSCI World 0.4

Portfolio Manager


Cumulative Monthly Returns

Risk & Return

Rolling Correlations (12 month)

Performance Notes:
The monthly performance indicates actual returns net of fees (1% management fee and 20% performance fee). The performance is a composite of managed account returns that is published in accordance with National Futures Association (NFA) requirements. Performance is lodged with the NFA for auditing purposes.

This publication has been prepared on behalf of and issued by Non Correlated Capital Pty Ltd. This is not an offer to deal in any financial product. This information is general in nature and is presented without regard to any investor’s individual objectives, financial situation or needs. It is not specific advice for any particular investor. Before making any decision about the information provided, you must consider the appropriateness of the information in this document, having regard to your objectives, financial situation and needs and consult your adviser. The value of investments and any income generated may go down as well as up and is not guaranteed. Past performance is not necessarily a guide to future performance. Changes in rates of exchange may have an adverse effect on the value, price or income of investments. Investors should be aware of local laws governing investments and should read all the relevant documents. Please visit www.noncorrelatedcapital.com and fill out a contact form to gain further information.

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