Arcanum Asset Management : Equity Index Option Program (Prop)

archived programs
Year-to-Date
N / A
Nov Performance
2.38%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
25.51%
Sharpe (RFR=1%)
0.87
CAROR
20.79%
Assets
$ 3.5M
Worst DD
-50.08
S&P Correlation
0.22

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
7/2006
Equity Index Option Program (Prop) 2.38 -18.06 - -19.43 55.70 140.17 - 390.15
S&P 500 2.45 3.20 - 14.49 65.80 88.68 - 61.92
+/- S&P 500 -0.07 -21.26 - -33.92 -10.11 51.49 - 328.23

Strategy Description

Summary

Paul Gleeson was an early pioneer in recognizing volatility as an ‘asset class’ capable of delivering above average risk-adjusted returns In 1997 he formed Arcanum Investment Management to articulate his option trading strategy which was designed to monetize the volatility in Equity... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
1.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$2.50
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
80%
Targeted Worst DD
Worst Peak-to-Trough
52.67%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Paul Gleeson was an early pioneer in recognizing volatility as an ‘asset class’ capable of delivering above average risk-adjusted returns In 1997 he formed Arcanum Investment Management to articulate his option trading strategy which was designed to monetize the volatility in Equity indices The strategy has been developed over time to ensure that trades are optimized to match prevailing market conditions Investors can access the strategy via the Equity Index Option Programme The Programme has generated a compound annual return of more than 25% since inception in October 1997(1); the strategy has generated audited annualized returns of more than 27% since June 2006

Investment Strategy

The Equity Index Option Programme is a systematic options strategy with discretionary inputs designed to monetize the volatility of developed equity indices It employs a systematic approach with discretionary inputs, developed over 16 years, based on statistical analysis of historical movements of the FTSE 100 and Euro Stoxx 50 indices. The portfolio will buy and sell baskets of short-dated listed equity index options with the aim of capturing premium from time decay. It operates a transparent investment process with strict trading rules and risk parameters including defined loss limits. The programme is only active when valuations are within defined ranges and is limited to trading in the 11 days prior to monthly options expiry (when the rate of decay is fastest and the range of outcomes is more narrowly defined). The strategy may reverse its positioning to take a long volatility stance in certain market conditions.

Risk Management

There are strict risk management rules in place: Exposure to market does not exceed 11 working days per month, risk reward ratio has or be positive or trade will not take place, maximum exposure set when trade placed, if indicators signal buy then exposure maximum 1%.

   

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
-50.08 2 27 8/1/2008 10/1/2008
-31.31 4 - 6/1/2014 10/1/2014
-23.17 1 7 2/1/2011 3/1/2011
-10.17 1 2 12/1/2007 1/1/2008
-0.33 1 1 7/1/2007 8/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
115.96 20 4/1/2011 11/1/2012
53.59 13 7/1/2006 7/1/2007
53.09 7 2/1/2008 8/1/2008
30.88 5 4/1/2009 8/1/2009
28.85 5 10/1/2009 2/1/2010
27.77 4 9/1/2007 12/1/2007
21.55 4 11/1/2008 2/1/2009
17.96 5 6/1/2013 10/1/2013
15.19 2 5/1/2010 6/1/2010
14.57 5 12/1/2013 4/1/2014
13.93 3 8/1/2010 10/1/2010
11.41 3 12/1/2010 2/1/2011
8.12 3 2/1/2013 4/1/2013
4.97 2 8/1/2014 9/1/2014
2.38 1 11/1/2014 11/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-50.08 2 9/1/2008 10/1/2008
-23.17 1 3/1/2011 3/1/2011
-21.63 1 10/1/2014 10/1/2014
-16.50 3 5/1/2014 7/1/2014
-14.83 1 7/1/2010 7/1/2010
-12.75 1 9/1/2009 9/1/2009
-10.17 1 1/1/2008 1/1/2008
-2.00 2 3/1/2010 4/1/2010
-1.00 1 3/1/2009 3/1/2009
-0.92 1 11/1/2010 11/1/2010
-0.33 1 8/1/2007 8/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods101.0099.0096.0090.0084.0078.0066.0054.0042.00
Percent Profitable81.1982.8381.2580.0082.1496.1596.97100.00100.00
Average Period Return1.936.0612.9827.9743.1457.6597.17135.86193.55
Average Gain4.2710.9220.8839.2253.7860.27100.35135.86193.55
Average Loss-12.00-17.35-21.29-17.07-5.80-7.78-4.80
Best Period9.6725.3645.3575.71112.33150.27208.40245.07353.02
Worst Period-47.17-47.91-39.32-27.41-12.44-11.05-6.6361.32116.63
Standard Deviation7.3613.1919.5228.1635.4940.9450.0657.5267.00
Gain Standard Deviation1.855.259.5018.4429.8439.5347.3857.5267.00
Loss Standard Deviation13.3914.9413.836.874.085.192.59
Sharpe Ratio (1%)0.250.440.640.961.171.361.882.292.81
Average Gain / Average Loss0.360.630.982.309.277.7520.89
Profit / Loss Ratio2.253.044.259.1942.63193.67668.37
Downside Deviation (10%)6.419.7611.8210.325.993.814.53
Downside Deviation (5%)6.339.4511.088.623.512.091.40
Downside Deviation (0%)6.319.3710.908.202.971.740.89
Sortino Ratio (10%)0.240.500.892.225.9412.4317.97
Sortino Ratio (5%)0.290.621.133.1311.8626.6067.22
Sortino Ratio (0%)0.310.651.193.4114.5533.19108.58

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 7 2.13 9/2014
Option Strategy Index Month 4 2.48 4/2014
Stock Index Trader Index Month 5 2.48 4/2014
Option Strategy Index Month 8 3.08 3/2014
Stock Index Trader Index Month 10 3.08 2/2014
Option Strategy Index Month 4 3.08 2/2014
Option Strategy Index Month 6 2.88 1/2014
Stock Index Trader Index Month 8 2.88 1/2014
IASG CTA Index Year Rolling 9 30.44 2012 - 2013
IASG CTA Index 5 Year Rolling 5 322.93 2008 - 2013
IASG CTA Index 3 Year Rolling 4 133.35 2010 - 2013
Stock Index Trader Index Month 5 3.40 9/2013
Option Strategy Index Month 7 3.40 9/2013
Stock Index Trader Index Month 6 3.27 8/2013
Option Strategy Index Month 4 3.27 8/2013
Option Strategy Index Month 1 4.93 7/2013
Stock Index Trader Index Month 3 4.93 7/2013
Stock Index Trader Index Month 6 4.27 6/2013
Option Strategy Index Month 7 4.27 6/2013
Option Strategy Index Month 9 0.00 5/2013
Stock Index Trader Index Month 5 4.60 4/2013
Option Strategy Index Month 1 4.60 4/2013
Option Strategy Index Month 10 0.75 3/2013
Stock Index Trader Index Month 9 2.60 2/2013
Option Strategy Index Month 4 2.60 2/2013
IASG CTA Index 3 Year Rolling 7 123.27 2009 - 2012
Stock Index Trader Index Month 6 2.93 11/2012
Option Strategy Index Month 7 2.93 11/2012
Option Strategy Index Month 8 2.93 10/2012
Stock Index Trader Index Month 9 2.93 10/2012
Option Strategy Index Month 6 2.95 9/2012
Stock Index Trader Index Month 3 2.95 9/2012
Stock Index Trader Index Month 9 3.27 8/2012
Stock Index Trader Index Month 7 3.00 7/2012
Option Strategy Index Month 4 3.00 7/2012
Option Strategy Index Month 5 3.00 6/2012
Stock Index Trader Index Month 10 2.24 5/2012
Option Strategy Index Month 7 2.24 5/2012
Option Strategy Index Month 7 3.99 4/2012
Stock Index Trader Index Month 8 3.99 4/2012
Stock Index Trader Index Month 9 3.00 3/2012
Option Strategy Index Month 6 3.00 3/2012
Option Strategy Index Month 5 5.06 1/2012
Stock Index Trader Index Month 4 5.06 1/2012
Stock Index Trader Index Month 3 7.00 12/2011
Systematic Trader Index Month 6 7.00 12/2011
Option Strategy Index Month 4 7.00 12/2011
IASG CTA Index 5 Year Rolling 10 183.01 2006 - 2011
Option Strategy Index Month 7 5.67 11/2011
Stock Index Trader Index Month 5 5.67 11/2011
IASG CTA Index Month 5 9.67 10/2011
Option Strategy Index Month 2 9.67 10/2011
Stock Index Trader Index Month 1 9.67 10/2011
Systematic Trader Index Month 2 9.67 10/2011
Option Strategy Index Month 3 8.17 9/2011
Stock Index Trader Index Month 4 8.17 9/2011
Option Strategy Index Month 6 1.36 8/2011
Stock Index Trader Index Month 8 1.36 8/2011
Option Strategy Index Month 4 2.67 7/2011
Stock Index Trader Index Month 3 2.67 7/2011
Stock Index Trader Index Month 2 3.67 6/2011
Option Strategy Index Month 4 3.67 6/2011
Systematic Trader Index Month 9 3.67 6/2011
Option Strategy Index Month 9 3.00 5/2011
Stock Index Trader Index Month 5 2.33 4/2011
Option Strategy Index Month 6 2.33 4/2011
Option Strategy Index Month 3 4.00 2/2011
Stock Index Trader Index Month 3 4.00 2/2011
Stock Index Trader Index Month 6 3.67 1/2011
Option Strategy Index Month 5 3.67 1/2011
Option Strategy Index Month 5 3.33 12/2010
Stock Index Trader Index Month 8 3.33 12/2010
Stock Index Trader Index Month 6 4.33 10/2010
Option Strategy Index Month 3 4.33 10/2010
Option Strategy Index Month 4 4.33 9/2010
Stock Index Trader Index Month 2 4.33 9/2010
Option Strategy Index Month 3 4.67 8/2010
Stock Index Trader Index Month 5 4.67 8/2010
Stock Index Trader Index Month 3 6.33 6/2010
Option Strategy Index Month 6 6.33 6/2010
Stock Index Trader Index Month 1 8.33 5/2010
Option Strategy Index Month 1 8.33 5/2010
Stock Index Trader Index Month 3 6.33 2/2010
Option Strategy Index Month 5 6.33 2/2010
Option Strategy Index Month 4 4.67 1/2010
Stock Index Trader Index Month 2 4.67 1/2010
Systematic Trader Index Month 10 4.67 1/2010
Systematic Trader Index Month 6 4.67 12/2009
Option Strategy Index Month 6 4.67 12/2009
Stock Index Trader Index Month 5 4.67 12/2009
Stock Index Trader Index Month 9 4.67 11/2009
IASG CTA Index Month 10 5.67 10/2009
Stock Index Trader Index Month 2 5.67 10/2009
Option Strategy Index Month 4 5.67 10/2009
Systematic Trader Index Month 4 5.67 10/2009
Stock Index Trader Index Month 7 5.00 8/2009
Option Strategy Index Month 8 5.00 8/2009
Option Strategy Index Month 3 5.33 7/2009
Stock Index Trader Index Month 3 5.33 7/2009
Stock Index Trader Index Month 2 4.67 6/2009

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