Belvedere Asset Management, LLC : Belvedere Alternative Income Fund, LLC

archived programs
Year-to-Date
N / A
Apr Performance
0.26%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
1.89%
Sharpe (RFR=1%)
4.20
CAROR
9.27%
Assets
$ 3.0M
Worst DD
-0.36
S&P Correlation
-0.37

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
2/2008
Belvedere Alternative Income Fund, LLC 0.26 - - - - - 10.76 45.74
S&P 500 -0.75 - - - - - 29.78 160.34
+/- S&P 500 1.01 - - - - - -19.02 -114.60

Strategy Description

Summary

The investment objective is to generate, conservatively, Libor + 500bps per year. Over 15 years of trading S&P Index options. Our investment philosophy is that loss of opportunity is preferable to loss of capital. Our investment protocol is designed to be free from directional bias... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 25k
CTA Max Funding Factor 3.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 1-7 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough -0.36%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The investment objective is to generate, conservatively, Libor + 500bps per year. Over 15 years of trading S&P Index options. Our investment philosophy is that loss of opportunity is preferable to loss of capital. Our investment protocol is designed to be free from directional bias and exhibits market-neutral, and inflation-hedge characteristics.

Investment Strategy

The investment objective is to generate, conservatively, a consistent monthly return of 0.50% to 0.75% per month in the current environment. Our strategy to accomplish this objective has been achieved by selling short-term call and put spreads on the S&P 500 Index futures contract at strike prices that are significantly out-of-the-money and have a high probability of expiring worthless in our experienced opinion, developed over 15 years of trading S&P Index options. Our investment philosophy is that capital preservation and consistent returns are the most significant factors in successful asset management. Therefore, loss of opportunity is preferable to loss of capital. We believe that exogenous, “black swan” type events must be expected and factored into an option strategy and that proper risk management tools must be employed at all times when an account is exposed to this type of risk. We believe in taking calculated risks and that opportunity presents itself, and profits can be made, in both rising and declining market environments. We believe that accurately predicting long-term market direction is difficult to do with accuracy or precision, which, in the case of a long or short stock position, is required for profit. Accordingly, our investment protocol is designed to be free from directional bias and exhibits market-neutral, and inflation-hedge characteristics.

Risk Management

Be hedged at all times, with defined maximum monthly loss that is less than our annualized return over the past 50 months. Trade only in the current month. Capital preservation and consistent returns are the most significant factors in successful asset management. Therefore, loss of opportunity is preferable to loss of capital. We believe that exogenous, “black swan” type events must be expected and factored into an option strategy and that proper risk management tools must be employed at all times when an account is exposed to this type of risk. Our investment protocol is designed to be free from directional bias and exhibits market-neutral, and inflation-hedge characteristics.

   

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
-0.36 1 1 9/1/2011 10/1/2011
-0.27 1 1 3/1/2011 4/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
36.19 38 2/1/2008 3/1/2011
5.08 5 5/1/2011 9/1/2011
2.48 6 11/1/2011 4/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.36 1 10/1/2011 10/1/2011
-0.27 1 4/1/2011 4/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods51.0049.0046.0040.0034.0028.0016.00
Percent Profitable96.08100.00100.00100.00100.00100.00100.00
Average Period Return0.742.234.528.9513.8218.8629.34
Average Gain0.792.234.528.9513.8218.8629.34
Average Loss-0.32
Best Period2.284.728.4413.0018.3225.6235.00
Worst Period-0.360.611.855.8710.1214.0726.72
Standard Deviation0.541.071.651.912.643.102.42
Gain Standard Deviation0.511.071.651.912.643.102.42
Loss Standard Deviation0.06
Sharpe Ratio (1%)1.211.852.434.164.665.4410.86
Average Gain / Average Loss2.49
Profit / Loss Ratio61.13
Downside Deviation (10%)0.170.170.10
Downside Deviation (5%)0.08
Downside Deviation (0%)0.06
Sortino Ratio (10%)1.975.8020.26
Sortino Ratio (5%)8.28
Sortino Ratio (0%)11.79

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.