Lighthouse Volatility

Lighthouse Accounts: Alternative

Summary

The Lighthouse Volatility Account trades volatility as if it were an asset class. The portfolio manager aims to profit from various strategies. Directional volatility strategies aim to profit from the trend in the implied volatility embedded in derivatives referencing other asset classes. Volatility arbitrage strategies seeks to profit from the implied volatility discrepancies between related securities. The account strives for short-term capital gains vs. long-term capital appreciation or current income.

Benchmark: S&P 500 Dynamic VIX Futures TR

Core Facts

Asset Class Alternative
Category Volatility
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $1000 US
Account number AL086
Account manager Galleon Wealth Management
Region Global
Market Developed

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
VelocityShares 1x Long VSTOXX Futures ETN-
iPath Series B S&P 500 VIX Mid-Term Futures ETN-
ProShares VIX Mid-Term Futures ETF-
ProShares VIX Short-Term Futures ETF-
iPath Series B S&P 500 VIX Short-Term Futures ETN-

Overall Risk

The risk rating is based on the account’s past performance as compared to mutual funds and/or ETFs within the same category. It represents a starting point from which investors evaluate if the core makes sense for their own risk tolerance, suitability, goals and objectives. It is not a buy or sell recommendation. There are many types of risk, including interest rate, market, political, and currency. Each type of risk can affect the value of the securities in your account.

Overview       
Start Date1/1/19
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance annually
Reinvest DividendsYes
BenchmarkProShares Ultra VIX Short-Term Futures
Portfolio Performance
MetricLighthouse VolatilityProShares Ultra VIX Short-Term Futures
Start Balance$10,000 $10,000
End Balance$5,067 $1,577
End Balance (inflation adjusted)$4,954 $1,542
CAGR-49.33%-84.23%
CAGR (inflation adjusted)-50.46%-84.58%
Stdev32.11%60.83%
Best Year-49.33%-84.23%
Worst Year-49.33%-84.23%
Max. Drawdown-49.33%-84.23%
Sharpe Ratio-1.97-2.57
Sortino Ratio-2.01-2.34
US Stock Market Correlation-0.94-0.91
Risk and Return Metrics
MetricLighthouse VolatilityProShares Ultra VIX Short-Term Futures
Arithmetic Mean (monthly)-5.11%-12.83%
Arithmetic Mean (annualized)-46.69%-80.76%
Geometric Mean (monthly)-5.51%-14.27%
Geometric Mean (annualized)-49.33%-84.23%
Volatility (monthly)9.27%17.56%
Volatility (annualized)32.11%60.83%
Downside Deviation (monthly)8.94%19.08%
Max. Drawdown-49.33%-84.23%
US Market Correlation-0.94-0.91
Beta (*)0.511
Alpha (annualized)17.81%0.00%
R Squared94.67%100.00%
Sharpe Ratio-1.97-2.57
Sortino Ratio-2.01-2.34
Treynor Ratio (%)-123.42-156.11
Active Return34.90%N/A
Tracking Error30.50%N/A
Information Ratio1.14N/A
Skewness0.831.46
Excess Kurtosis1.151.76
Historical Value-at-Risk (5%)-20.80%-35.29%
Analytical Value-at-Risk (5%)-21.25%-41.72%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)53.36100
Downside Capture Ratio (%)66.85100
Safe Withdrawal Rate49.54%15.42%
Perpetual Withdrawal Rate0.00%0.00%
Positive Periods2 out of 12 (16.67%)2 out of 12 (16.67%)
Gain/Loss Ratio1.421.11
(*) ProShares Ultra VIX Short-Term Futures is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Asset Allocation
CategoryWeight
US Stocks100.00%
Intl Stocks0.00%
US Bonds0.00%
Intl Bonds0.00%
Other0.00%
Cash-0.01%
Drawdowns
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan-19Dec-191 year-49.33%