Aleph Strategies LLC : Aleph Options

Year-to-Date
12.86%
Aug Performance
0.70%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.97%
Sharpe (RFR=1%)
4.39
CAROR
19.95%
Assets
$ 28.8M
Worst DD
-1.64
S&P Correlation
0.41

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
Aleph Options 0.70 5.45 12.86 17.64 80.27 - - 94.83
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 49.30
+/- S&P 500 2.51 -0.89 -3.87 16.79 46.84 - - 45.53

Strategy Description

Summary

www.alephstrategies.com PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS - See our Disclosure Document for a more comprehensive risk disclosure. Aleph Options Trading Program: We sell S&P 500 options on Futures for premium. AUM is estimated as of the current month for... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.32
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
13000 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-purchasing
10.00%
Option-writing
90.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

www.alephstrategies.com PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS - See our Disclosure Document for a more comprehensive risk disclosure. Aleph Options Trading Program: We sell S&P 500 options on Futures for premium. AUM is estimated as of the current month for client's accounts only. Proprietary's accounts AUM is about additional $4.5MM as of 09/01/19 (not included in the client's AUM above). Performance result and AUM of the latest month may be an estimate and are not final yet.

Investment Strategy

The strategy takes advantage of short expiration options, seeking rapid time decay. We trade multiple expiration dates and strikes based on market conditions.

Risk Management

Diversified Futures Index - Compared to other futures, the S&P 500 futures provides additional advantages in that it represents broad market diversification. See our Disclosure Document for a more comprehensive risk disclosure. www.alephstrategies.com

   

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:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
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=1%)
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
-1.64 1 2 9/1/2018 10/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
72.07 33 1/1/2016 9/1/2018
15.11 10 11/1/2018 8/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.64 1 10/1/2018 10/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable97.73100.00100.00100.00100.00100.00
Average Period Return1.534.809.9821.8734.7948.86
Average Gain1.614.809.9821.8734.7948.86
Average Loss-1.64
Best Period5.2013.3221.9334.4545.1057.92
Worst Period-1.640.324.0713.3322.0734.74
Standard Deviation1.152.643.965.917.257.32
Gain Standard Deviation1.052.643.965.917.257.32
Loss Standard Deviation
Sharpe Ratio (1%)1.271.722.393.534.596.40
Average Gain / Average Loss0.98
Profit / Loss Ratio42.15
Downside Deviation (10%)0.310.14
Downside Deviation (5%)0.26
Downside Deviation (0%)0.25
Sortino Ratio (10%)3.6225.61
Sortino Ratio (5%)5.59
Sortino Ratio (0%)6.20

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.