Aurum Options Strategies : Aurum Options Strategies

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
4/2011
Aurum Options Strategies 0.19 - - - - - - 9.50
S&P 500 2.80 - - - - - - 154.03
+/- S&P 500 -2.61 - - - - - - -144.53

Strategy Description

Summary

Aurum 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%
Strategy Pie Chart

Composition

Precious Metals
100.00%
Composition Pie Chart

Summary

Aurum 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 Strategy

One 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.

   

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
-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
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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
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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
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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.