Bharwani Asset Management LLC : Alpha

archived programs
Year-to-Date
N / A
May Performance
8.67%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.64%
Sharpe (RFR=1%)
-0.49
CAROR
-12.79%
Assets
$ 366k
Worst DD
-55.32
S&P Correlation
0.15

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
2/2013
Alpha 8.67 - - - - 15.07 - -36.64
S&P 500 1.53 - - - - 55.85 - 128.74
+/- S&P 500 7.14 - - - - -40.78 - -165.38

Strategy Description

Investment Strategy

The majority of BAM's trading uses a blend of fundamental, technical and sentiment analysis to identify what it believes are distortions in futures options pricing dynamics. BAM uses a variety of option strategies which include a variety of option spreads and the outright... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.50
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $11.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD
Worst Peak-to-Trough 15.85%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 5.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 90.00%
Systematic 10.00%

Composition

Grains
65.00%
Currency Futures
5.00%
Precious Metals
5.00%
Energy
5.00%
Interest Rates
5.00%
Livestock
5.00%
Softs
5.00%
Stock Indices
5.00%
Composition Pie Chart

Investment Strategy

The majority of BAM's trading uses a blend of fundamental, technical and sentiment analysis to identify what it believes are distortions in futures options pricing dynamics. BAM uses a variety of option strategies which include a variety of option spreads and the outright purchase and sales of call and put options in its trading. Depending on the pricing dynamics of a given futures options market, an option strategy will be employed that is best suited to profit from that given pricing dynamic. BAM uses the combination of price distortions and option strategies in fulfilling its goal of capital appreciation for its client's assets. BAM will also trade commodity futures outright and commodity futures spreads when it believes that a particular commodity is either significantly undervalued or overvalued. BAM has sole discretion as to which futures and options on futures contracts it will trade. The majority of trades are in the grain markets. BAM will on occasion trade in precious metals, fixed income, indexes, energies, currencies, meats, and softs futures markets. The BAM LLC Alpha program is currently open and accepting new assets. Email Uttam.Bharwani@BAMCTA.com for inquiries.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
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Sharpe Ratio: (RF=1%)
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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
-55.32 18 - 1/1/2014 7/1/2015
-16.18 4 4 4/1/2013 8/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
24.11 5 9/1/2013 1/1/2014
15.49 3 2/1/2013 4/1/2013
10.43 3 3/1/2016 5/1/2016
9.09 3 4/1/2014 6/1/2014
4.65 3 11/1/2015 1/1/2016
2.98 2 8/1/2015 9/1/2015
2.36 1 8/1/2014 8/1/2014
1.48 1 7/1/2013 7/1/2013
0.10 1 11/1/2014 11/1/2014
0.03 1 1/1/2015 1/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.71 2 9/1/2014 10/1/2014
-21.61 2 2/1/2014 3/1/2014
-16.15 1 7/1/2014 7/1/2014
-15.05 6 2/1/2015 7/1/2015
-14.35 1 8/1/2013 8/1/2013
-6.17 1 12/1/2014 12/1/2014
-3.57 2 5/1/2013 6/1/2013
-0.75 1 10/1/2015 10/1/2015
-0.07 1 2/1/2016 2/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable57.5039.4728.5710.340.000.00
Average Period Return-0.89-3.41-8.76-21.20-36.05-45.13
Average Gain2.968.078.0310.24
Average Loss-6.10-10.89-15.47-24.83-36.05-45.13
Best Period12.5519.3415.1820.13-5.90-36.81
Worst Period-22.52-27.23-38.50-47.40-55.32-52.50
Standard Deviation6.8311.6714.1718.3114.015.60
Gain Standard Deviation3.225.833.938.65
Loss Standard Deviation7.017.6810.7015.4014.015.60
Sharpe Ratio (1%)-0.14-0.31-0.65-1.21-2.68-8.41
Average Gain / Average Loss0.490.740.520.41
Profit / Loss Ratio0.660.480.210.05
Downside Deviation (10%)6.1411.0917.5631.6645.7555.65
Downside Deviation (5%)5.9910.4516.1428.3339.9847.45
Downside Deviation (0%)5.9610.2915.7927.5238.5745.46
Sortino Ratio (10%)-0.21-0.42-0.64-0.83-0.95-1.00
Sortino Ratio (5%)-0.16-0.35-0.57-0.78-0.94-0.99
Sortino Ratio (0%)-0.15-0.33-0.55-0.77-0.93-0.99

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.