Disclosure & Definitions

The Vaucluse AlphaVol Strategy went live in May 2017. The Vaucluse AlphaVol Long Bias Strategy went live in May 2017.

Investing involves risk, including the possible loss of principal and fluctuation of value. Past performance is no guarantee of future results. Carefully consider the Strategy’s investment objectives, risk factors, charges and expenses before investing. This Strategy is actively managed and there is no guarantee investments selected and strategies employed will achieve the intended results. Strategy is subject to change. Active management may also increase transaction costs. The Strategy is not diversified, and narrowly focused investments may be subject to higher risk.

 

Past performance does not guarantee future results. All material presented is compiled from sources believed to be reliable and current, but accuracy cannot be guaranteed. This is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment making decision. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Any specific securities mentioned are not representative of all securities purchased, sold or recommended for advisory clients. Actual portfolio holdings vary for each client and there is no guarantee that a particular client’s account will hold any, or all, of the securities identified. It should not be assumed that any of the securities or recommendations made in the future will be profitable or will equal the performance of the listed securities. It should not be assumed that any securities listed were or will be profitable. Performance reflects the deduction of brokerage commissions and other expenses. The views and opinions expressed are those of the portfolio manager at the time of publication and are subject to change. There is no guarantee that these views will come to pass. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing. Investments are subject to change without notice.

 

The CBOE Volatility Index (the “VIX®”) is a product of S&P Dow Jones Indices LLC (“SPDJI”) and is based on the CBOE VIX® methodology, which is the property of Chicago Board Options Exchange (“CBOE”). S&P® is a registered trademark of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); CBOE® and VIX® are registered trademarks of the CBOE. ProShares and ProShares ETFs are service marks of ProShares.

 

The liquidity of the market for the ETNs and ETFs may vary materially over time. Any limitation or suspension on the issuance, or change in number of outstanding ETNs or ETFs, may materially and adversely affect the price and liquidity of the ETNs or ETFs in the secondary market.  

 

The ProShares Short VIX Short-Term Futures ETF (SVXY) will lose value when the price of VIX® Futures Contracts rise. A single day or intraday increase in the value of these Futures Contracts approaching 100% could result in the total loss of any investment in the SVXY even if the levels of the Futures Contracts subsequently decrease.

 

Several factors may affect the price and/or liquidity of and Exchange-Traded Funds invested in by the Strategy, including but not limited to: prevailing market prices and forward volatility levels of the U.S. and European stock markets, equity securities included in the S&P 500® and Euro Stoxx 50®, and prevailing market prices of options on the S&P 500® and Euro Stoxx 50®, the VIX® Index and the VSTOXX® Index, options on the VIX® and options on the VSTOXX®, VIX® Futures, VSTOXX® Futures, and/or any other financial instruments related to the S&P 500®, the VIX®, VIX® Futures, Euro Stoxx 50®, the VSTOXX®, and VSTOXX® Futures; interest rates; economic, financial, political, regulatory, geographical or judicial events that affect the current volatility reading of the VIX® and VSTOXX® or the market price or forward volatility of the U.S. and European stock markets; supply and demand as well as hedging activities in the listed and over-the-counter equity derivatives markets; disruptions in trading of the S&P 500® or Euro Stoxx 50®, Futures contracts on the S&P 500® and Euro Stoxx 50, or options on the S&P 500® or Euro Stoxx 50®; and the level of contango or backwardation in the VIX® and VSTOXX® Futures Contracts market.

 

This is not to be construed as an offer to buy or sell any financial instruments and should not be relied upon as the sole factor in an investment making decision. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Any specific securities mentioned are not representative of all securities purchased, sold or recommended for advisory clients. Actual portfolio holdings vary for each client and there is no guarantee that a particular client’s account will hold any, or all, of the securities identified. It should not be assumed that any of the securities or recommendations made in the future will be profitable or will equal the performance of the listed securities. It should not be assumed that any securities listed were or will be profitable. Performance reflects the deduction of brokerage commissions and other expenses. The views and opinions expressed are those of the portfolio manager at the time of publication and are subject to change. There is no guarantee that these views will come to pass. As with all investments there are associated inherent risks. Please obtain and review all financial material carefully before investing. Investments are subject to change without notice.

 

Vaucluse Management, LLC is the investment advisor for the separately managed accounts (SMAs) and advisory services that are not open to the general public; it provides investment advisory services only available to qualified investors who understand the risks involved in investing with alternative investment strategies and does not sell securities. Part II of Form ADV contains information about the background and business practices of Vaucluse Management, LLC. This material is available at www.vauclusepartners.com/adv or by contacting Vaucluse Management, LLC at info@vauclusepartners.com.

Investing involves risk, including the possible loss of principal and fluctuation of value. Past performance is no guarantee of future results. Carefully consider the investment objectives, risk factors, charges and expenses before investing. Vaucluse Management, LLC is the investment advisor for the separately managed accounts (SMAs) and advisory services that are not open to the general public; it provides investment advisory services only available to qualified investors who understand the risks involved in investing with alternative investment strategies and does not sell securities. For a more complete disclosure click here. For a more complete description of our business as well as our Form ADV Part II filed with our regulator click here.
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