Cervino Capital Management LLC : Gold Covered Call Writing

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-7.80%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
0%
Annualized Vol
11.25%
Sharpe (RFR=1%)
0.23
CAROR
3.01%
Assets
$ 1.3M
Worst DD
-13.51
S&P Correlation
0.14

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
11/2009
Gold Covered Call Writing -7.80 - - - - - -5.10 7.95
S&P 500 -6.27 - - - - - 22.77 203.77
+/- S&P 500 -1.53 - - - - - -27.87 -195.82

Strategy Description

Summary

Cervino Capital Management’s GOLD COVERED CALL WRITING program is a unique “beta replication” approach in that it offers “alternative beta” exposure to gold, while simultaneously utilizing options as an “alpha overlay”. Gold is sometimes considered a currency, sometimes a commodity... 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 0%
Average Commission $0
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 700 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 70.00%
1-30 Days 30.00%
Intraday 0%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Precious Metals
100.00%
Composition Pie Chart

Summary

Cervino Capital Management’s GOLD COVERED CALL WRITING program is a unique “beta replication” approach in that it offers “alternative beta” exposure to gold, while simultaneously utilizing options as an “alpha overlay”. Gold is sometimes considered a currency, sometimes a commodity and sometimes a store of value. This program adds another dimension by generating income from premium capture, while also providing a method to protect downside risk through the purchase of put options. Though the covered call can be utilized in any market condition, it is most often employed when the investor, while bullish on the underlying asset, feels that the asset’s market value will experience little range over the lifetime of the call contract. The investor desires to either generate additional income apart from appreciation in the value of the underlying asset, and/or provide a limited amount of protection against a decline in the underlying asset value. While this strategy can offer limited protection from a decline in price of the underlying asset and limited profit participation with an increase in asset’s price, it generates income because the investor keeps the premium received from writing the call. The covered call is widely regarded as a conservative strategy because it decreases the risk of asset ownership. Cervino Capital intends to maintain a perpetual long gold futures position by “rolling the futures contract forward” to deferred-delivery futures contracts, and writing call options on the underlying gold futures contracts either “at-the-money,” slightly “out-of-the-money” or slightly “in-the-money.” At the same time, investors can adjust through the use of notional funds their overall investment exposure by modifying leverage.

   

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
-13.51 6 - 11/1/2011 5/1/2012
-6.63 1 3 12/1/2010 1/1/2011
-5.63 1 3 6/1/2010 7/1/2010
-3.33 1 2 11/1/2009 12/1/2009
-3.04 1 2 5/1/2011 6/1/2011
-2.37 1 1 8/1/2011 9/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
13.53 6 1/1/2010 6/1/2010
11.78 5 8/1/2010 12/1/2010
8.80 4 2/1/2011 5/1/2011
4.99 1 11/1/2009 11/1/2009
3.36 2 10/1/2011 11/1/2011
3.31 2 7/1/2011 8/1/2011
2.22 1 1/1/2012 1/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.85 4 2/1/2012 5/1/2012
-6.63 1 1/1/2011 1/1/2011
-5.63 1 7/1/2010 7/1/2010
-3.33 1 12/1/2009 12/1/2009
-3.04 1 6/1/2011 6/1/2011
-2.91 1 12/1/2011 12/1/2011
-2.37 1 9/1/2011 9/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods31.0029.0026.0020.0014.00
Percent Profitable67.7462.0780.7780.0085.71
Average Period Return0.301.303.116.8410.47
Average Gain2.223.914.929.6313.00
Average Loss-3.73-2.96-4.47-4.35-4.73
Best Period5.487.9713.5319.7622.29
Worst Period-7.80-12.16-13.51-12.57-9.28
Standard Deviation3.254.625.237.328.35
Gain Standard Deviation1.273.083.254.415.43
Loss Standard Deviation2.233.355.395.796.42
Sharpe Ratio (1%)0.070.230.500.801.07
Average Gain / Average Loss0.591.321.102.222.75
Profit / Loss Ratio1.252.164.628.8616.48
Downside Deviation (10%)2.643.273.754.755.06
Downside Deviation (5%)2.482.793.043.282.92
Downside Deviation (0%)2.432.682.882.972.48
Sortino Ratio (10%)-0.040.020.170.390.57
Sortino Ratio (5%)0.090.380.861.783.07
Sortino Ratio (0%)0.120.491.082.304.22

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.