Carter Road : Options Overlay Strategy

archived programs
Year-to-Date
N / A
Oct Performance
-72.10%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
34.07%
Sharpe (RFR=1%)
0.28
CAROR
-0.22%
Assets
$ 1.9M
Worst DD
-73.30
S&P Correlation
0.46

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2003
Options Overlay Strategy -72.10 - - - - - - -1.30
S&P 500 -16.94 - - - - - - 278.19
+/- S&P 500 -55.16 - - - - - - -279.49

Strategy Description

Summary

-Carter Road ?packages? option spreads in sequential order creating windows of profit potential in calculable percentage ranges. This ?profit window? includes a limited downside range to an unlimited upside range during every position holding month. This strategy creates a large profit... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 400 RT/YR/$M
Avg. Margin-to-Equity 35%
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

-Carter Road ?packages? option spreads in sequential order creating windows of profit potential in calculable percentage ranges. This ?profit window? includes a limited downside range to an unlimited upside range during every position holding month. This strategy creates a large profit area for two reasons. First, the downside profit range is created by the option packages themselves. Second, near the bottom of the option ?packaging? range Carter Road sells more option premium than we pay for. A credit is taken with these trades. A profit can be made if the broader markets rally or hover. Constant wing protection is part of the trade and by procedure is always used.nbsp; &As a result all tail events are limited to gap risk. Twenty Five years of time tested Portfolio Manager experience to this risk issue has been addressed in a highly efficient manner. Carter Road fully understands that risk management techniques are the main reason why the returns remain as stable as they are. Additionally, nearly all of our firm?s competitors do not have the level of sophistication nor appropriate risk controls to properly manage this strategy.

   

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
-73.30 2 - 8/1/2008 10/1/2008
-7.24 6 2 10/1/2005 4/1/2006
-5.52 3 2 4/1/2007 7/1/2007
-5.20 3 1 9/1/2004 12/1/2004
-2.13 2 1 3/1/2008 5/1/2008
-2.12 1 2 11/1/2003 12/1/2003
-1.62 2 2 4/1/2005 6/1/2005
-1.57 2 2 7/1/2003 9/1/2003
-1.14 1 1 8/1/2006 9/1/2006
-0.77 1 2 10/1/2006 11/1/2006
-0.56 1 1 12/1/2007 1/1/2008
-0.12 1 1 4/1/2003 5/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
41.18 4 5/1/2006 8/1/2006
31.23 9 1/1/2004 9/1/2004
21.49 4 1/1/2003 4/1/2003
15.54 2 10/1/2003 11/1/2003
12.98 5 8/1/2007 12/1/2007
10.80 4 1/1/2005 4/1/2005
10.08 2 2/1/2008 3/1/2008
9.47 4 7/1/2005 10/1/2005
7.87 3 6/1/2008 8/1/2008
7.82 5 12/1/2006 4/1/2007
6.01 2 6/1/2003 7/1/2003
3.99 2 2/1/2006 3/1/2006
1.79 1 10/1/2006 10/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-73.30 2 9/1/2008 10/1/2008
-6.09 1 4/1/2006 4/1/2006
-5.52 3 5/1/2007 7/1/2007
-5.20 3 10/1/2004 12/1/2004
-5.01 3 11/1/2005 1/1/2006
-2.13 2 4/1/2008 5/1/2008
-2.12 1 12/1/2003 12/1/2003
-1.62 2 5/1/2005 6/1/2005
-1.57 2 8/1/2003 9/1/2003
-1.14 1 9/1/2006 9/1/2006
-0.77 1 11/1/2006 11/1/2006
-0.56 1 1/1/2008 1/1/2008
-0.12 1 5/1/2003 5/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable67.1483.8295.3896.6198.1197.8797.1495.65
Average Period Return0.884.6510.3722.7035.1648.4778.44119.27
Average Gain3.617.2912.2024.6937.1350.9382.33126.83
Average Loss-4.72-9.04-27.62-33.88-67.06-64.76-53.56-47.09
Best Period20.5640.0042.0751.9976.5378.14120.79179.65
Worst Period-72.10-73.16-71.80-67.65-67.06-64.76-53.56-47.09
Standard Deviation9.8312.3914.6518.3120.9121.5628.4242.23
Gain Standard Deviation4.197.6410.1413.7215.4013.5716.9822.15
Loss Standard Deviation14.7721.3738.3047.76
Sharpe Ratio (1%)0.080.360.671.181.612.152.652.73
Average Gain / Average Loss0.770.810.440.730.550.791.542.69
Profit / Loss Ratio1.574.189.1320.7728.7936.1752.2659.25
Downside Deviation (10%)8.789.189.339.5010.2610.9411.7214.31
Downside Deviation (5%)8.729.019.038.949.429.749.5710.67
Downside Deviation (0%)8.718.968.968.819.219.459.059.82
Sortino Ratio (10%)0.050.370.851.862.693.495.356.83
Sortino Ratio (5%)0.090.491.092.433.574.777.8810.80
Sortino Ratio (0%)0.100.521.162.583.825.138.6612.15

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.