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Equity EV (EVOL)


Key Features

  • Highly liquid transparent investments
  • Tactical models to minimize systematic risk
  • Multiple models to mitigate model specific risk
  • Allocates to US equity assets
  • Long and short positions

Strategy Description

Equity VRP (EVOL) represents a quantitatively based, absolute return, multi-strategy index. Designed to enhance active premium and dynamic risk protection, this index utilizes multiple uncorrelated tactical strategies with allocations to major US equity asset classes. Investment solutions tracking the index will benefit from transparency, high liquidity, low degree of volatility, and increasing or decreasing US equity markets.

VAMI Chart

YTD 1Y 3Y 5Y Sharpe STDEV MDD
9.18 9.52 22.69 1.50 5.14 -7.94

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2017 0.61 0.72 1.45 -0.32 1.74 1.08 1.46 0.73 0.05 0.91 0.41 9.18
2016 0.70 -0.03 4.76 0.74 -0.32 1.38 0.73 1.03 3.60 1.10 2.77 0.31 17.97
2015 -0.87 0.86 -2.46 -0.70 -0.83 -1.37 -1.05 -0.07 -1.71 1.47 -0.78 2.18 -5.30
2014 -3.53 2.00 -0.66 -0.59 2.33 0.53 1.91 1.82 -0.80 2.69 -0.12 0.58 6.15
2013 2.66 -0.30 0.22 2.28 0.01 1.14 2.13 8.38

Reward

Equity EV (EVOL) S&P 500 Index Barclays Hedge Fund Index
Compound ROR 0.63% 0.82% 0.42%
Average ROR 0.64% 0.86% 0.42%
Max Gain 4.76% 8.30% 2.45%
Consecutive Wins 10 5 4
% Winning Months 66.67% 65.38% 64.81%
Average Gain 1.42% 2.44% 1.11%
Gain Deviation 1.04% 1.93% 0.59%

Risk Statistics

Equity EV (EVOL) S&P 500 Index Barclays Hedge Fund Index
Standard Deviation 1.48% 2.85% 1.15%
Worst Loss -3.53% -6.26% -2.99%
Consecutive Losses 7 3 4
% Losing Months 33.33% 34.62% 35.19%
Average Loss -0.92% -2.14% -0.83%
Loss Deviation 0.89% 1.64% 0.83%

Risk/Reward Statistics

Equity EV (EVOL) S&P 500 Index Barclays Hedge Fund Index
Sharpe Ratio (1%) 0.43 0.27 0.30
Sortino Ratio (1%) 0.86 0.46 0.46
Skewness -0.02 0.01 -0.74
Kurtosis 0.91 0.37 0.74

Reward

Equity EV (EVOL) S&P 500 Index Barclays Hedge Fund Index
Compound ROR 7.82% 10.26% 5.13%
Average ROR 8.09% 10.43% 5.23%
Max Gain 17.97% 17.47% 10.68%
Consecutive Wins 2 2 2
% Winning Years 80.00% 80.00% 80.00%
Average Gain 9.98% 11.60% 6.41%
Gain Deviation 3.59% 6.69% 2.04%

Risk Statistics

Equity EV (EVOL) S&P 500 Index Barclays Hedge Fund Index
Standard Deviation 5.14% 9.89% 4.00%
Worst Loss -5.30% -2.74% -2.85%
Consecutive Losses 1 1 1
% Losing Years 20.00% 20.00% 20.00%
Average Loss -5.33% -1.85% -2.73%
Loss Deviation 3.09% 5.68% 2.87%

Risk/Reward Statistics

Equity EV (EVOL) S&P 500 Index Barclays Hedge Fund Index
Sharpe Ratio (1%) 1.50 0.94 1.02
Sortino Ratio (1%) 2.99 1.58 1.60

VAMI Chart

Risk/Return Chart

Drawdown Chart

Distribution of Monthly Returns

Risk/Return Chart (Sharpe)

36 Month Rolling Sharpe Ratio

Up Capture Ratios

Down Capture Ratios

Monthly Returns (%)

Annualized Trend Return

Up Market Outperformance (% of months)

Down Market Outperformance (% of months)

Investment Allocation

Quantitative Model Styles

Long/Short Mean Reversion
Trend Following Seasonal/Cyclical
Technical Directional
Quantitative Arbitrage

Past 3 Months


Current Year to Date


Past 12 Months


Past 36 Months


Past 60 Months

There is not enough data available.

Consecutive Gains

Run-up % Length (Months) Start End
14.52 10 05/2016 02/2017
6.75 4 04/2014 07/2014
6.55 7 04/2017 10/2017
5.89 5 07/2013 11/2013
5.54 2 02/2016 03/2016

Consecutive Losses

Decline % Length (Months) Start End
-7.92 7 02/2015 08/2015
-3.53 1 12/2013 12/2013
-1.25 2 02/2014 03/2014
-0.87 1 12/2014 12/2014
-0.80 1 08/2014 08/2014

Drawdown report

No. Depth (%) Decline (Months) Recovery (Months) Start date End date
1 -7.94 9 7 01/2015 04/2016
2 -3.53 1 6 01/2014 07/2014
3 -0.80 1 1 09/2014 10/2014
4 -0.32 1 1 05/2016 06/2016
5 -0.32 1 1 04/2017 05/2017

Time Window Analysis

Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
% Winning Months 100.00 91.67 87.50 66.67 - 66.67
Average Monthly Return % 0.46 0.76 1.16 0.58 - 0.64
Winning Months Average Gain % 0.46 0.86 1.36 1.31 - 1.42
Largest Monthly Gain % 0.91 1.74 4.76 4.76 - 4.76
Gain Deviation 0.43 0.53 1.14 1.08 - 1.04
Up Capture Ratio % 2.59 43.63 52.18 27.82 - 25.98
Risk 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Standard Deviation 0.43 0.61 1.19 1.42 - 1.48
Losing Months Average Loss % - -0.32 -0.22 -0.88 - -0.92
Largest Monthly Loss % 0.00 -0.32 -0.32 -2.46 - -3.53
Loss Deviation 0.00 0.00 0.17 0.71 - 0.89
Maximum Drawdown % 0.00 -0.32 -0.32 -7.94 - -7.94
Months in Max Drawdown - 2 2 16 - 16
Down Capture Ratio - -93.55 -98.91 -16.68 - -13.56
Risk/Reward 3 Months 12 Months 24 Months 36 Months 60 Months Inception
Sharpe Ratio (1%) 2.99 3.87 3.12 1.21 - 1.30
Profit/Loss Ratio - 29.59 42.48 2.98 - 3.09
Mar Ratio - 29.76 46.01 0.89 - 0.99
Sortino Ratio (5%) 0.82 5.20 10.72 0.67 - 0.84
Sortino Ratio (1%) 67.92 20.12 31.16 2.49 - 2.48
Omega Ratio (5%) 4.90 15.95 30.05 4.82 - 5.22
Omega Ratio (1%) 121.30 68.27 97.36 8.83 - 9.22
Information Ratio - -1.01 0.61 0.02 - -0.27
Active Premium -25.18 -6.28 5.04 0.21 - -2.45
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Please Review Important Disclosure Information