Crescendo Capital Management : Neutron Decay (Prop)

archived programs
Year-to-Date
N / A
Mar Performance
-0.63%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.12%
Sharpe (RFR=1%)
0.94
CAROR
14.99%
Assets
$ 0k
Worst DD
-15.25
S&P Correlation
0.32

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
7/2010
Neutron Decay (Prop) -0.63 - - - -7.13 25.23 181.10 195.15
S&P 500 -2.69 - - - 26.42 66.60 97.61 214.46
+/- S&P 500 2.06 - - - -33.55 -41.36 83.49 -19.31

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. The strategy trades call and put options according to many criteria established by CCM. Options used may be of any particular expiration... 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 $7.00
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
Worst Peak-to-Trough -15.26%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months
4-12 Months
1-3 Months 70.00%
1-30 Days 30.00%
Intraday

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Option-purchasing
5.00%
Option-spreads
25.00%
Option-writing
70.00%
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. The strategy trades call and put options according to many criteria established by CCM. Options used may be of any particular expiration cycle. 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. The options or spreads are initiated at various levels regularly to take advantage of multiple expiration cycles. The program seeks to be diversified amongst multiple liquid markets. Current markets traded include the E-mini S & P 500, Euro Currency, Crude Oil, and Natural Gas, Gold and Silver. CCM may trade additional markets or cease trading in certain markets at its discretion. Several criteria are utilized in the evaluation of a trade, including, but not limited to; volume, open interest, implied volatility, historical volatility, correlation, probabilities, and statistics. Volatility is a particularly important factor when determining which markets to trade and position size. Since volatility is typically mean reverting, when volatility levels are very low, position sizes are generally smaller, and when volatility is normal or high, position sizes are normal. Option positions may be adjusted in various ways as deemed necessary by CCM. The trade exit or entry may be done entirely at once or in portions as deemed appropriate by CCM. The strategy is designed for a margin-to-equity averaging around 40%, although it may fluctuate due to market conditions, and may be higher or lower at any given point in time. Neutron Decay is primarily an option spread strategy. Futures will be used rarely, and if so, most likely in the form of hedging an option position. Due to the nature of trading, new accounts may not fully participate in the strategy until the beginning of a new option spread cycle. This may cause a variance in performance between existing and new accounts.

Investment Strategy

Diversified options writing & spread trading, volatility trading, market neutral, strict risk management

Risk Management

Stay within pre-defined risk & margin levels for each market traded. Dynamically adjust positions to stay relatively delta neutral, premium neutral, market neutral. Buy back cheap options when risk is deemed too high vs. reward potential.

   

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:
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Risk
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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:
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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
-15.25 2 3 7/1/2011 9/1/2011
-13.05 1 2 10/1/2010 11/1/2010
-12.30 14 6 11/1/2013 1/1/2015
-8.47 11 - 4/1/2017 3/1/2018
-6.97 1 1 7/1/2015 8/1/2015
-6.63 3 2 11/1/2015 2/1/2016
-6.15 2 1 3/1/2011 5/1/2011
-5.61 2 3 5/1/2013 7/1/2013
-5.12 1 2 4/1/2012 5/1/2012
-2.69 1 2 5/1/2016 6/1/2016
-1.67 1 1 10/1/2016 11/1/2016
-1.47 2 2 1/1/2013 3/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
55.50 7 10/1/2011 4/1/2012
40.24 4 12/1/2010 3/1/2011
26.73 8 6/1/2012 1/1/2013
21.01 6 2/1/2015 7/1/2015
15.79 3 9/1/2015 11/1/2015
13.18 3 3/1/2016 5/1/2016
12.64 2 6/1/2011 7/1/2011
11.78 4 7/1/2010 10/1/2010
8.30 4 7/1/2016 10/1/2016
7.90 5 12/1/2016 4/1/2017
7.82 4 8/1/2013 11/1/2013
4.25 2 4/1/2013 5/1/2013
3.31 3 3/1/2014 5/1/2014
1.66 2 8/1/2014 9/1/2014
0.63 2 7/1/2017 8/1/2017
0.05 1 1/1/2014 1/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.25 2 8/1/2011 9/1/2011
-13.05 1 11/1/2010 11/1/2010
-7.56 4 10/1/2014 1/1/2015
-7.13 7 9/1/2017 3/1/2018
-6.97 1 8/1/2015 8/1/2015
-6.63 3 12/1/2015 2/1/2016
-6.15 2 4/1/2011 5/1/2011
-5.61 2 6/1/2013 7/1/2013
-5.12 1 5/1/2012 5/1/2012
-4.81 2 6/1/2014 7/1/2014
-2.91 1 2/1/2014 2/1/2014
-2.69 1 6/1/2016 6/1/2016
-2.31 1 12/1/2013 12/1/2013
-2.06 2 5/1/2017 6/1/2017
-1.67 1 11/1/2016 11/1/2016
-1.47 2 2/1/2013 3/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods93.0091.0088.0082.0076.0070.0058.0046.0034.00
Percent Profitable64.5265.9372.7381.7185.5390.00100.00100.00100.00
Average Period Return1.263.868.1317.1527.7236.9049.2362.0095.38
Average Gain3.507.6612.7422.0033.2041.4049.2362.0095.38
Average Loss-2.80-3.49-4.17-4.52-4.61-3.53
Best Period14.1333.3352.2673.6685.39126.03145.61132.20180.79
Worst Period-13.05-13.44-10.41-11.14-9.57-8.3112.7628.5931.18
Standard Deviation4.378.0711.8718.7326.3432.9733.2330.2841.37
Gain Standard Deviation3.217.1610.5917.2324.5331.6933.2330.2841.37
Loss Standard Deviation3.053.123.003.882.872.51
Sharpe Ratio (1%)0.270.450.640.861.001.061.391.912.18
Average Gain / Average Loss1.252.193.064.877.2011.72
Profit / Loss Ratio2.274.248.1521.7642.52105.52
Downside Deviation (10%)2.623.293.804.544.984.760.55
Downside Deviation (5%)2.482.822.882.852.551.91
Downside Deviation (0%)2.452.712.662.512.041.34
Sortino Ratio (10%)0.330.801.492.684.045.6060.70
Sortino Ratio (5%)0.481.282.655.6610.2718.23
Sortino Ratio (0%)0.521.423.056.8313.5827.59

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.