Non Correlated Capital : Positive Theta Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 5.06% Sep Performance -1.19% Min Investment $ 250k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 18.55% Sharpe (RFR=1%) 1.03 CAROR 20.02% Assets $ 11.2M Worst DD -27.98 S&P Correlation 0.21 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Sep Qtr YTD 1yr 3yr 5yr 10yr Since10/2007 Positive Theta Program -1.19 1.22 5.06 2.15 -13.54 18.18 - 416.71 S&P 500 -0.12 3.31 6.08 12.93 28.94 91.62 - 39.92 +/- S&P 500 -1.07 -2.09 -1.03 -10.78 -42.48 -73.44 - 376.79 Strategy Description SummaryThe Positive Theta Program engages in a hybrid option volatility strategy. Tactical allocation remains flexible and can be adjusted to benefit from expansion in market volatility as well as the typical volatility compression that occurs when markets remain range-bound for long periods... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 50k CTA Max Funding Factor 2.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 3000 RT/YR/$M Avg. Margin-to-Equity 20% Targeted Worst DD -10.00% Worst Peak-to-Trough 15.00% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 20.00% 1-30 Days 60.00% Intraday 20.00% Decision-Making Discretionary 10.00% Systematic 90.00% Strategy Option-purchasing 20.00% Option-spreads 10.00% Option-writing 50.00% Spreading/hedging 10.00% Trend-following 10.00% Composition Energy 40.00% Currency Futures 10.00% Stock Indices 10.00% Grains 10.00% Precious Metals 10.00% Softs 10.00% Interest Rates 10.00% SummaryThe Positive Theta Program engages in a hybrid option volatility strategy. Tactical allocation remains flexible and can be adjusted to benefit from expansion in market volatility as well as the typical volatility compression that occurs when markets remain range-bound for long periods of time. Program capital is deployed across three allocations - the “Core Allocation”, “Macro Allocation and the “Tail Allocation”. Investment StrategyThe Advisor currently engages in a program of buying and selling or “writing” options (puts and calls) on a broad range of futures markets within the United States. The current market scope for the program encompasses thirteen futures markets within the United States. The Advisor will extend the scope of markets within The Positive Theta Program and as such, reserves the right to place trades in any commodity futures contract, or option contract thereon, on any exchange, at the Advisor’s sole discretion. The trading strategy utilized by the Advisor is proprietary and confidential. The following description is of general necessity and is not intended to be all-inclusive. The Advisor uses an approach to trading that relies heavily on selling or “writing” options on commodity futures markets. The Advisor may also, from time to time, purchase options and may employ the use of hedge strategies such as option spreads, strangles, straddles, or may purchase or sell futures contracts to offset an open option position. The implementation of The Positive Theta Program relies on a systematic deployment process moderated by a qualitative overlay. The advisor will utilise the following in the qualitative process before engaging systematic trade allocation. 1) charted prices, 2) trade volumes, 3) price momentum, 4) underlying market volatility measurements, 5) the price and volatility of various options, both in absolute terms in relation to their historic levels, and in relative terms comparing the prices and volatility of puts to the prices and volatility of similar calls, and 6) fundamental considerations including the condition of the global market, the trend and volatility of the markets, supply and demand, as well as business and economic factors, governmental policies, weather, and other worldwide events, which can influence the markets. Capital is deployed across two trading components. The “Core Allocation” and the “Macro Allocation”. The Core Allocation presides over the energy market complex and utilises hedging and risk management methods appropriate for those markets. The Macro allocation contains a subset of ten allocation principles with broad exposure to thirteen of the most liquid futures contracts.Risk ManagementThe Core Allocation implements a three-tiered risk management model that is based on drawdown, premium expansion/contraction and technical market factors. Custom risk management software monitors these factors in real-time and provides an alerting mechanism, with multiple redundancies, for hedging and position liquidation. The Macro Allocation relies on a unique allocation model that maximises diversification and minimises market correlation. The allocation model serves to minimise individual market risk. The Macro Allocation employs price level based liquidation triggers and a hedging method based on a well-researched qualitative overlay. The Tail Allocation is an additional risk management overlay, designed to act as tail risk insurance. Non Correlated Capital will expend up to 3% of total capital each calendar year for that cover. The program maintains a 20% margin to equity ratio but will increase exposure up to 40% in times of greater perceived opportunity. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=0%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=0%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -27.98 34 - 3/1/2013 1/1/2016 -14.08 1 5 12/1/2007 1/1/2008 -12.03 1 1 11/1/2008 12/1/2008 -10.23 2 8 12/1/2010 2/1/2011 -9.87 2 1 8/1/2008 10/1/2008 -8.04 1 1 4/1/2010 5/1/2010 -7.88 1 2 4/1/2009 5/1/2009 -3.39 1 1 7/1/2010 8/1/2010 -1.54 1 1 1/1/2009 2/1/2009 -0.62 1 1 1/1/0001 10/1/2007 -0.58 1 1 10/1/2010 11/1/2010 -0.46 1 1 5/1/2012 6/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 149.80 11 6/1/2009 4/1/2010 39.42 7 2/1/2008 8/1/2008 33.53 9 9/1/2011 5/1/2012 18.40 1 1/1/2009 1/1/2009 17.85 2 3/1/2009 4/1/2009 17.83 1 11/1/2008 11/1/2008 15.19 9 7/1/2012 3/1/2013 15.03 2 9/1/2010 10/1/2010 14.16 2 6/1/2010 7/1/2010 7.46 2 11/1/2007 12/1/2007 7.45 2 3/1/2011 4/1/2011 7.43 4 5/1/2016 8/1/2016 5.70 2 2/1/2016 3/1/2016 5.41 9 9/1/2013 5/1/2014 4.04 2 6/1/2011 7/1/2011 3.23 1 9/1/2015 9/1/2015 2.69 1 12/1/2010 12/1/2010 1.51 1 8/1/2014 8/1/2014 1.50 1 5/1/2013 5/1/2013 1.39 1 4/1/2015 4/1/2015 1.30 1 6/1/2015 6/1/2015 0.08 1 11/1/2015 11/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -14.39 7 9/1/2014 3/1/2015 -14.08 1 1/1/2008 1/1/2008 -12.03 1 12/1/2008 12/1/2008 -10.44 2 7/1/2015 8/1/2015 -10.23 2 1/1/2011 2/1/2011 -9.87 2 9/1/2008 10/1/2008 -8.11 2 12/1/2015 1/1/2016 -8.04 1 5/1/2010 5/1/2010 -7.88 1 5/1/2009 5/1/2009 -6.29 1 5/1/2011 5/1/2011 -6.19 3 6/1/2013 8/1/2013 -3.39 1 8/1/2010 8/1/2010 -3.09 1 4/1/2013 4/1/2013 -1.54 1 2/1/2009 2/1/2009 -1.19 1 9/1/2016 9/1/2016 -1.03 2 6/1/2014 7/1/2014 -0.89 1 8/1/2011 8/1/2011 -0.86 1 5/1/2015 5/1/2015 -0.62 1 10/1/2007 10/1/2007 -0.58 1 11/1/2010 11/1/2010 -0.56 1 10/1/2015 10/1/2015 -0.46 1 6/1/2012 6/1/2012 -0.45 1 4/1/2016 4/1/2016 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods108.00106.00103.0097.0091.0085.0073.0061.0049.00 Percent Profitable66.6769.8168.9368.0469.2371.7673.9783.61100.00 Average Period Return1.675.2211.6227.1147.3071.09115.17168.43225.61 Average Gain4.239.5419.5443.8873.45105.27160.87203.37225.61 Average Loss-3.44-4.76-5.98-8.58-11.52-15.79-14.72-9.77 Best Period18.4038.3079.94152.88227.71282.32364.98469.25590.45 Worst Period-14.08-11.40-14.12-21.93-25.19-24.25-26.98-12.928.42 Standard Deviation5.3610.4820.5242.8267.2392.23129.09170.92200.39 Gain Standard Deviation4.179.5520.0242.4265.4187.71120.16165.70200.39 Loss Standard Deviation3.463.214.155.767.414.898.413.15 Sharpe Ratio (1%)0.300.470.540.610.680.750.870.961.10 Average Gain / Average Loss1.232.003.275.116.376.6710.9320.81 Profit / Loss Ratio2.464.637.2610.8814.3416.9531.06106.15 Downside Deviation (10%)2.973.725.248.3611.4014.0816.2613.096.07 Downside Deviation (5%)2.833.254.276.298.289.799.975.73 Downside Deviation (0%)2.803.144.035.817.568.778.594.14 Sortino Ratio (10%)0.431.071.752.653.484.326.1111.2232.62 Sortino Ratio (5%)0.561.532.614.155.537.0511.2428.69 Sortino Ratio (0%)0.601.662.884.666.268.1113.4040.72 Top Performer Badges Index Award Type Rank Performance Period Option Strategy Index Month 6 1.45 6/2016 IASG CTA Index Month 4 3.38 5/2016 Systematic Trader Index Month 4 3.38 5/2016 Diversified Trader Index Month 2 3.38 5/2016 Option Strategy Index Month 3 3.38 5/2016 Option Strategy Index Month 3 3.58 3/2016 Option Strategy Index Month 5 2.05 2/2016 Option Strategy Index Month 7 -0.56 10/2015 Option Strategy Index Month 9 3.23 9/2015 IASG CTA Index 5 Year Rolling 4 408.13 2008 - 2013 Option Strategy Index Month 4 1.50 5/2013 Option Strategy Index Month 7 1.12 3/2013 Option Strategy Index Month 9 1.06 1/2013 IASG CTA Index 3 Year Rolling 10 118.47 2009 - 2012 IASG CTA Index 5 Year Rolling 3 487.01 2007 - 2012 Option Strategy Index Month 10 1.61 9/2012 Option Strategy Index Month 8 1.92 7/2012 Option Strategy Index Month 8 3.63 4/2012 Option Strategy Index Month 8 4.22 1/2012 IASG CTA Index 3 Year Rolling 3 319.34 2008 - 2011 Option Strategy Index Month 9 5.29 11/2011 Option Strategy Index Month 7 5.84 10/2011 Option Strategy Index Month 7 4.23 9/2011 Option Strategy Index Month 10 -0.89 8/2011 Option Strategy Index Month 9 1.15 7/2011 Option Strategy Index Month 8 2.86 6/2011 Option Strategy Index Month 4 3.66 4/2011 Option Strategy Index Month 4 3.66 3/2011 IASG CTA Index 3 Year Rolling 4 321.43 2007 - 2010 Option Strategy Index Month 7 2.69 12/2010 Option Strategy Index Month 8 2.46 10/2010 Option Strategy Index Month 1 12.27 9/2010 Option Strategy Index Month 1 4.79 7/2010 Option Strategy Index Month 2 8.94 6/2010 Systematic Trader Index Month 6 8.94 6/2010 Diversified Trader Index Month 6 8.94 6/2010 IASG CTA Index Month 7 8.94 6/2010 Option Strategy Index Month 3 3.15 4/2010 Option Strategy Index Month 2 8.26 3/2010 Option Strategy Index Month 2 8.29 2/2010 Systematic Trader Index Month 7 8.29 2/2010 Diversified Trader Index Month 7 8.29 2/2010 IASG CTA Index Month 6 8.89 1/2010 Systematic Trader Index Month 4 8.89 1/2010 Diversified Trader Index Month 4 8.89 1/2010 Option Strategy Index Month 2 8.89 1/2010 Option Strategy Index Month 2 14.81 12/2009 IASG CTA Index Month 2 14.81 12/2009 IASG CTA Index Year Rolling 2 140.09 2008 - 2009 Systematic Trader Index Month 2 14.81 12/2009 Diversified Trader Index Month 2 14.81 12/2009 Option Strategy Index Month 3 10.30 11/2009 IASG CTA Index Month 5 9.21 10/2009 Diversified Trader Index Month 4 9.21 10/2009 Option Strategy Index Month 2 9.21 10/2009 Systematic Trader Index Month 3 9.21 10/2009 Option Strategy Index Month 2 10.34 9/2009 Diversified Trader Index Month 5 10.34 9/2009 Systematic Trader Index Month 5 10.34 9/2009 IASG CTA Index Month 8 10.34 9/2009 Option Strategy Index Month 7 5.22 8/2009 IASG CTA Index Month 4 10.00 7/2009 Option Strategy Index Month 2 10.00 7/2009 Systematic Trader Index Month 3 10.00 7/2009 Diversified Trader Index Month 3 10.00 7/2009 Option Strategy Index Month 3 7.41 6/2009 Systematic Trader Index Month 5 7.41 6/2009 Diversified Trader Index Month 8 7.41 6/2009 IASG CTA Index Month 10 7.41 6/2009 Diversified Trader Index Month 3 13.35 4/2009 Systematic Trader Index Month 3 13.35 4/2009 IASG CTA Index Month 3 13.35 4/2009 Option Strategy Index Month 2 13.35 4/2009 Option Strategy Index Month 4 3.97 3/2009 Diversified Trader Index Month 10 3.97 3/2009 Systematic Trader Index Month 8 3.97 3/2009 IASG CTA Index Month 3 18.40 1/2009 Option Strategy Index Month 2 18.40 1/2009 Systematic Trader Index Month 3 18.40 1/2009 Diversified Trader Index Month 3 18.40 1/2009 Option Strategy Index Month 2 17.83 11/2008 Diversified Trader Index Month 2 17.83 11/2008 Systematic Trader Index Month 2 17.83 11/2008 IASG CTA Index Month 2 17.83 11/2008 Option Strategy Index Month 7 -5.94 10/2008 Option Strategy Index Month 3 -4.18 9/2008 Option Strategy Index Month 2 7.93 8/2008 Option Strategy Index Month 3 8.63 7/2008 Diversified Trader Index Month 5 8.63 7/2008 Systematic Trader Index Month 6 8.63 7/2008 IASG CTA Index Month 8 8.63 7/2008 Option Strategy Index Month 7 2.25 6/2008 Option Strategy Index Month 7 3.75 5/2008 Option Strategy Index Month 5 3.19 4/2008 Option Strategy Index Month 6 5.96 3/2008 Diversified Trader Index Month 9 5.96 3/2008 Option Strategy Index Month 8 2.52 2/2008 Option Strategy Index Month 7 -14.08 1/2008 Option Strategy Index Month 7 2.84 12/2007 IASG CTA Index Sharpe 9 2.86 2006 - 2007 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel