AFB LLC : Multi - 4 Options Program

archived programs
Year-to-Date
N / A
Sep Performance
0.00%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.68%
Sharpe (RFR=1%)
-0.22
CAROR
-7.08%
Assets
$ 43k
Worst DD
-34.46
S&P Correlation
0.07

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 Since
7/2010
Multi - 4 Options Program 0.00 - - - - - -17.48 -15.23
S&P 500 2.42 - - - - - 76.68 214.46
+/- S&P 500 -2.42 - - - - - -94.15 -229.69

Strategy Description

Summary

The Multi-4 Options Program is a discretionary short, medium and long- term options trading program that seeks to generate absolute returns by taking advantage of price ranges in four sectors in the futures markets which are the energies, metals, grains and currencies. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $35.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 5640 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD 4.77%
Worst Peak-to-Trough -4.77%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 10.00%
1-3 Months 30.00%
1-30 Days 60.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Precious Metals
25.00%
Energy
25.00%
Grains
25.00%
Composition Pie Chart

Summary

The Multi-4 Options Program is a discretionary short, medium and long- term options trading program that seeks to generate absolute returns by taking advantage of price ranges in four sectors in the futures markets which are the energies, metals, grains and currencies.

Investment Strategy

The program consists of writing short (selling) call and put option positions with the goal of profiting from time decay. The goal is a monthly return of 1-2%, although individual account performance will vary depending on the timing of entry into the program. Depending on liquidity, option orders will either be placed directly to the appropriate trading pits or placed electronically.

Risk Management

While risk can never be eliminated, when necessary, the program buys at or near at-the-money option puts and calls to protect core trades with the goal of minimizing overall risk. Futures contracts may be incorporated to help reduce risk in volatile markets. In times of increased volatility, the program may establish a “gamma long” position of long puts and calls to become long premium, attempting to take advantage of the increased volatility spikes in the market while minimizing risk exposure. Also, in times of increased volatility the program may elect to have no option short positions to minimize risk.Trade positions are monitored daily in order to assess and manage risk using volatility, time and movement of the underlying market in relation to changing market signals.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-34.46 9 - 8/1/2011 5/1/2012
-17.76 5 5 10/1/2010 3/1/2011
-4.77 1 1 1/1/0001 7/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
26.00 2 7/1/2011 8/1/2011
14.06 2 4/1/2011 5/1/2011
12.55 3 8/1/2010 10/1/2010
4.99 1 6/1/2012 6/1/2012
1.76 1 12/1/2010 12/1/2010
1.17 1 10/1/2011 10/1/2011
0.20 1 12/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.08 1 9/1/2011 9/1/2011
-17.15 5 1/1/2012 5/1/2012
-13.36 3 1/1/2011 3/1/2011
-6.72 1 11/1/2010 11/1/2010
-4.77 1 7/1/2010 7/1/2010
-4.75 1 11/1/2011 11/1/2011
-2.73 1 6/1/2011 6/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable40.7436.0031.8212.500.00
Average Period Return-0.37-1.47-4.36-7.44-12.36
Average Gain5.387.497.6214.37
Average Loss-5.31-6.95-9.95-10.56-12.36
Best Period18.9122.5626.1419.94-2.54
Worst Period-18.08-21.06-26.10-31.19-20.08
Standard Deviation7.139.1411.4211.856.66
Gain Standard Deviation6.066.769.427.87
Loss Standard Deviation4.765.767.238.586.66
Sharpe Ratio (1%)-0.06-0.19-0.43-0.71-2.08
Average Gain / Average Loss1.011.080.771.36
Profit / Loss Ratio0.860.650.360.19
Downside Deviation (10%)5.087.6611.7816.4820.93
Downside Deviation (5%)4.917.0510.3813.2915.24
Downside Deviation (0%)4.866.8910.0412.5413.88
Sortino Ratio (10%)-0.15-0.35-0.58-0.76-0.95
Sortino Ratio (5%)-0.09-0.24-0.47-0.64-0.91
Sortino Ratio (0%)-0.08-0.21-0.43-0.59-0.89

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.