CKP Masters Program, Aggressive Version (Managed Account)
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15.22%
Year-to-Date |
|
Assets: | $ 14.3M | Inception: | Jan 2009 |
YTD Comparison
CKP Masters… | S&P 500 |
||||||
| Max DD: | 6.96 | Min Acct: | $250k | |||||||||
| Annual ROR: | 284.43% | Mgmt Fee: | 2.40% | |||||||||
| Sharpe Ratio (RF=1%): | 6.59 | Perf. Fee: | 25.00% |
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2010 | 6.19 | 8.50 | 15.22 | 0.00 | ||||||||||
| 2009 | -6.96 | 52.02 | 1.56 | 32.50 | 3.15 | 7.82 | 11.87 | 15.96 | 13.08 | 14.87 | 5.83 | 10.63 | 317.61 | 6.96 |
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Summary
The program is an option writing program. Due to unusually favorable market conditions during 2009 performance has been well above target. It should not be expected that this level of return is sustainable. All 2009 results have been audited and verified, for details see www.ckplomax.com
Investments
After careful evaluation of fundamentals, indicators and chart analyses markets are selected. In each market, strike prices and number of contracts are selected and short-term options are written as outrights in trending markets or as strangles in non-trending markets.A trading account with the described option trading strategy can be co-margined with an existing futures trading account managed by a different CTA.
Risk Management
Tight risk management is applied by daily calculating portfolio risk and setting tight soft or hard stops (2.5% of NAV per position), continuous market observation, evaluation of fundamentals, charts and indicators.
| Account & Fees | |
| Type | Managed Account |
| Domicile | Switzerland |
| Minimum Account | $250k |
| Management Fee | 2.40% |
| Performance Fee | 25.00% |
| Average Commission | $14.00 |
| Subscriptions | |
| Highwater Mark | Yes |
| Hurdle Rate | 0 |
| Subscription Frequency | Anytime |
| Redemption Frequency | Anytime |
| Redemption Fee | N/A |
| Investor Requirements | Qualified Eligible Persons (QEP) |
| Lock-up Period | |
| Trading | |
| Trading Frequency | 10,000 RT/YR/$M |
| Avg. Margin-to-Equity | 50% |
| Targeted WDD | 20.00% |
| Worst Peak-to-Trough | 20.00% |
| Strategy | |
| Fundamental | 0 |
| Trend-following | 0 |
| Counter-trend | 0 |
| Option-writing | 90.00% |
| Option-purchasing | 0 |
| Option-spreads | 10.00% |
| Seasonal/cyclical | 0 |
| Spreading/hedging | 0 |
| Arbitrage | 0 |
| Other | 0 |
| Decision-Making | |
| Discretionary | 100.00% |
| Systematic | 0 |
| Positions | |
| Long (bullish) | 10.00% |
| Short (bearish) | 50.00% |
| Neutral | 40.00% |
| Holding Periods | |
| Long-term | 0 |
| Medium-term | 0 |
| Short-term | 100.00% |
| Intraday | 0 |
| Reward | Monthly | Annual | |||||
|---|---|---|---|---|---|---|---|
| Compound RoR: | 11.88% | 284.43% | |||||
| Average RoR: | 12.64% | 317.36% | |||||
| Max Gain: | 52.02% | 317.61% | |||||
| Win Frequency: | 13/14 (93%) | 2/2 (100%) | |||||
| Average Win: | 14.15% | 166.41% | |||||
| Gain StDev: | 13.78% | 213.83% | |||||
| Risk | |||||||
| Average StDev: | 13.87% | 48.03% | |||||
| Max Drawdown: | 6.96 | 6.96 | |||||
| Loss Frequency: | 1/14 (7%) | 0/2 (0) | |||||
| Average Loss: | -6.96% | 0 | |||||
| Loss StDev: | 0 | 0 | |||||
| Reward/Risk | |||||||
| Sharpe Ratio: (RF=1%) | 0.91 | 6.59 | |||||
| Sterling Ratio: | 0 | 0 | |||||
| Calmar Ratio: | 0 | 0 | |||||
| Skewness: | 1.56 | 0 | |||||
| Kurtosis: | 2.29 | 0 | |||||
| Correlation | |||||||
| S&P 500 Index | -0.22 | ||||||
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
