Arx Asset Management, LLC : Arx Gold Program

archived programs
Year-to-Date
N / A
Oct Performance
-3.15%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.76%
Sharpe (RFR=0.50%)
0.40
CAROR
-
Assets
$ 148k
Worst DD
-5.10
S&P Correlation
0.32

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2011
Arx Gold Program -3.15 -5.04 - 2.95 - - - 4.34
S&P 500 -1.98 2.38 - 12.67 - - - 12.99
+/- S&P 500 -1.17 -7.42 - -9.72 - - - -8.64

Strategy Description

Summary

Kenneth A. Brown brings over 18 years of experience in the securities industry to the firm. Mr. Brown began his trading career on the Philadelphia Stock Exchange with the Timber Hill Company in 1994, upon graduating from Lehigh University with a BS in Mathematics. In September 1997,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$15.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
N/A
Worst Peak-to-Trough
-2.37%
Sector Focus
Financial & Metals 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
0%
Systematic
100.00%

Strategy

Option-purchasing
33.00%
Option-spreads
34.00%
Option-writing
33.00%
Strategy Pie Chart

Composition

Precious Metals
100.00%
Composition Pie Chart

Summary

Kenneth A. Brown brings over 18 years of experience in the securities industry to the firm. Mr. Brown began his trading career on the Philadelphia Stock Exchange with the Timber Hill Company in 1994, upon graduating from Lehigh University with a BS in Mathematics. In September 1997, he formed Urbro, LP, an options market making firm and specialized in index options trading. In January 2004, Mr. Brown became a member of the New York Mercantile Exchange where he traded crude oil options as a market maker. In August 2004, Mr. Brown formed Brown Asset Management, LLC, a CTA and CPO, where he served as CEO and Chief Investment Manager, with assets totaling over 17 million dollars. As of February 2012, Mr. Brown has been a Principal and Managing Partner of Arx Asset Management, LLC. Mr. Brown brings an extensive technical trading and proven money management background to Arx. Jason J. Mather has been in the securities industry since graduating from the University of Pennsylvania with a BS in Economics in 2000, when he became a member of the Philadelphia Stock Exchange and joined Urbro, LP as the head options trader of the technology sector. In 2004, Mr. Mather became a member of the New York Mercantile Exchange, COMEX Division, trading metal futures and options. Mr. Mather has also been a member of the New York Board of Trade, Intercontinental Exchange, FINEX, and CBOE, where he gained experience in soft commodities and financials. In February 2012, Mr. Mather became a Principal and Managing Partner at Arx Asset Management, LLC. Along with a strong fundamental trading background, Mr. Mather brings an extensive mathematical and programming aspect to the firm.

Investment Strategy

Arx Gold Program (AGP) is a systematic program that trades options on Gold Futures; it is most commonly used as a hedge against premium selling programs but can stand alone as a strategy. When a signal is generated the Manager uses a combination of options to allow them to capitalize on the strategy without using a high margin-to-equity, thus limiting the potential for a large drawdown. The program is 1) a proprietary systematic trading model, 2) is non-trend following, 3) has a low margin-to-equity ratio, and 4) has non-correlated returns. * Performance prior to February 2012 is the performance of a Principal with Power of Attorney over accounts while Associated Person of an Introducing Broker.

   

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
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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
-5.10 4 - 6/1/2012 10/1/2012
-3.15 2 1 12/1/2011 2/1/2012
-1.44 1 1 10/1/2011 11/1/2011
-1.41 1 2 3/1/2012 4/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
5.48 1 12/1/2011 12/1/2011
4.21 1 3/1/2012 3/1/2012
3.35 2 5/1/2012 6/1/2012
2.84 1 10/1/2011 10/1/2011
1.79 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.04 2 9/1/2012 10/1/2012
-3.15 2 1/1/2012 2/1/2012
-1.82 1 7/1/2012 7/1/2012
-1.44 1 11/1/2011 11/1/2011
-1.41 1 4/1/2012 4/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods13.0011.008.00
Percent Profitable46.1581.8275.00
Average Period Return0.361.593.34
Average Gain2.952.534.80
Average Loss-1.85-2.68-1.03
Best Period5.486.917.90
Worst Period-3.15-3.34-1.92
Standard Deviation2.822.663.20
Gain Standard Deviation1.871.781.95
Loss Standard Deviation0.760.941.25
Sharpe Ratio (1%)0.100.500.89
Average Gain / Average Loss1.590.954.64
Profit / Loss Ratio1.374.2613.91
Downside Deviation (10%)1.741.691.81
Downside Deviation (5%)1.511.280.88
Downside Deviation (0%)1.451.180.68
Sortino Ratio (10%)-0.030.210.48
Sortino Ratio (5%)0.191.053.21
Sortino Ratio (0%)0.251.354.92

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.