Crescendo Capital Management : Neutron Decay (Client)

archived programs
Year-to-Date
N / A
Mar Performance
-0.43%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.91%
Sharpe (RFR=1%)
0.49
CAROR
4.22%
Assets
$ 0k
Worst DD
-10.24
S&P Correlation
0.02

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
Neutron Decay (Client) -0.43 -2.59 - -7.39 20.38 13.32 - 26.83
S&P 500 -2.69 -1.22 - 10.64 26.42 66.60 - 89.53
+/- S&P 500 2.26 -1.36 - -18.04 -6.04 -53.28 - -62.70

Strategy Description

Summary

The Neutron Decay Strategy is a strategy that is non-directional or market neutral and typically attempts to exploit the time decay feature of options. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$9.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
8000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
-10.25%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
50.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Option-spreads
50.00%
Option-writing
50.00%
Strategy Pie Chart

Composition

Precious Metals
25.00%
Energy
25.00%
Interest Rates
15.00%
Currency Futures
10.00%
Grains
10.00%
Softs
10.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

The Neutron Decay Strategy is a strategy that is non-directional or market neutral and typically attempts to exploit the time decay feature of options.

Investment Strategy

The strategy trades a diversified portfolio of call and put options according to many criteria established by the Manager. Options used may be of any particular expiration cycle but are usually short-term. The strategy will mostly benefit from markets that are not experiencing large or persistent trends. Therefore it may benefit from a market moving sideways, up or down, as long as the move is not very sharp or persistent in one direction. At times, CCM may initiate long option strategies as well which could have other risk and reward profiles. CCM does not usually try to predict market direction, rather, it acknowledges that market movements are impossible to consistently and accurately forecast. However, large persistent trends do exist and when they occur, CCM has a risk management plan which will be implemented as necessary.

Risk Management

The program will typically take profits in short options with little premium left. The Manager will add to positions to keep call and put premiums in balance within certain constraints and levels, and will also adjust positions based on Delta or other risk factors. The Manager may choose to roll or exit positions at any time.

   

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
-10.24 12 18 11/1/2013 11/1/2014
-9.30 11 - 4/1/2017 3/1/2018
-5.19 2 4 5/1/2013 7/1/2013
-2.05 1 2 5/1/2016 6/1/2016
-1.02 2 2 1/1/2013 3/1/2013
-0.43 1 1 10/1/2016 11/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
14.18 3 3/1/2016 5/1/2016
13.07 7 7/1/2012 1/1/2013
10.45 4 7/1/2016 10/1/2016
7.91 5 12/1/2016 4/1/2017
6.45 4 8/1/2013 11/1/2013
3.92 2 4/1/2013 5/1/2013
3.11 3 3/1/2014 5/1/2014
1.64 2 8/1/2014 9/1/2014
0.62 1 1/1/2014 1/1/2014
0.40 2 7/1/2017 8/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.41 7 9/1/2017 3/1/2018
-6.00 17 10/1/2014 2/1/2016
-5.19 2 6/1/2013 7/1/2013
-4.49 2 6/1/2014 7/1/2014
-2.87 1 2/1/2014 2/1/2014
-2.43 2 5/1/2017 6/1/2017
-2.39 1 12/1/2013 12/1/2013
-2.05 1 6/1/2016 6/1/2016
-1.02 2 2/1/2013 3/1/2013
-0.43 1 11/1/2016 11/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods69.0067.0064.0058.0052.0046.0034.0022.00
Percent Profitable47.8343.2850.0056.9061.5458.7079.41100.00
Average Period Return0.361.132.314.947.649.4411.3818.40
Average Gain1.814.797.4112.0516.5220.4515.2818.40
Average Loss-1.65-2.54-4.04-5.31-6.58-6.20-3.64
Best Period7.8614.1818.5627.4532.7232.7226.5923.91
Worst Period-5.85-6.00-8.75-10.24-10.24-10.24-6.8211.79
Standard Deviation2.003.896.6110.8113.9615.1010.633.76
Gain Standard Deviation1.542.645.188.8210.259.228.103.76
Loss Standard Deviation1.391.622.653.152.552.682.47
Sharpe Ratio (1%)0.140.230.270.360.440.490.793.81
Average Gain / Average Loss1.101.891.832.272.513.304.20
Profit / Loss Ratio1.732.192.673.574.024.6916.20
Downside Deviation (10%)1.382.554.256.759.1010.8210.524.77
Downside Deviation (5%)1.221.963.074.235.255.533.24
Downside Deviation (0%)1.181.832.813.694.364.321.95
Sortino Ratio (10%)-0.03-0.04-0.04-0.010.00-0.07-0.42-0.66
Sortino Ratio (5%)0.230.450.590.931.171.342.58
Sortino Ratio (0%)0.310.620.821.341.752.185.84

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 1 2.10 4/2017
Discretionary Trader Index Month 10 2.10 4/2017
Option Strategy Index Month 4 1.99 3/2017
Discretionary Trader Index Month 8 1.99 3/2017
Option Strategy Index Month 3 1.93 12/2016
IASG CTA Index Year Rolling 4 25.36 2015 - 2016
Discretionary Trader Index Month 9 1.93 12/2016
Diversified Trader Index Month 7 2.69 10/2016
Discretionary Trader Index Month 10 2.69 10/2016
Systematic Trader Index Month 6 2.69 10/2016
IASG CTA Index Month 7 3.89 8/2016
Discretionary Trader Index Month 8 3.89 8/2016
Systematic Trader Index Month 2 3.89 8/2016
Diversified Trader Index Month 3 3.89 8/2016

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.