Aurum Options Strategies : Aurum Options Strategies Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Nov Performance 0.19% Min Investment $ 250k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 16.20% Sharpe (RFR=1%) 0.22 CAROR 3.46% Assets $ 413k Worst DD -15.43 S&P Correlation -0.04 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since4/2011 Aurum Options Strategies 0.19 - - - - - - 9.50 S&P 500 2.80 - - - - - - 172.59 +/- S&P 500 -2.61 - - - - - - -163.09 Strategy Description SummaryAurum Options Strategies offers a way to diversify your gold exposure. We employ a disciplined options spread trading program with a superior risk/return profile. The strategy endeavors to increase profit potential for a 'revaluation scenario' to the upside and mute volatility to... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 2.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough Sector Focus Financial & Metals Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 80.00% Systematic 20.00% Strategy Option-purchasing 20.00% Option-spreads 60.00% Option-writing 20.00% Composition Precious Metals 100.00% SummaryAurum Options Strategies offers a way to diversify your gold exposure. We employ a disciplined options spread trading program with a superior risk/return profile. The strategy endeavors to increase profit potential for a 'revaluation scenario' to the upside and mute volatility to the downside by closely monitoring premium outlays. Should gold experience a significant rally, those who own gold outright (physical or ETF) may profit less than those whose strategy is devoted in part to a constant positive net exposure through options. Aurum’s program often profits during sideways/down gold markets and potentially underperforms during modest rallies. In a phrase, we don't track gold. Our approach is an Absolute Return gold options strategy with Tail-Risk and Capital Preservation components. It offers leveraged exposure to gold as an ‘insurance policy’ while seeking to generate attractive uncorrelated, risk-adjusted returns. Investment StrategyOne of the core drivers of our options program is valuation in context of a theoretically sound volatility surface. We pay close attention to the activities of major players and ascribe appropriate value to significant transactions. While the options market is quite efficient, retail order flow and the activity of price insensitive entities can bring areas of the volatility surface out of line. We initiate option spreads that take advantage of temporary inefficiencies in the market. As time passes, a reversion to a more sound volatility surface should turn theoretical profit into realized profit. In conjunction with spreads that generate theoretical profit, we are a natural buyer of wing options that carry attractive risk/return. Our mandate is to always be net long options. Over the long term, we are successful in our strategy if we can consistently own wing options and still generate a positive absolute return. We do not sell naked options. There is no unbound risk. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -15.43 25 - 8/1/2011 9/1/2013 -6.32 1 1 1/1/0001 4/1/2011 -1.05 1 1 5/1/2011 6/1/2011 Show More Consecutive Gains Run-up Length (Mos.) Start End 17.82 2 7/1/2011 8/1/2011 14.95 1 5/1/2011 5/1/2011 8.74 2 1/1/2013 2/1/2013 3.64 1 6/1/2012 6/1/2012 3.14 2 10/1/2013 11/1/2013 2.94 2 8/1/2012 9/1/2012 2.00 1 2/1/2012 2/1/2012 0.83 1 10/1/2011 10/1/2011 0.33 1 11/1/2012 11/1/2012 0.20 1 5/1/2013 5/1/2013 0.02 1 7/1/2013 7/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.50 2 8/1/2013 9/1/2013 -6.32 1 4/1/2011 4/1/2011 -6.12 1 10/1/2012 10/1/2012 -5.31 3 3/1/2012 5/1/2012 -4.75 3 11/1/2011 1/1/2012 -2.87 1 12/1/2012 12/1/2012 -1.88 1 9/1/2011 9/1/2011 -1.45 1 7/1/2012 7/1/2012 -1.05 1 6/1/2011 6/1/2011 -0.63 2 3/1/2013 4/1/2013 -0.34 1 6/1/2013 6/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods32.0030.0027.0021.0015.00 Percent Profitable46.8843.3337.0442.8640.00 Average Period Return0.391.011.540.630.33 Average Gain3.607.1811.458.488.73 Average Loss-2.45-3.70-4.29-5.25-5.28 Best Period14.9517.2032.5826.3220.40 Worst Period-6.32-10.48-11.07-11.63-11.65 Standard Deviation4.687.249.949.429.25 Gain Standard Deviation4.746.459.699.179.07 Loss Standard Deviation2.123.073.203.453.15 Sharpe Ratio (1%)0.060.110.10-0.04-0.13 Average Gain / Average Loss1.471.942.671.621.65 Profit / Loss Ratio1.301.481.571.211.10 Downside Deviation (10%)2.574.345.918.3110.55 Downside Deviation (5%)2.383.724.535.355.75 Downside Deviation (0%)2.333.574.204.694.69 Sortino Ratio (10%)-0.01-0.05-0.16-0.53-0.69 Sortino Ratio (5%)0.130.210.23-0.07-0.21 Sortino Ratio (0%)0.170.280.370.140.07 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. x {{title}} x {{title}} Add Cancel