Cervino Capital Management LLC : Gold Covered Call Writing Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since11/2009 Gold Covered Call Writing -7.80 - - - - - -11.18 7.95 S&P 500 -6.27 - - - - - 22.77 239.28 +/- S&P 500 -1.53 - - - - - -33.95 -231.33 Strategy Description SummaryCervino 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% Composition Precious Metals 100.00% SummaryCervino 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel