Archsight Capital Partners LLC : Prometheus Trading Program

Year-to-Date
14.57%
Sep Performance
-14.98%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
9.41%
Sharpe (RFR=1%)
0.63
CAROR
6.65%
Assets
$ 4.6M
Worst DD
-16.39
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
10/2015
Prometheus Trading Program -14.98 -16.39 -14.57 -14.96 18.37 - - 29.37
S&P 500 1.72 1.19 18.74 2.15 35.89 - - 41.70
+/- S&P 500 -16.70 -17.58 -33.31 -17.10 -17.52 - - -12.33

Strategy Description

Investment Strategy

Prometheus trades short- to medium-term options using a proprietary, systematic strategy comprised mainly of ratio spreads. Prometheus uses technical and fundamental analysis for each of its traded products to develop a market forecast. Every month, the trading program... 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
24000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-6.00%
Worst Peak-to-Trough
-2.73%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
50.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Option-spreads
80.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

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

Investment Strategy

Prometheus trades short- to medium-term options using a proprietary, systematic strategy comprised mainly of ratio spreads. Prometheus 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. Prometheus 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.

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 Prometheus 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. Prometheus 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
-16.39 3 - 6/1/2019 9/1/2019
-2.73 1 3 10/1/2016 11/1/2016
-1.30 2 3 10/1/2018 12/1/2018
-1.10 2 4 11/1/2015 1/1/2016
-0.51 1 2 3/1/2017 4/1/2017
-0.46 1 1 10/1/2017 11/1/2017
-0.15 1 1 3/1/2019 4/1/2019
-0.15 1 1 7/1/2017 8/1/2017
-0.03 1 1 5/1/2016 6/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
23.84 11 12/1/2017 10/1/2018
5.60 3 5/1/2017 7/1/2017
5.26 2 9/1/2017 10/1/2017
5.22 4 7/1/2016 10/1/2016
4.29 2 2/1/2017 3/1/2017
4.10 2 10/1/2015 11/1/2015
1.78 2 4/1/2016 5/1/2016
1.57 3 1/1/2019 3/1/2019
1.56 1 12/1/2016 12/1/2016
0.75 2 5/1/2019 6/1/2019
0.10 1 2/1/2016 2/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.39 3 7/1/2019 9/1/2019
-2.73 1 11/1/2016 11/1/2016
-1.30 2 11/1/2018 12/1/2018
-1.10 2 12/1/2015 1/1/2016
-0.79 1 1/1/2017 1/1/2017
-0.51 1 4/1/2017 4/1/2017
-0.46 1 11/1/2017 11/1/2017
-0.15 1 4/1/2019 4/1/2019
-0.15 1 8/1/2017 8/1/2017
-0.06 1 3/1/2016 3/1/2016
-0.03 1 6/1/2016 6/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods48.0046.0043.0037.0031.0025.0013.00
Percent Profitable68.7580.4395.3597.3096.77100.00100.00
Average Period Return0.582.425.5713.3722.9032.8445.53
Average Gain1.563.636.2314.1623.9132.8445.53
Average Loss-1.60-2.56-8.00-14.96-7.18
Best Period4.189.9815.3027.5436.8141.6853.02
Worst Period-14.98-16.39-15.89-14.96-7.185.3018.37
Standard Deviation2.723.995.659.1110.188.628.63
Gain Standard Deviation1.202.484.557.868.658.628.63
Loss Standard Deviation3.765.2211.16
Sharpe Ratio (1%)0.180.540.901.362.103.574.92
Average Gain / Average Loss0.981.420.780.953.33
Profit / Loss Ratio2.165.8415.9834.0899.87
Downside Deviation (10%)2.322.762.893.342.650.99
Downside Deviation (5%)2.242.512.502.621.56
Downside Deviation (0%)2.222.452.422.461.29
Sortino Ratio (10%)0.070.431.072.505.7722.82
Sortino Ratio (5%)0.220.872.034.7213.72
Sortino Ratio (0%)0.260.992.305.4417.76

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 5 0.98 3/2019
Option Strategy Index Month 9 0.26 2/2019
Option Strategy Index Month 9 0.26 2/2019
Option Strategy Index Month 9 0.26 2/2019

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