Deep Field Capital AG

Intraday Crisis Alpha (ICA) Strategy *QEP*


Monthly Performance (%)

Date Range: 04/17 - 06/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 4.35 4.70 0.17 4.38 2.36 7.58   25.79 
2019 1.13 2.74 1.04 -1.43 -2.24 0.25 -2.09 1.40 0.16 -2.10 2.52 -1.73  -0.53 
2018 -0.09 8.00 4.74 2.33 1.17 2.28 -0.09 -0.59 -0.08 1.46 -1.30 1.08  20.22 
2017 0.70 -0.20 -0.08 1.69 -0.83 -0.09 -0.06 -0.02  1.10 

Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Intraday Crisis Alpha (ICA) strategy takes directional long & short trades during the day session in the S&P 500 Index future. ICA is designed to benefit from big intraday moves to the upside as well as downside and to provide an effective intraday tail hedge without the usual cost of an cost of an insurance premium. ICA does not hold any positions overnight and little intraday margin of approximately 12% and can be notionally funded Its return profile shows a strong long volatility profile with a significant positive skewness. The investment process is purely systematic and order execution is fully automated. The strategy is available via a SMA and other structures are available upon request.

Performance Statistics

Date Range: 04/17 - 06/20
  Program S&P 500 Coquest 40 
Total Return 52.06% 39.99% 2.17% 
Annualized Return 14.15% 10.90% 0.66% 
Annualized Std. Deviation 8.32% 16.06% 7.43% 
Correlation -0.09 -0.26 
Sharpe Ratio (rf=2.5%) 1.40 0.52 -0.25 
Worst Month -2.24% -12.35% -6.10% 
Date of Worst Month 05/2019 03/2020 02/2018 
Worst Drawdown -5.96% -19.60% -9.14% 
Date of Worst Drawdown 3/19 - 10/19 12/19 - 3/20 1/18 - 1/19 

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/17 - 06/20
Year or YTD Program S&P 500 Coquest 40 
2020 25.79 -3.08 -2.54 
2019 -0.53 31.50 7.53 
2018 20.22 -4.38 -4.29 
2017 1.10 13.70 2.48 

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 04/17 - 06/20
Date: 6/30/2020
Perf: $1,027.91 Date: 5/31/2020
Perf: $1,041.24 Date: 4/30/2020
Perf: $1,053.56 Date: 3/31/2020
Perf: $1,050.10 Date: 2/29/2020
Perf: $1,049.47 Date: 1/31/2020
Perf: $1,065.34 Date: 12/31/2019
Perf: $1,054.69 Date: 11/30/2019
Perf: $1,061.27 Date: 10/31/2019
Perf: $1,050.97 Date: 9/30/2019
Perf: $1,074.72 Date: 8/31/2019
Perf: $1,105.34 Date: 7/31/2019
Perf: $1,066.72 Date: 6/30/2019
Perf: $1,031.55 Date: 5/31/2019
Perf: $1,011.32 Date: 4/30/2019
Perf: $1,031.54 Date: 3/31/2019
Perf: $1,003.93 Date: 2/28/2019
Perf: $969.14 Date: 1/31/2019
Perf: $962.98 Date: 12/31/2018
Perf: $980.83 Date: 11/30/2018
Perf: $976.73 Date: 10/31/2018
Perf: $988.59 Date: 9/30/2018
Perf: $1,013.62 Date: 8/31/2018
Perf: $1,018.21 Date: 7/31/2018
Perf: $992.89 Date: 6/30/2018
Perf: $1,000.39 Date: 5/31/2018
Perf: $992.06 Date: 4/30/2018
Perf: $1,005.02 Date: 3/31/2018
Perf: $994.28 Date: 2/28/2018
Perf: $995.18 Date: 1/31/2018
Perf: $1,059.83 Date: 12/31/2017
Perf: $1,024.78 Date: 11/30/2017
Perf: $1,013.73 Date: 10/31/2017
Perf: $1,012.42 Date: 9/30/2017
Perf: $971.70 Date: 8/31/2017
Perf: $992.65 Date: 7/31/2017
Perf: $976.44 Date: 6/30/2017
Perf: $972.64 Date: 5/31/2017
Perf: $1,001.90 Date: 4/30/2017
Perf: $1,000.00 Date: 6/30/2020
Perf: $1,385.59 Date: 5/31/2020
Perf: $1,358.56 Date: 4/30/2020
Perf: $1,296.83 Date: 3/31/2020
Perf: $1,149.47 Date: 2/29/2020
Perf: $1,311.43 Date: 1/31/2020
Perf: $1,429.04 Date: 12/31/2019
Perf: $1,429.61 Date: 11/30/2019
Perf: $1,387.70 Date: 10/31/2019
Perf: $1,339.09 Date: 9/30/2019
Perf: $1,310.65 Date: 8/31/2019
Perf: $1,286.59 Date: 7/31/2019
Perf: $1,307.25 Date: 6/30/2019
Perf: $1,288.69 Date: 5/31/2019
Perf: $1,203.82 Date: 4/30/2019
Perf: $1,285.44 Date: 3/31/2019
Perf: $1,235.41 Date: 2/28/2019
Perf: $1,211.90 Date: 1/31/2019
Perf: $1,174.21 Date: 12/31/2018
Perf: $1,087.13 Date: 11/30/2018
Perf: $1,195.04 Date: 10/31/2018
Perf: $1,171.15 Date: 9/30/2018
Perf: $1,257.14 Date: 8/31/2018
Perf: $1,250.01 Date: 7/31/2018
Perf: $1,210.55 Date: 6/30/2018
Perf: $1,167.13 Date: 5/31/2018
Perf: $1,159.94 Date: 4/30/2018
Perf: $1,132.64 Date: 3/31/2018
Perf: $1,128.36 Date: 2/28/2018
Perf: $1,157.76 Date: 1/31/2018
Perf: $1,202.12 Date: 12/31/2017
Perf: $1,136.97 Date: 11/30/2017
Perf: $1,124.49 Date: 10/31/2017
Perf: $1,091.00 Date: 9/30/2017
Perf: $1,066.16 Date: 8/31/2017
Perf: $1,044.64 Date: 7/31/2017
Perf: $1,041.41 Date: 6/30/2017
Perf: $1,020.39 Date: 5/31/2017
Perf: $1,014.10 Date: 4/30/2017
Perf: $1,000.00 Date: 6/30/2020
Perf: $1,520.63 Date: 5/31/2020
Perf: $1,413.48 Date: 4/30/2020
Perf: $1,380.90 Date: 3/31/2020
Perf: $1,322.95 Date: 2/29/2020
Perf: $1,320.70 Date: 1/31/2020
Perf: $1,261.42 Date: 12/31/2019
Perf: $1,208.83 Date: 11/30/2019
Perf: $1,230.12 Date: 10/31/2019
Perf: $1,199.88 Date: 9/30/2019
Perf: $1,225.62 Date: 8/31/2019
Perf: $1,223.66 Date: 7/31/2019
Perf: $1,206.76 Date: 6/30/2019
Perf: $1,232.52 Date: 5/31/2019
Perf: $1,229.45 Date: 4/30/2019
Perf: $1,257.62 Date: 3/31/2019
Perf: $1,275.87 Date: 2/28/2019
Perf: $1,262.73 Date: 1/31/2019
Perf: $1,229.06 Date: 12/31/2018
Perf: $1,215.32 Date: 11/30/2018
Perf: $1,202.34 Date: 10/31/2018
Perf: $1,218.17 Date: 9/30/2018
Perf: $1,200.65 Date: 8/31/2018
Perf: $1,201.61 Date: 7/31/2018
Perf: $1,208.74 Date: 6/30/2018
Perf: $1,209.83 Date: 5/31/2018
Perf: $1,182.86 Date: 4/30/2018
Perf: $1,169.18 Date: 3/31/2018
Perf: $1,142.56 Date: 2/28/2018
Perf: $1,090.85 Date: 1/31/2018
Perf: $1,010.05 Date: 12/31/2017
Perf: $1,010.96 Date: 11/30/2017
Perf: $1,011.16 Date: 10/31/2017
Perf: $1,011.77 Date: 9/30/2017
Perf: $1,012.68 Date: 8/31/2017
Perf: $1,021.15 Date: 7/31/2017
Perf: $1,004.18 Date: 6/30/2017
Perf: $1,004.99 Date: 5/31/2017
Perf: $1,007.00 Date: 4/30/2017
Perf: $1,000.00

Note: All performance data is since program inception.

Monthly Returns

Date Range: 04/17 - 06/20
Date: 6/30/2020
Return: 7.58 % Date: 5/31/2020
Return: 2.36 % Date: 4/30/2020
Return: 4.38 % Date: 3/31/2020
Return: 0.17 % Date: 2/29/2020
Return: 4.70 % Date: 1/31/2020
Return: 4.35 % Date: 12/31/2019
Return: -1.73 % Date: 11/30/2019
Return: 2.52 % Date: 10/31/2019
Return: -2.10 % Date: 9/30/2019
Return: 0.16 % Date: 8/31/2019
Return: 1.40 % Date: 7/31/2019
Return: -2.09 % Date: 6/30/2019
Return: 0.25 % Date: 5/31/2019
Return: -2.24 % Date: 4/30/2019
Return: -1.43 % Date: 3/31/2019
Return: 1.04 % Date: 2/28/2019
Return: 2.74 % Date: 1/31/2019
Return: 1.13 % Date: 12/31/2018
Return: 1.08 % Date: 11/30/2018
Return: -1.30 % Date: 10/31/2018
Return: 1.46 % Date: 9/30/2018
Return: -0.08 % Date: 8/31/2018
Return: -0.59 % Date: 7/31/2018
Return: -0.09 % Date: 6/30/2018
Return: 2.28 % Date: 5/31/2018
Return: 1.17 % Date: 4/30/2018
Return: 2.33 % Date: 3/31/2018
Return: 4.74 % Date: 2/28/2018
Return: 8.00 % Date: 1/31/2018
Return: -0.09 % Date: 12/31/2017
Return: -0.02 % Date: 11/30/2017
Return: -0.06 % Date: 10/31/2017
Return: -0.09 % Date: 9/30/2017
Return: -0.83 % Date: 8/31/2017
Return: 1.69 % Date: 7/31/2017
Return: -0.08 % Date: 6/30/2017
Return: -0.20 % Date: 5/31/2017
Return: 0.70 % Date: 4/30/2017
Return: 0.00 %

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 04/17 - 06/20
Return: 4.00 %
Count: 2 Return: -2.00 %
Count: 4 Return: 3.00 %
Count: 2 Return: 5.00 %
Count: 2 Return: 8.00 %
Count: 2 Return: -1.00 %
Count: 4 Return: 2.00 %
Count: 4 Return: 1.00 %
Count: 7 Return: 0.00 %
Count: 12

Note: All performance data is since program inception.

Underwater Curve

Date Range: 04/17 - 06/20
Date: 6/30/2020
Drawdown: 0.00 % Date: 5/31/2020
Drawdown: 0.00 % Date: 4/30/2020
Drawdown: 0.00 % Date: 3/31/2020
Drawdown: 0.00 % Date: 2/29/2020
Drawdown: 0.00 % Date: 1/31/2020
Drawdown: -1.13 % Date: 12/31/2019
Drawdown: -5.25 % Date: 11/30/2019
Drawdown: -3.59 % Date: 10/31/2019
Drawdown: -5.96 % Date: 9/30/2019
Drawdown: -3.94 % Date: 8/31/2019
Drawdown: -4.09 % Date: 7/31/2019
Drawdown: -5.42 % Date: 6/30/2019
Drawdown: -3.40 % Date: 5/31/2019
Drawdown: -3.64 % Date: 4/30/2019
Drawdown: -1.43 % Date: 3/31/2019
Drawdown: 0.00 % Date: 2/28/2019
Drawdown: 0.00 % Date: 1/31/2019
Drawdown: 0.00 % Date: 12/31/2018
Drawdown: -0.23 % Date: 11/30/2018
Drawdown: -1.30 % Date: 10/31/2018
Drawdown: 0.00 % Date: 9/30/2018
Drawdown: -0.76 % Date: 8/31/2018
Drawdown: -0.68 % Date: 7/31/2018
Drawdown: -0.09 % 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: -1.09 % Date: 12/31/2017
Drawdown: -1.00 % Date: 11/30/2017
Drawdown: -0.98 % Date: 10/31/2017
Drawdown: -0.92 % Date: 9/30/2017
Drawdown: -0.83 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: -0.28 % Date: 6/30/2017
Drawdown: -0.20 % Date: 5/31/2017
Drawdown: 0.00 %

Note: All performance data is since program inception.

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 
 Investment Methodology
 Systematic Yes 
 Sector Specialist Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Intra-Day Yes 
 Investment Terms & Information
 Managed Account Minimum: $1,500,000 
 Margin / Equity Ratio:  
 Managed Account Availability: Open 
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