Brown Asset Management : Brown Volatility System

archived programs
Year-to-Date
N / A
Performance
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
0.00%
Sharpe (RFR=1%)
0.00
CAROR
-
Assets
Worst DD
N/A
S&P Correlation
0.00

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.

Strategy Description

Summary

-Trading Strategy The Brown Volatility System is a series of mathematical formulae which quantitatively analyze market opportunities using a three filter model. The Brown Volatility System generates signals which identify optimal entry and exit points for trades to exploit inefficiencies... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

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

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Trading Strategy The Brown Volatility System is a series of mathematical formulae which quantitatively analyze market opportunities using a three filter model. The Brown Volatility System generates signals which identify optimal entry and exit points for trades to exploit inefficiencies between the volatility of targeted underlying instruments and the implied volatility suggested by their corresponding option prices. We maintain a low margin strategy by simultaneously buying and selling options - we never sell naked puts or calls. Through a hedged options strategy, we quantify the potential risk and reward associated with each trade before it is initiated. Unlike other options-based funds, Brown Asset Management maintains a low margin-to-equity ratio through hedging. An additional method of hedging risk is diversification. We apply the Brown Volatility System to trade in a broad range of cross-correlated global market sectors that include currencies, fixed income, energies, metals and stock futures. This affords us the ability to further hedge already hedged positions in one commodity with positions in a different, but closely correlated, commodity. Kenneth A. Brown brings over 10 years of experience in the securities industry to Brown Asset Management, where he serves as its CEO and Investment Manager. In July, 2004, Mr. Brown left the New York Mercantile Exchange, where he traded options as a market-maker, to establish Brown Asset Management. Mr. Brown began his trading career as a market-maker with The Timber Hill Company in 1994, upon graduating from Lehigh University with a Bachelors of Science in Mathematics. In 1996, he formed Urbro, LP, an options market-making firm, and member of the Philadelphia Stock Exchange, which specialized in index options trading. Mr. Brown created the Brown Volatility Trading System, a proprietary method of market analysis designed to identify and exploit inefficiencies between targeted underlying instruments and the implied volatilities in their corresponding option prices.

   

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

Consecutive Gains

Run-up Length (Mos.) Start End
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Consecutive Losses

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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.