Clarity Capital Management : Clarity Capital Management Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Sep Qtr 2020 1yr 3yr 5yr 10yr Since5/2009 Clarity Capital Management 2.63 - - - - - -44.44 -37.39 S&P 500 2.97 - - - - - 68.81 304.43 +/- S&P 500 -0.34 - - - - - -113.25 -341.82 Strategy Description SummaryClarity 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 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% Composition Stock Indices 100.00% SummaryClarity 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 StrategyEach 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 ManagementOnce 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel