Chicago Capital Management : Strategic Option Writing Strategy

archived programs
Year-to-Date
N / A
Jun Performance
8.50%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
41.91%
Sharpe (RFR=1%)
0.26
CAROR
-0.69%
Assets
$ 880k
Worst DD
-67.61
S&P Correlation
0.48

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
10/2006
Strategic Option Writing Strategy 8.50 - - - - - 46.09 -3.23
S&P 500 -1.83 - - - - - 7.86 151.40
+/- S&P 500 10.33 - - - - - 38.23 -154.63

Strategy Description

Summary

The Strategic Option Writing Strategy (SOWS) uses a discretionary approach to trading. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission $16.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 4500 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 3.00%
1-3 Months 97.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-writing
95.00%
Other
5.00%
Strategy Pie Chart

Composition

Precious Metals
30.00%
Energy
30.00%
Currency Futures
10.00%
Interest Rates
10.00%
Stock Indices
10.00%
Grains
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

The Strategic Option Writing Strategy (SOWS) uses a discretionary approach to trading.

Investment Strategy

SOWS mainly sells or writes out of the money options on a diverse basket of exchange traded futures markets. In most cases, the option should expire worthless, meaning all the premium would be realized profit. From time to time it may be determined that an option position needs to be closed out and only a portion of the premium realized as profit.

Risk Management

By exiting a position before expiration we reduce risk and market exposure. SOWS trading plan takes into consideration the number of days to expiration, volatility, and the underlying futures contract to name a few of the indicators.

   

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
-67.61 3 - 9/1/2008 12/1/2008
-6.01 1 3 1/1/2007 2/1/2007
-4.50 1 1 6/1/2007 7/1/2007
-0.14 1 1 1/1/0001 10/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
70.27 8 6/1/2010 1/1/2011
53.58 14 1/1/2009 2/1/2010
52.56 14 8/1/2007 9/1/2008
51.12 3 4/1/2011 6/1/2011
10.37 4 3/1/2007 6/1/2007
4.04 1 4/1/2010 4/1/2010
1.91 3 11/1/2006 1/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-67.61 3 10/1/2008 12/1/2008
-31.47 2 2/1/2011 3/1/2011
-28.55 1 5/1/2010 5/1/2010
-6.01 1 2/1/2007 2/1/2007
-4.50 1 7/1/2007 7/1/2007
-3.50 1 3/1/2010 3/1/2010
-0.14 1 10/1/2006 10/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods57.0055.0052.0046.0040.0034.0022.00
Percent Profitable82.4676.3673.0871.7455.0029.410.00
Average Period Return0.982.704.505.14-2.37-15.98-34.37
Average Gain4.3811.0818.6329.3338.5862.02
Average Loss-15.01-24.36-33.84-56.26-52.42-48.48-34.37
Best Period38.4651.1258.6272.8662.7885.08-20.01
Worst Period-64.11-67.61-66.23-62.33-55.36-61.73-52.64
Standard Deviation12.1021.0329.7042.0147.4752.217.94
Gain Standard Deviation5.839.5213.2416.7616.5718.28
Loss Standard Deviation19.8225.3528.2113.242.595.827.94
Sharpe Ratio (1%)0.070.120.130.10-0.08-0.34-4.71
Average Gain / Average Loss0.290.450.550.520.741.28
Profit / Loss Ratio1.371.471.491.320.900.53
Downside Deviation (10%)10.1817.1723.5433.2740.3149.5750.73
Downside Deviation (5%)10.1016.8322.7231.1836.2142.6938.19
Downside Deviation (0%)10.0816.7522.5230.6635.2141.0135.23
Sortino Ratio (10%)0.060.090.090.00-0.25-0.53-0.99
Sortino Ratio (5%)0.090.150.180.13-0.11-0.42-0.98
Sortino Ratio (0%)0.100.160.200.17-0.07-0.39-0.98

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.