CKP Masters Program, Conservative Version (Managed Account)
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7.25%
Year-to-Date |
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Assets: | $ 1.6M | Inception: | Nov 2008 |
YTD Comparison
CKP Masters… | S&P 500 |
||||||
| Max DD: | 8.27 | Min Acct: | $100k | |||||||||
| Annual ROR: | 71.84% | Mgmt Fee: | 2.40% | |||||||||
| Sharpe Ratio (RF=1%): | 4.15 | 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 | 3.30 | 3.82 | 7.25 | 0.00 | ||||||||||
| 2009 | 6.49 | 3.91 | 5.06 | 6.86 | -8.27 | 14.58 | 6.16 | 4.42 | 2.20 | 0.04 | 3.72 | 9.17 | 67.56 | 8.27 |
| 2008 | 13.37 | 1.03 | 14.54 | 0.00 |
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Summary
This program is a conservative version of the CKP Masters Program. It works with lower m/e ratio and mid-term, far OTM options.A trading account with the described option trading strategy can be co-margined with an existing futures trading account managed by a different CTA.
Investments
Far OTM options are sold mostly in currency and treasury markets. Entry is 6-8 weeks before expiration, exit is based on a minimum of ROR/day.
Risk Management
Positions are liquidated before any position causes a loss of greater than 1% of NAV. Porfolio risk is calculated daily and exposed positions are rolled if exposure exceeds a threshhold value.
| Account & Fees | |
| Type | Managed Account |
| Domicile | Switzerland |
| Minimum Account | $100k |
| 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 | 20% |
| Targeted WDD | 6.00% |
| Worst Peak-to-Trough | 8.00% |
| Strategy | |
| Fundamental | 0 |
| Trend-following | 10.00% |
| Counter-trend | 0 |
| Option-writing | 90.00% |
| Option-purchasing | 0 |
| Option-spreads | 0 |
| Seasonal/cyclical | 0 |
| Spreading/hedging | 0 |
| Arbitrage | 0 |
| Other | 0 |
| Decision-Making | |
| Discretionary | 100.00% |
| Systematic | 0 |
| Positions | |
| Long (bullish) | 0 |
| Short (bearish) | 0 |
| Neutral | 100.00% |
| Holding Periods | |
| Long-term | 0 |
| Medium-term | 0 |
| Short-term | 100.00% |
| Intraday | 0 |
| Reward | Monthly | Annual | |||||
|---|---|---|---|---|---|---|---|
| Compound RoR: | 4.62% | 71.84% | |||||
| Average RoR: | 4.74% | 74.35% | |||||
| Max Gain: | 14.58% | 67.56% | |||||
| Win Frequency: | 15/16 (94%) | 3/3 (100%) | |||||
| Average Win: | 5.61% | 29.78% | |||||
| Gain StDev: | 4.11% | 32.92% | |||||
| Risk | |||||||
| Average StDev: | 5.10% | 17.68% | |||||
| Max Drawdown: | 8.27 | 8.27 | |||||
| Loss Frequency: | 1/16 (6%) | 0/3 (0) | |||||
| Average Loss: | -8.27% | 0 | |||||
| Loss StDev: | 0 | 0 | |||||
| Reward/Risk | |||||||
| Sharpe Ratio: (RF=1%) | 0.92 | 4.15 | |||||
| Sterling Ratio: | 0 | 0 | |||||
| Calmar Ratio: | 0 | 0 | |||||
| Skewness: | -0.32 | 0 | |||||
| Kurtosis: | 1.12 | 0 | |||||
| Correlation | |||||||
| S&P 500 Index | -0.22 | ||||||
PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
