Archsight Capital Partners LLC : Abacus Trading Program

Year-to-Date
1.18%
Sep Performance
-3.20%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
5.36%
Sharpe (RFR=1%)
-0.28
CAROR
-
Assets
$ 1.1M
Worst DD
-4.94
S&P Correlation
0.00

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
8/2018
Abacus Trading Program -3.20 -2.75 -1.18 -3.46 - - - -0.76
S&P 500 1.72 1.19 18.74 2.15 - - - 2.58
+/- S&P 500 -4.92 -3.94 -19.91 -5.60 - - - -3.35

Strategy Description

Investment Strategy

Trading Strategy Abacus trades short- to medium-term options using a proprietary, systematic strategy comprised mainly of ratio spreads. Abacus uses technical and fundamental analysis for each of its traded products to develop a market forecast. Every month, the trading... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$2.00
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
20000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
-3.81%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
40.00%
1-30 Days
60.00%
Intraday
0%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Option-spreads
90.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Energy
25.00%
Precious Metals
20.00%
Interest Rates
20.00%
Stock Indices
20.00%
Grains
15.00%
Composition Pie Chart

Investment Strategy

Trading Strategy Abacus trades short- to medium-term options using a proprietary, systematic strategy comprised mainly of ratio spreads. Abacus uses technical and fundamental analysis for each of its traded products to develop a market forecast. Every month, the trading program establishes an initial combination of futures options positions using the developed market forecast, along with a quantitative analysis of market option prices. Abacus makes constant refinements to these initial positions based on the price movements (or lack thereof) of each product until the liquidation or expiration of the positions (see risk management for more details).

The trading program primarily focuses on trading options on S&P 500 Futures, Crude Oil Futures, Gold Futures, 30-Year U.S. Treasury Bond Futures, and Soybean Futures. ArchSight Capital, at its sole discretion, may add or delete futures products from participating customers' portfolios.

Risk Management

The bread and butter of the Abacus Trading Program is its risk management. While many options strategies have defined entry and exit parameters, such binary techniques would fail to account for the changing the risk/reward profile of a ratio spread position over the course of its “life”. Abacus continuously evaluates the risk/reward level of its positions and uses proprietary risk management procedures to make constant refinements and ensure that the desired risk and reward of those positions are well balanced at all times until liquidation or expiration. The goal of this risk management strategy is to produce consistent range of positive monthly returns that are largely uncorrelated with the stock, bond, and commodity markets.

   

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
-4.94 11 - 10/1/2018 9/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
4.39 3 8/1/2018 10/1/2018
2.22 2 1/1/2019 2/1/2019
0.68 1 8/1/2019 8/1/2019
0.62 2 4/1/2019 5/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.81 2 11/1/2018 12/1/2018
-3.20 1 9/1/2019 9/1/2019
-1.23 2 6/1/2019 7/1/2019
-0.19 1 3/1/2019 3/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable57.1450.0044.44
Average Period Return-0.04-0.020.10
Average Gain0.981.381.74
Average Loss-1.41-1.43-1.20
Best Period2.094.392.52
Worst Period-3.20-2.75-3.14
Standard Deviation1.551.951.81
Gain Standard Deviation0.731.630.53
Loss Standard Deviation1.250.991.25
Sharpe Ratio (1%)-0.08-0.14-0.22
Average Gain / Average Loss0.700.971.45
Profit / Loss Ratio0.930.971.16
Downside Deviation (10%)1.412.042.92
Downside Deviation (5%)1.231.351.52
Downside Deviation (0%)1.191.191.22
Sortino Ratio (10%)-0.32-0.61-0.81
Sortino Ratio (5%)-0.10-0.20-0.26
Sortino Ratio (0%)-0.04-0.020.09

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.