Ansbacher Investment Management : Market Neutral Put Skew Program

Year-to-Date
27.77%
Jun Performance
5.80%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.78%
Sharpe (RFR=1%)
0.52
CAROR
9.68%
Assets
$ 16.8M
Worst DD
-41.88
S&P Correlation
0.33

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/1996
Market Neutral Put Skew Program 5.80 3.77 27.77 11.44 29.81 29.56 150.82 777.66
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 357.75
+/- S&P 500 -1.09 -0.01 10.43 3.23 -8.92 -18.98 -65.87 419.92

Strategy Description

Summary

Max 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
Managed Account
Minimum Investment
$ 250k
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
Redemption Frequency
Investor Requirements
Any Investor
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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Max 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 Strategy

Ansbacher 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.

   

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
-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
-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 - 4/1/2019 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
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
5.98 1 6/1/1998 6/1/1998
5.80 1 6/1/2019 6/1/2019
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
3.89 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
2.59 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
1.43 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
-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
-6.01 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
-0.79 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
-0.10 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 Periods282.00280.00277.00271.00265.00259.00247.00235.00223.00
Percent Profitable72.3475.3671.1277.1277.7479.5481.7879.5777.13
Average Period Return0.952.875.8511.9518.0824.3035.0446.3259.84
Average Gain3.357.2812.6119.6827.1734.3946.7662.8580.93
Average Loss-5.55-10.63-10.81-14.11-13.70-14.93-17.55-18.10-11.30
Best Period17.2142.7762.41109.88143.44185.26230.19206.57236.31
Worst Period-31.93-36.09-35.59-41.80-39.62-38.27-32.87-35.71-32.46
Standard Deviation5.7110.1614.3420.1926.6032.3740.6845.2853.43
Gain Standard Deviation3.136.069.6615.2422.1727.8435.2434.9341.63
Loss Standard Deviation6.198.029.5810.8012.7413.0911.017.347.60
Sharpe Ratio (1%)0.150.260.370.540.620.690.790.931.02
Average Gain / Average Loss0.600.691.171.391.982.302.663.477.16
Profit / Loss Ratio1.642.092.874.706.938.9511.9613.5324.16
Downside Deviation (10%)4.427.098.7910.4911.7612.9015.0618.4119.37
Downside Deviation (5%)4.306.697.948.869.339.659.9410.548.63
Downside Deviation (0%)4.276.597.748.488.798.958.818.816.49
Sortino Ratio (10%)0.120.230.380.660.891.091.281.351.66
Sortino Ratio (5%)0.200.390.671.241.782.313.224.016.34
Sortino Ratio (0%)0.220.440.761.412.062.723.985.259.22

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 Rolling 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.