Aspen Private Capital : Investment Program

archived programs
Year-to-Date
N / A
Mar Performance
-7.54%
Min Investment
$ 200k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
13.61%
Sharpe (RFR=1%)
0.93
CAROR
13.26%
Assets
$ 7.9M
Worst DD
-30.44
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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2003
Investment Program -7.54 - - - - - - 146.69
S&P 500 5.88 - - - - - - 304.83
+/- S&P 500 -13.42 - - - - - - -158.14

Strategy Description

Summary

-The Fund seeks to generate consistent, above-average monthly returns as a net seller of out-of-the-money options on broad based stock indices. Positions are usually established as credit spreads and/or strangles in near term options which the Fund typically holds until or just before... Read More

Account & Fees

Type Fund
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors

Subscriptions

High Water Mark Yes
Subscription Frequency Monthly
Redemption Frequency Monthly
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 12 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 15.00%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Summary

-The Fund seeks to generate consistent, above-average monthly returns as a net seller of out-of-the-money options on broad based stock indices. Positions are usually established as credit spreads and/or strangles in near term options which the Fund typically holds until or just before expiration. Positions are closely monitored as to the probability of expiring in-the-money and are subject to early closure should that probability exceed pre-determined levels. The emphasis of the strategy is on risk management to preserve capital and obtain consistent, above-average returns rather than seeking to maximize 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
-30.44 4 14 8/1/2008 12/1/2008
-7.54 1 - 2/1/2010 3/1/2010
-2.84 1 1 6/1/2007 7/1/2007
-2.66 1 3 1/1/2007 2/1/2007
-2.40 1 2 6/1/2006 7/1/2006
-1.31 1 2 11/1/2003 12/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
31.10 13 8/1/2007 8/1/2008
30.09 7 8/1/2009 2/1/2010
27.83 15 1/1/2004 3/1/2005
23.39 11 1/1/2003 11/1/2003
21.95 14 5/1/2005 6/1/2006
16.62 6 1/1/2009 6/1/2009
9.56 6 8/1/2006 1/1/2007
5.82 4 3/1/2007 6/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.44 4 9/1/2008 12/1/2008
-7.54 1 3/1/2010 3/1/2010
-5.08 1 7/1/2009 7/1/2009
-2.84 1 7/1/2007 7/1/2007
-2.66 1 2/1/2007 2/1/2007
-2.40 1 7/1/2006 7/1/2006
-1.31 1 12/1/2003 12/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods87.0085.0082.0076.0070.0064.0052.0040.0028.00
Percent Profitable87.3690.5992.6884.2175.7185.94100.00100.00100.00
Average Period Return1.133.616.8612.7518.0026.1142.9160.7178.91
Average Gain1.995.239.4718.3726.3231.0142.9160.7178.91
Average Loss-5.24-11.94-26.28-17.26-7.94-3.88
Best Period6.6718.5129.9840.1835.6051.9374.17101.58128.69
Worst Period-30.09-30.29-28.54-22.93-14.03-7.036.3723.0345.35
Standard Deviation3.937.2310.3614.2415.9517.8023.4429.1433.54
Gain Standard Deviation1.313.404.566.036.6013.9423.4429.1433.54
Loss Standard Deviation9.0414.012.112.943.452.37
Sharpe Ratio (1%)0.270.470.610.821.031.351.701.942.20
Average Gain / Average Loss0.380.440.361.063.327.99
Profit / Loss Ratio2.884.214.575.6810.3448.80
Downside Deviation (10%)3.485.707.808.917.886.003.29
Downside Deviation (5%)3.425.497.267.344.942.37
Downside Deviation (0%)3.415.447.136.954.241.68
Sortino Ratio (10%)0.210.420.560.871.322.648.25
Sortino Ratio (5%)0.310.610.881.603.3410.16
Sortino Ratio (0%)0.330.660.961.834.2415.54

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.