Clarity Capital Management : Clarity Capital Management

archived programs
Year-to-Date
N / A
Sep Performance
2.63%
Min Investment
$ 20k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
27.38%
Sharpe (RFR=1%)
-0.26
CAROR
-10.06%
Assets
$ 100k
Worst DD
-51.74
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2009
Clarity Capital Management 2.63 2.30 - -31.96 -41.76 - - -37.39
S&P 500 2.97 4.69 - 16.72 47.32 - - 82.92
+/- S&P 500 -0.34 -2.39 - -48.68 -89.09 - - -120.31

Strategy Description

Summary

Clarity utilizes proprietary algorithms to both enter and exit multi-leg option trades. Trades are diversified across time, strikes, and markets. The managed futures trading strategy consists of selling “covered” options.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 20k
Trading Level Incremental Increase
$ 1k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.50
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
24000 RT/YR/$M
Avg. Margin-to-Equity
75%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
95.00%
1-30 Days
5.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Clarity utilizes proprietary algorithms to both enter and exit multi-leg option trades. Trades are diversified across time, strikes, and markets. The managed futures trading strategy consists of selling “covered” options. A “covered” option is an option with a predefined maximum risk of loss. Specifically, the strategy consists of selling one option position while simultaneously buying another option position with a net credit inflow of premium. The strategy is executed both on the call side of the market through the sale of call credit spreads and on the put side of the market through the sale of put credit spreads. The investor profits when the market price of underlying futures contracts stays below sold call strike prices and above sold put strike prices. The investor incurs a loss when unexpected price movements breach or approach the strike prices of sold options. Clarity currently trades options on futures on the following stock indices: E-Mini S&P 500, E-Mini S&P 500 End-of-Month, and Russell 2000 Mini. Specific indices may be added or dropped primarily based on liquidity.

Investment Strategy

Each Clarity account is divided into 8-10 tranches. When a tranche is not being used in a trade, we look to set a new trade. Trades are divided so that about half (no more than 6) are applied to any option month. Within each month 2-3 trades are assigned to either regular E-Mini S&P series or E-Mini S&P End-of-Month series. Each day, we apply our parameters and rules and determine a trade for that day in 2 or 3 series. Which series we choose is determined by a combination of days to expiration and volatility. New trades are set with 40-70 days to expiration. If a “slot” in any of the option series we’re tracking is available, a trade is considered only if it also meets our internal rules for strike diversification.

Risk Management

Once set, each trade is monitored and a proprietary parameter of risk is calculated. At a pre-determined level where our model perceives that risk is no longer balanced with reward, the trade is exited at the market. Alternatively, when most of the premium can be realized, we will exit the trade to realize that premium.

   

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
-51.74 23 - 6/1/2011 5/1/2013
-10.83 1 7 6/1/2009 7/1/2009
-8.98 3 3 2/1/2010 5/1/2010
-1.20 1 1 8/1/2010 9/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
15.17 5 4/1/2012 8/1/2012
14.84 9 10/1/2010 6/1/2011
14.66 5 10/1/2009 2/1/2010
13.62 2 11/1/2011 12/1/2011
11.23 3 6/1/2010 8/1/2010
9.47 1 9/1/2011 9/1/2011
6.26 3 10/1/2012 12/1/2012
4.59 1 2/1/2013 2/1/2013
4.53 2 5/1/2009 6/1/2009
4.03 2 8/1/2013 9/1/2013
2.71 1 6/1/2013 6/1/2013
2.09 1 4/1/2013 4/1/2013
0.66 1 8/1/2009 8/1/2009
0.30 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-37.16 1 5/1/2013 5/1/2013
-27.28 2 7/1/2011 8/1/2011
-20.04 1 10/1/2011 10/1/2011
-10.83 1 7/1/2009 7/1/2009
-9.51 1 9/1/2012 9/1/2012
-8.98 3 3/1/2010 5/1/2010
-6.93 1 1/1/2013 1/1/2013
-2.42 1 3/1/2013 3/1/2013
-1.66 1 7/1/2013 7/1/2013
-1.20 1 9/1/2010 9/1/2010
-0.85 1 3/1/2012 3/1/2012
-0.57 1 1/1/2012 1/1/2012
-0.10 1 9/1/2009 9/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable69.8160.7858.3352.3833.3316.6711.11
Average Period Return-0.51-2.03-3.29-4.41-6.92-12.89-14.77
Average Gain2.735.347.6912.1517.7518.696.71
Average Loss-7.99-13.44-18.66-22.63-19.25-19.20-17.45
Best Period9.4712.9719.2325.0025.6332.098.38
Worst Period-37.16-37.40-38.18-40.01-32.21-51.27-43.94
Standard Deviation7.9012.4816.4919.6219.2019.6517.80
Gain Standard Deviation2.142.915.076.167.099.682.35
Loss Standard Deviation10.9613.0814.4911.057.7814.2017.02
Sharpe Ratio (1%)-0.07-0.18-0.23-0.28-0.44-0.76-1.00
Average Gain / Average Loss0.340.400.410.540.920.970.38
Profit / Loss Ratio0.790.620.580.590.460.190.05
Downside Deviation (10%)7.4312.1716.4120.4822.7929.7535.09
Downside Deviation (5%)7.3211.7115.3617.9218.0523.1624.78
Downside Deviation (0%)7.3011.6015.1117.2916.9121.6522.63
Sortino Ratio (10%)-0.12-0.27-0.35-0.46-0.64-0.78-0.87
Sortino Ratio (5%)-0.08-0.19-0.25-0.30-0.47-0.64-0.72
Sortino Ratio (0%)-0.07-0.17-0.22-0.25-0.41-0.60-0.65

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.