Program Details
Tahoe Vista VIX
Manager: Jakub Rehor
Address: 920 Incline Way, Suite 2D, Incline Village, NV, 89451, U.S.A.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.
Overview
Program Type: | CTA |
Inception Date: | Dec 13, 2023 |
AUM: | $300,000 |
QEP: | Yes |
Incentive Fee: | 20% |
Annual Mgt Fee: | 2% |
Min Investment: | $50,000 |
Disclosure Doc: | View |
Performance |
Program |
S&P 500 |
Total ROR: | -5.41% | 23.66% |
Annual ROR: | -8.00% | 37.51% |
YTD: | -7.44% | 18.42% |
1 Year: | -5.41% | 31.72% |
Alpha: | -4.00 | |
Beta: | 1.40 | |
Statistics |
Program |
S&P 500 |
Average Monthly Gain: | 1.80% | 3.38% |
Average Monthly Loss: | -7.76% | -4.16% |
Winning Months: | 6 | 7 |
Losing Months: | 2 | 1 |
Current DD: | 9.39 | 0.00 |
Max DD: | 9.60 | 4.16 |
Sharpe Ratio (RF 1%): | -0.55 | |
Annualized Std Dev: | 16.46 | |
Methodology
Discretionary: | 0% |
Systematic: | 1000% |
Strategy
Strategy | Single Strategy |
Directional | Long / Short |
Holding Period | Short Term |
--------------------- | ------ |
Volatility: | 100% |
Monthly Returns as Percentage by Year
| Jan | Feb | Mar | Apr | May | Jun | Jul |
Aug | Sep | Oct | Nov | Dec | YTD |
2024 | 0.48 | 0.29 | 1.37 | -9.60 | 4.92 | 1.54 | -5.92 | | | | | | -7.44 |
2023 | | | | | | | | | | | | 2.20 | 2.20 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.
Program Info
The Tahoe Vista VIX is a quantitative long/short strategy trading the CBOE Volatility Index futures. Because the VIX index itself is not tradeable, VIX futures do not track the index exactly. During periods of low market stress, VIX futures trade above index value and get cheaper as they approach expiration. The Tahoe Vista VIX strategy harvests the VIX futures roll down and uses quantitative indicators to take opposite, long VIX positions during times of market stress when the term structure inverts and futures get more expensive as they approach expiration.
The source of returns of the Tahoe Vista VIX strategy is different from option writing. It does not exploit the difference between implied and realized volatilities (the volatility risk premium), it instead exploits the term structure of VIX futures. The strategy is also different from simple volatility carry, as it uses external indicators rather than waiting for the term structure to invert.
The Tahoe Vista VIX strategy strives to achieve performance similar to that of stock investing during calm markets, while providing positive returns in times of market panic.
The VIX index futures launched in 2006 and gained real traction after the 2008 crisis. They are a relatively new product with short history and small user base. Their liquidity limitations are forcing us to cap the size of the strategy at $100M. As an emerging manager, we can offer strategies that would be considered too niche for bigger managers.
The Tahoe Vista VIX strategy has a target of 20% annualized volatility and is available through a Separately Managed Account (SMA).
Company Info
The strategy utilizes a proven systematic methodology to trade both equities and futures. The systematic models codify Incline Investment Management, LLC's (IIM) core trading approach while integrating our long-term thematic philosophy and view that markets cannot be predicted over the long run. The strategy provides investors with a unique opportunity to capture trading opportunities that most models do not capture. IIM's methodology incorporates systematic, opportunistic, and hedging strategies across multiple time frames. The goal of IIM's strategy is capital appreciation through the use of our proprietary blend of systematic models.
The strategy is a sysematic hybrid of managed futures and long/short equity.
Manager Info
Mr. Rehor has over 25 years of experience. He started his career at McKinsey & Co. before joining Sanford C. Bernstein & would later join Putnam Investments. From 2004 until 2013, he was a portfolio manager at Third Avenue Management co-managing the $1 billion+ Third Avenue International Value Fund (TAVIX). He graduated from Yale University with a BA in Economics, summa cum laude. He is a CFA Charterholderand holds the Certificate in Quantitative Finance from the CQF Institute in London. Mr. Rehor also speaks seven languages, Czech, English, French German, Japanese, Russian and Spanish. He has passed the series 3 FINRA Exam.