Caravan Wealth Management : Commodity Options

archived programs
Year-to-Date
N / A
Dec Performance
-0.97%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
25.25%
Sharpe (RFR=1%)
-1.08
CAROR
-
Assets
$ 91k
Worst DD
-20.91
S&P Correlation
-0.18

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
5/2018
Commodity Options -0.97 - - - - - - -17.97
S&P 500 -9.18 - - - - - - 29.38
+/- S&P 500 8.21 - - - - - - -47.35

Strategy Description

Summary

Caravan Wealth Management is a commodity trading advisor firm based in Miami, Florida which focuses on trading options to diversify and increase the probability of profit. Caravan clients are based in the United States and Latin America.

Caravan Wealth Management does not... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 144 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD -3.00%
Worst Peak-to-Trough 4.00%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
40.00%
Seasonal/cyclical
40.00%
Technical
20.00%
Strategy Pie Chart

Composition

Energy
40.00%
Currency Futures
25.00%
Precious Metals
20.00%
Interest Rates
15.00%
Composition Pie Chart

Summary

Caravan Wealth Management is a commodity trading advisor firm based in Miami, Florida which focuses on trading options to diversify and increase the probability of profit. Caravan clients are based in the United States and Latin America.

Caravan Wealth Management does not charge clients with a management fee based on the amount of funds under management, and only charges 25% incentive fee of the quarterly profit calculated with the high-water mark system.

Investment Strategy

The primary investment objective of the CARAVAN TRADING SYSTEM is to collect premiums from writing options on the S&P 500 index mini futures (/ES) and certain commodities futures such as Crude Oil, Natural Gas, Soybeans, Corn, Wheat, Coffee and Cocoa. The Trading Advisor intends to implement an options trading strategy through writing (selling) call and put option contracts. Writing Options on the S&P Mini Futures and commodities: The Trading Advisor intends to implement an options strategy that initially determines the near-term trading range for the S&P 500 Index, based upon the previous 3-6 months movement and for the commodities based on worldwide seasonality and supply / demand situations. A variety of indicators are used including 20, 50, 200 day moving averages, relative strength indicators, VIX, open interests, linear regression analysis among several others. Many other non-market indicators are also considered, including political and macroeconomic events. Generally, options are written near the peak (calls) and the troughs (puts) of the market with 5% probabilities of being in the money at expiration. Options Contracts are for a set period of time generally between 60 and 90 days before expiration. In order to maintain high probability of profit and maximize number of events, options are written every other week for S&P 500 mini futures and once a month for commodities.

Risk Management

The option expiration time frame varies from 60 to 180 days, and they are generally bought back when 80% of maximum profit is reached to secure profits and leave margin available for the next trade.

   

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
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
-20.91 2 - 10/1/2018 12/1/2018
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
3.72 6 5/1/2018 10/1/2018
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-20.91 2 11/1/2018 12/1/2018
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable75.0066.67
Average Period Return-2.18-5.35
Average Gain0.611.51
Average Loss-10.56-19.06
Best Period1.382.69
Worst Period-20.14-19.82
Standard Deviation7.2910.65
Gain Standard Deviation0.450.84
Loss Standard Deviation13.561.08
Sharpe Ratio (1%)-0.31-0.53
Average Gain / Average Loss0.060.08
Profit / Loss Ratio0.170.16
Downside Deviation (10%)7.2811.72
Downside Deviation (5%)7.1611.16
Downside Deviation (0%)7.1311.01
Sortino Ratio (10%)-0.36-0.56
Sortino Ratio (5%)-0.32-0.50
Sortino Ratio (0%)-0.31-0.49

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.