Cervino Capital Management LLC : Diversified Options Strategy 1X

archived programs
Year-to-Date
N / A
May Performance
0.88%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.70%
Sharpe (RFR=1%)
0.68
CAROR
4.79%
Assets
$ 1.4M
Worst DD
-8.34
S&P Correlation
0.12

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
1/2006
Diversified Options Strategy 1X 0.88 - - - - - 2.91 35.04
S&P 500 -6.27 - - - - - 22.77 170.62
+/- S&P 500 7.15 - - - - - -19.86 -135.58

Strategy Description

Summary

-Cervino Capital Management’s DIVERSIFIED OPTIONS STRATEGY 1X is an absolute return program designed for sophisticated investors. The objective is to generate consistent monthly returns averaging between 50bps and 250bps for an annualized target of 10% to 15% per year. The maximum... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $9.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1400 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 5.93%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 20.00%
1-3 Months 60.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 70.00%
Systematic 30.00%

Strategy

Option-purchasing
25.00%
Option-spreads
50.00%
Option-writing
25.00%
Strategy Pie Chart

Composition

Stock Indices
70.00%
Currency Futures
10.00%
Precious Metals
10.00%
Interest Rates
10.00%
Composition Pie Chart

Summary

-Cervino Capital Management’s DIVERSIFIED OPTIONS STRATEGY 1X is an absolute return program designed for sophisticated investors. The objective is to generate consistent monthly returns averaging between 50bps and 250bps for an annualized target of 10% to 15% per year. The maximum peak-to-trough drawdown since inception is (5.93%)and began in September 2008. The managed futures program trades options on a diversified portfolio of financial futures contracts including equity indices, fixed income, currencies, and precious metals. Opportunity and risk exposure is further diversified through use of different types of complex option positions such as debit spreads, credit spreads, condors, ratio spreads, strangles and calendar spreads as well as naked puts and calls. The variety of positions contributes to the creation of multifaceted and versatile strategies tailored to market conditions and trading outlook. Trading decisions are based on a blended analytical process combining quantitative analysis, fundamental studies, and technical and sentiment indicators. The intent is to identify and arbitrage price discrepancies that reflect under- and over-valuations as well as direction/trend bias, and to produce a replicable trade execution process resulting in positions with statistically high probabilities of positive outcomes. This may not be achieved.

Investment Strategy

Cervino Capital Management specializes in trading separate managed accounts for sophisticated investors. Our primary objective is to produce risk-adjusted skill-based returns through a variety of alternative and traditional strategies. Our investment philosophy recognizes that investment performance is a function of risk taken, but also that the complexity of human behavior can never be fully modeled. And while mathematical techniques reveal important dynamics within the markets, circular relationships between cause and effect relegate quant models to just an abstraction of reality... Expecting models to be exactly right is unreasonable. Rather, a discretionary common sense approach is needed—one which balances the quantitative with the qualitative in order to manage the cycles of volatility.

Risk Management

Risk control is instituted through a variety of means with the aim of minimizing drawdowns in most market conditions. The first is portfolio construction and diversification; second is controlling leverage through position sizing adjusted according to account size, volatility and risk-reward analysis; and third is stops based on money management rules. Risk control might not limit drawdowns.

   

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
-8.34 2 3 6/1/2011 8/1/2011
-5.93 2 21 8/1/2008 10/1/2008
-4.47 2 7 12/1/2006 2/1/2007
-1.22 1 2 3/1/2011 4/1/2011
-0.93 1 2 2/1/2012 3/1/2012
-0.47 3 1 8/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
22.05 13 8/1/2007 8/1/2008
10.38 6 9/1/2011 2/1/2012
10.35 12 1/1/2006 12/1/2006
4.01 4 11/1/2008 2/1/2009
3.53 6 11/1/2009 4/1/2010
3.01 3 6/1/2010 8/1/2010
2.07 2 5/1/2007 6/1/2007
1.55 2 5/1/2011 6/1/2011
1.42 1 6/1/2009 6/1/2009
1.42 4 12/1/2010 3/1/2011
1.40 2 4/1/2012 5/1/2012
0.93 1 3/1/2007 3/1/2007
0.29 1 9/1/2009 9/1/2009
0.12 1 4/1/2009 4/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.34 2 7/1/2011 8/1/2011
-5.93 2 9/1/2008 10/1/2008
-4.47 2 1/1/2007 2/1/2007
-1.62 1 10/1/2009 10/1/2009
-1.59 1 7/1/2007 7/1/2007
-1.48 1 5/1/2009 5/1/2009
-1.22 1 4/1/2011 4/1/2011
-0.93 1 3/1/2012 3/1/2012
-0.79 1 4/1/2007 4/1/2007
-0.78 1 3/1/2009 3/1/2009
-0.47 3 9/1/2010 11/1/2010
-0.44 1 5/1/2010 5/1/2010
-0.33 2 7/1/2009 8/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods77.0075.0072.0066.0060.0054.0042.0030.00
Percent Profitable75.3274.6773.6187.8890.0098.1597.62100.00
Average Period Return0.401.202.464.557.1810.0913.6619.59
Average Gain1.032.404.155.508.1310.3314.1319.59
Average Loss-1.51-2.33-2.28-2.39-1.44-2.78-5.89
Best Period6.339.1612.8021.1422.7522.3025.4226.88
Worst Period-5.70-7.67-7.79-7.19-4.42-2.78-5.897.71
Standard Deviation1.642.894.135.666.117.207.666.15
Gain Standard Deviation1.011.943.355.325.657.057.096.15
Loss Standard Deviation1.762.311.612.121.53
Sharpe Ratio (1%)0.200.330.470.630.931.121.392.53
Average Gain / Average Loss0.681.031.822.315.663.722.40
Profit / Loss Ratio2.093.045.0716.7250.93197.1298.36
Downside Deviation (10%)1.282.142.663.334.064.686.915.91
Downside Deviation (5%)1.161.721.641.371.040.671.48
Downside Deviation (0%)1.131.631.421.080.630.380.91
Sortino Ratio (10%)0.00-0.01-0.01-0.14-0.10-0.04-0.30-0.33
Sortino Ratio (5%)0.280.561.192.595.4612.127.18
Sortino Ratio (0%)0.360.741.734.2111.3126.6915.02

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.