Ansbacher Investment Management : Market Neutral Put Skew Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.71% Mar Performance -0.94% Min Investment $ 150k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 19.20% Sharpe (RFR=1%) 0.47 CAROR 8.44% Assets $ 13.0M Worst DD -41.88 S&P Correlation 0.32 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since1/1996 Market Neutral Put Skew Program -0.94 -1.71 -1.71 -5.69 1.67 19.48 70.62 673.52 S&P 500 4.24 9.21 9.21 58.70 55.31 97.12 206.17 538.30 +/- S&P 500 -5.18 -10.92 -10.92 -64.40 -53.64 -77.63 -135.55 135.22 Strategy Description SummaryMax G. Ansbacher, President, founded the firm in 1995 after 20 years with Bear Stearns, where he managed option accounts on a discretionary basis. He is frequently quoted in the media, including The Wall Street Journal, and has been a frequent guest commentator on the Bloomberg Television... Read More Account & Fees Type Fund Minimum Investment $ 150k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 2900 RT/YR/$M Avg. Margin-to-Equity 20% 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 60.00% Systematic 40.00% Strategy Option-writing 100.00% Composition Stock Indices 100.00% SummaryMax G. Ansbacher, President, founded the firm in 1995 after 20 years with Bear Stearns, where he managed option accounts on a discretionary basis. He is frequently quoted in the media, including The Wall Street Journal, and has been a frequent guest commentator on the Bloomberg Television Network, as well as the Fox News Channel and CNBC. He is the author of three books on investing, including The New Options Market, Fourth Edition, which was the first book ever published on exchange traded options and has become one of the all-time best-selling books on the subject. He was featured in Forbes Magazine, October 18, 2004. Mr. Ansbacher is a graduate of the University of Vermont and Yale Law School.Investment StrategyAnsbacher Investment Management (AIM), the general partner of Elizaville Partners LP, engages in a program of selling (or writing) out-of-the-money (OTM) put options on S&P 500 futures and Delta hedging the puts with short S&P futures contracts. Additionally, the strategy sells OTM options (both puts and calls) on U.S. 10-year and 30-year bond futures. U.S. equity index options have been consistently overpriced relative to the realized behavior of the underlying index. That is to say, Implied Volatility (a major determinant of option pricing) has exceeded the Realized Volatility of the underlying investment. This is due, in part, to the widespread and ingrained practice of purchasing out-of-the-money (OTM) index puts for portfolio insurance. As with most forms of insurance, OTM index put buyers want to have their policy expire without being exercised; and put writers can demand a premium for assuming risk. The huge growth in indexed investments represents a very large supply of natural put buyers, while there are a much smaller number of uncovered put sellers. AIM currently uses a unique, methodical approach, incorporating the manager’s discretion and judgment, to trading the put skew in the S&P 500 options. This methodology, first instituted in January 2003, is market-neutral in terms of portfolio delta and gamma risk. The implementation of this program, i.e., selecting how many puts to sell and at which prices and maturities, as well as how many short futures to use as a hedge, relies upon a robust risk management program which includes, but is not confined to: limiting the number of puts that can be written and gross position Delta, and 24-hour stop-loss orders in place through the S&P futures. In addition, trading is reduced or halted if the fund loses more than a certain percentage of its value. The manager of the fund utilizes a wide variety of quantitative, fundamental, and technical information to make his trading decisions. The discipline of this approach is evident in the quality of the option strategy’s returns. 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=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 -41.88 10 57 12/1/2007 10/1/2008 -31.93 1 4 6/1/1996 7/1/1996 -28.07 7 21 7/1/2015 2/1/2016 -25.95 4 5 12/1/1999 4/1/2000 -22.79 6 13 5/1/2002 11/1/2002 -21.42 11 4 1/1/2018 12/1/2018 -20.16 2 5 2/1/2001 4/1/2001 -16.76 4 4 6/1/1998 10/1/1998 -15.26 15 - 12/1/2019 3/1/2021 -11.40 2 2 2/1/1996 4/1/1996 -10.81 1 1 11/1/1996 12/1/1996 -9.67 4 2 6/1/1999 10/1/1999 -8.81 3 2 9/1/2000 12/1/2000 -6.35 3 1 7/1/1997 10/1/1997 -6.23 1 4 4/1/2019 5/1/2019 -3.83 1 4 9/1/2014 10/1/2014 -2.46 1 1 4/1/1998 5/1/1998 -2.28 2 3 1/1/2007 3/1/2007 -2.19 1 2 3/1/1999 4/1/1999 -2.00 1 1 6/1/2014 7/1/2014 -1.33 1 1 9/1/2005 10/1/2005 -1.06 1 1 5/1/2015 6/1/2015 -0.79 1 1 6/1/2007 7/1/2007 -0.68 1 1 6/1/2005 7/1/2005 -0.59 2 2 4/1/2006 6/1/2006 -0.58 1 1 10/1/2007 11/1/2007 -0.25 1 1 9/1/2004 10/1/2004 -0.20 1 1 9/1/2019 10/1/2019 Show More Consecutive Gains Run-up Length (Mos.) Start End 56.03 22 12/1/2002 9/1/2004 55.36 4 8/1/1996 11/1/1996 51.46 7 1/1/1997 7/1/1997 46.26 6 11/1/1997 4/1/1998 41.60 5 5/1/2000 9/1/2000 33.10 7 12/1/2011 6/1/2012 30.28 5 11/1/1998 3/1/1999 29.68 12 7/1/2013 6/1/2014 28.79 4 1/1/2019 4/1/2019 23.94 8 12/1/2016 7/1/2017 22.13 6 12/1/2001 5/1/2002 21.19 5 1/1/2015 5/1/2015 20.42 3 8/1/2001 10/1/2001 16.69 2 5/1/1996 6/1/1996 16.13 3 8/1/2012 10/1/2012 14.57 3 3/1/2016 5/1/2016 14.17 2 11/1/1999 12/1/1999 13.97 5 11/1/2009 3/1/2010 13.77 6 4/1/2018 9/1/2018 13.21 6 12/1/2010 5/1/2011 12.62 6 4/1/2009 9/1/2009 12.30 2 1/1/2001 2/1/2001 11.05 4 11/1/2008 2/1/2009 10.81 5 9/1/2017 1/1/2018 10.78 3 9/1/2015 11/1/2015 9.91 5 6/1/2010 10/1/2010 9.80 2 7/1/2016 8/1/2016 9.36 2 5/1/1999 6/1/1999 9.18 2 5/1/2001 6/1/2001 8.04 8 11/1/2004 6/1/2005 7.45 1 10/1/2011 10/1/2011 7.14 2 8/1/2002 9/1/2002 7.07 7 7/1/2006 1/1/2007 6.79 6 11/1/2005 4/1/2006 6.36 2 6/1/2019 7/1/2019 5.98 1 6/1/1998 6/1/1998 5.37 2 8/1/2014 9/1/2014 4.47 2 8/1/2005 9/1/2005 4.21 1 9/1/1999 9/1/1999 3.98 2 7/1/2020 8/1/2020 3.89 1 11/1/2014 11/1/2014 3.59 1 7/1/2015 7/1/2015 3.56 2 12/1/2012 1/1/2013 3.15 3 4/1/2007 6/1/2007 2.92 2 11/1/2019 12/1/2019 2.59 3 8/1/2007 10/1/2007 2.13 1 11/1/2000 11/1/2000 1.91 2 4/1/2008 5/1/2008 1.90 1 9/1/1997 9/1/1997 1.75 1 2/1/2000 2/1/2000 1.55 1 9/1/2019 9/1/2019 1.43 2 7/1/2008 8/1/2008 1.14 3 3/1/2013 5/1/2013 0.72 1 12/1/2007 12/1/2007 Show More Consecutive Losses Run-up Length (Mos.) Start End -36.49 2 9/1/2008 10/1/2008 -31.93 1 7/1/1996 7/1/1996 -29.15 4 6/1/2011 9/1/2011 -25.58 3 12/1/2015 2/1/2016 -23.43 2 3/1/2000 4/1/2000 -20.64 3 10/1/2018 12/1/2018 -20.16 2 3/1/2001 4/1/2001 -17.21 2 10/1/2002 11/1/2002 -16.76 4 7/1/1998 10/1/1998 -14.17 3 9/1/2016 11/1/2016 -13.14 6 1/1/2020 6/1/2020 -12.97 2 2/1/2018 3/1/2018 -12.96 2 6/1/2002 7/1/2002 -12.75 1 8/1/2015 8/1/2015 -11.40 4 1/1/1996 4/1/1996 -10.90 3 1/1/2008 3/1/2008 -10.81 1 12/1/1996 12/1/1996 -7.77 2 4/1/2010 5/1/2010 -7.01 1 10/1/1999 10/1/1999 -6.96 1 11/1/2011 11/1/2011 -6.82 1 10/1/2000 10/1/2000 -6.79 2 7/1/1999 8/1/1999 -6.23 1 5/1/2019 5/1/2019 -6.17 7 9/1/2020 3/1/2021 -6.01 1 10/1/1997 10/1/1997 -4.95 1 1/1/2000 1/1/2000 -4.49 1 3/1/2009 3/1/2009 -4.18 1 12/1/2000 12/1/2000 -3.83 1 10/1/2014 10/1/2014 -3.27 1 12/1/2014 12/1/2014 -3.12 1 7/1/2012 7/1/2012 -2.46 1 5/1/1998 5/1/1998 -2.30 1 6/1/2016 6/1/2016 -2.28 2 2/1/2007 3/1/2007 -2.22 1 8/1/1997 8/1/1997 -2.19 1 4/1/1999 4/1/1999 -2.00 1 7/1/2014 7/1/2014 -1.33 1 10/1/2005 10/1/2005 -1.06 1 6/1/2015 6/1/2015 -1.00 1 7/1/2001 7/1/2001 -0.82 1 8/1/2019 8/1/2019 -0.79 1 7/1/2007 7/1/2007 -0.77 1 11/1/2012 11/1/2012 -0.68 1 7/1/2005 7/1/2005 -0.65 1 2/1/2013 2/1/2013 -0.64 1 6/1/2008 6/1/2008 -0.59 2 5/1/2006 6/1/2006 -0.58 1 11/1/2007 11/1/2007 -0.37 1 10/1/2009 10/1/2009 -0.36 1 11/1/2010 11/1/2010 -0.25 1 10/1/2004 10/1/2004 -0.20 1 10/1/2019 10/1/2019 -0.10 1 8/1/2017 8/1/2017 -0.01 1 6/1/2013 6/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods303.003.006.0012.0018.0024.0036.0048.0060.00 Percent Profitable69.310.000.008.3311.1137.5094.4497.9296.67 Average Period Return0.84-1.08-1.94-3.07-7.62-1.407.7017.9921.77 Average Gain3.300.512.035.008.4618.3822.56 Average Loss-4.86-1.08-1.94-3.40-8.83-5.24-5.19-0.46-1.11 Best Period17.21-0.76-1.120.512.727.9219.9732.2840.99 Worst Period-31.93-1.71-3.23-5.69-12.95-8.54-9.72-0.46-1.58 Standard Deviation5.540.540.821.795.005.416.647.3310.89 Gain Standard Deviation3.100.971.395.906.8810.18 Loss Standard Deviation5.890.540.821.463.792.226.410.68 Sharpe Ratio (1%)0.14-2.45-2.98-2.27-1.82-0.630.701.901.53 Average Gain / Average Loss0.680.150.230.951.6340.3720.39 Profit / Loss Ratio1.580.010.030.5727.741897.26591.29 Downside Deviation (10%)4.292.354.488.2515.9712.8010.347.3511.58 Downside Deviation (5%)4.171.412.554.4210.345.972.330.651.31 Downside Deviation (0%)4.151.172.083.529.014.471.620.070.22 Sortino Ratio (10%)0.10-0.98-0.99-0.98-0.95-0.91-0.78-0.48-0.51 Sortino Ratio (5%)0.18-0.95-0.96-0.92-0.88-0.572.0021.3712.68 Sortino Ratio (0%)0.20-0.93-0.93-0.87-0.85-0.314.75273.7098.96 Top Performer Badges Index Award Type Rank Performance Period Option Strategy Index Month 4 3.59 7/2015 Stock Index Trader Index Month 8 3.59 7/2015 Stock Index Trader Index Month 5 3.55 5/2015 Option Strategy Index Month 3 3.55 5/2015 Discretionary Trader Index Month 8 3.55 5/2015 Discretionary Trader Index Month 7 3.94 4/2015 Stock Index Trader Index Month 3 3.94 4/2015 Option Strategy Index Month 2 3.94 4/2015 Option Strategy Index Month 8 2.34 3/2015 Stock Index Trader Index Month 9 2.34 3/2015 Option Strategy Index Month 1 9.22 2/2015 Discretionary Trader Index Month 2 9.22 2/2015 Stock Index Trader Index Month 3 9.22 2/2015 IASG CTA Index Month 7 9.22 2/2015 IASG CTA Index 3 Year 5 89.58 2011 - 2014 Option Strategy Index Month 6 3.89 11/2014 Stock Index Trader Index Month 7 3.89 11/2014 Discretionary Trader Index Month 9 3.89 11/2014 Stock Index Trader Index Month 9 4.56 8/2014 Discretionary Trader Index Month 10 4.56 8/2014 Discretionary Trader Index Month 9 4.12 6/2014 Stock Index Trader Index Month 5 4.12 6/2014 Stock Index Trader Index Month 5 3.90 5/2014 Stock Index Trader Index Month 8 2.17 4/2014 Discretionary Trader Index Month 10 2.17 4/2014 Stock Index Trader Index Month 5 3.47 10/2013 Stock Index Trader Index Month 10 2.63 7/2013 Stock Index Trader Index Month 8 2.94 1/2013 IASG CTA Index Month 6 6.95 10/2012 Stock Index Trader Index Month 1 6.95 10/2012 Discretionary Trader Index Month 4 6.95 10/2012 Stock Index Trader Index Month 2 3.48 9/2012 Discretionary Trader Index Month 8 3.48 9/2012 Stock Index Trader Index Month 6 4.93 8/2012 Stock Index Trader Index Month 4 7.05 6/2012 Stock Index Trader Index Month 3 5.07 2/2012 Discretionary Trader Index Month 7 5.07 2/2012 Stock Index Trader Index Month 2 6.18 1/2012 Stock Index Trader Index Month 7 5.55 12/2011 Discretionary Trader Index Month 8 5.55 12/2011 Discretionary Trader Index Month 8 7.45 10/2011 Stock Index Trader Index Month 5 7.45 10/2011 Stock Index Trader Index Month 2 4.11 4/2011 Stock Index Trader Index Month 3 4.11 12/2010 Stock Index Trader Index Month 8 3.47 10/2010 Stock Index Trader Index Month 5 2.36 3/2010 Stock Index Trader Index Month 9 3.37 12/2009 Stock Index Trader Index Month 6 2.89 6/2009 Stock Index Trader Index Month 9 1.84 5/2009 Discretionary Trader Index Month 10 5.16 2/2009 Stock Index Trader Index Month 4 5.16 2/2009 Stock Index Trader Index Month 9 2.35 1/2009 Stock Index Trader Index Month 9 1.39 8/2008 Stock Index Trader Index Month 10 1.05 5/2008 Stock Index Trader Index Month 6 -4.48 1/2008 Stock Index Trader Index Month 10 0.54 10/2007 Stock Index Trader Index Month 10 -0.79 7/2007 Stock Index Trader Index Month 6 1.57 5/2007 Discretionary Trader Index Month 7 1.57 5/2007 Stock Index Trader Index Month 5 0.24 4/2007 Stock Index Trader Index Month 10 -2.11 2/2007 Stock Index Trader Index Month 7 2.31 1/2007 Stock Index Trader Index Month 9 0.66 12/2006 Stock Index Trader Index Month 10 0.39 11/2006 Stock Index Trader Index Month 6 1.14 10/2006 Stock Index Trader Index Month 9 0.72 9/2006 Discretionary Trader Index Month 10 0.72 9/2006 Stock Index Trader Index Month 8 1.59 8/2006 Discretionary Trader Index Month 8 1.59 8/2006 Stock Index Trader Index Month 7 -0.50 5/2006 Stock Index Trader Index Month 8 0.88 4/2006 Stock Index Trader Index Month 8 1.19 3/2006 Stock Index Trader Index Month 6 1.08 2/2006 Stock Index Trader Index Month 6 0.19 1/2006 Discretionary Trader Index Month 8 1.55 12/2005 Stock Index Trader Index Month 4 1.55 12/2005 Stock Index Trader Index Month 2 1.72 11/2005 Discretionary Trader Index Month 7 1.72 11/2005 Stock Index Trader Index Month 10 -1.33 10/2005 Discretionary Trader Index Month 10 2.16 9/2005 Stock Index Trader Index Month 3 2.16 9/2005 Stock Index Trader Index Month 5 2.26 8/2005 Discretionary Trader Index Month 9 2.26 8/2005 Stock Index Trader Index Month 6 -0.68 7/2005 Stock Index Trader Index Month 5 1.13 6/2005 Stock Index Trader Index Month 8 0.78 5/2005 Stock Index Trader Index Month 7 0.45 4/2005 Discretionary Trader Index Month 9 0.45 4/2005 Stock Index Trader Index Month 5 0.50 3/2005 Stock Index Trader Index Month 9 0.50 2/2005 Stock Index Trader Index Month 4 1.59 1/2005 Discretionary Trader Index Month 3 1.59 1/2005 IASG CTA Index Month 7 1.59 1/2005 Stock Index Trader Index Month 6 1.12 12/2004 Discretionary Trader Index Month 8 1.12 12/2004 Stock Index Trader Index Month 3 1.71 11/2004 Discretionary Trader Index Month 9 1.71 11/2004 Stock Index Trader Index Month 8 -0.25 10/2004 Stock Index Trader Index Month 4 2.55 9/2004 Stock Index Trader Index Month 6 1.34 8/2004 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