Daylight Asset Management LLC : OptionHedging Program

archived programs
Year-to-Date
N / A
Oct Performance
3.89%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.11%
Sharpe (RFR=1%)
0.08
CAROR
-
Assets
$ 104k
Worst DD
-22.96
S&P Correlation
0.75

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
8/2014
OptionHedging Program 3.89 - - - - -5.37 - 1.13
S&P 500 8.30 - - - - 75.70 - 72.94
+/- S&P 500 -4.41 - - - - -81.07 - -71.82

Strategy Description

Summary

This investment program is not intended to be an uncorrelated supplement to allocating capital assets in equity markets. Instead, it intends to provide a superior alternative to allocating capital assets in equity markets and Long-Only Funds with higher returns about 10 % to 20% higher... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 75k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 4000 RT/YR/$M
Avg. Margin-to-Equity 12%
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 50.00%
1-30 Days 20.00%
Intraday 30.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-purchasing
20.00%
Option-spreads
30.00%
Option-writing
30.00%
Spreading/hedging
20.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

This investment program is not intended to be an uncorrelated supplement to allocating capital assets in equity markets. Instead, it intends to provide a superior alternative to allocating capital assets in equity markets and Long-Only Funds with higher returns about 10 % to 20% higher to S&P500 return and similar or smaller volatility. The historical annual average return of SP$500 is 10%. Therefore the focus this program for long term is 20% to 30% annual average return.

Investment Strategy

The OptionHedging Program trades specialized spread strategies in the Emini S & P 500 Index, which can consist of both futures and options positions in the equity index market. The program can incorporate any spread strategy. Primarily synthetic options, which are hedged with futures are utilized. Additionally, outright option positions (aka naked options) may be taken. Both technical and fundamental analysis are used in assessing the markets, and the program retains a discretionary element.

Risk Management

Our Risk Management Strategy is to focus on low margin to equity with an average usage of 12%.

   

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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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
-22.96 7 - 2/1/2015 9/1/2015
-2.38 1 1 8/1/2014 9/1/2014
-1.55 1 1 12/1/2014 1/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
10.51 1 2/1/2015 2/1/2015
10.43 3 10/1/2014 12/1/2014
7.73 1 8/1/2014 8/1/2014
3.89 1 10/1/2015 10/1/2015
2.31 1 7/1/2015 7/1/2015
0.06 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.24 2 8/1/2015 9/1/2015
-7.39 2 3/1/2015 4/1/2015
-6.34 1 6/1/2015 6/1/2015
-2.38 1 9/1/2014 9/1/2014
-1.55 1 1/1/2015 1/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods15.0013.0010.00
Percent Profitable53.3353.8550.00
Average Period Return0.22-0.210.13
Average Gain4.337.2411.95
Average Loss-4.49-8.89-11.68
Best Period10.5110.4318.59
Worst Period-8.91-12.08-21.95
Standard Deviation5.528.8014.34
Gain Standard Deviation3.522.817.05
Loss Standard Deviation2.862.898.01
Sharpe Ratio (1%)0.02-0.05-0.03
Average Gain / Average Loss0.970.811.02
Profit / Loss Ratio1.100.951.02
Downside Deviation (10%)3.807.1011.22
Downside Deviation (5%)3.616.469.99
Downside Deviation (0%)3.566.309.69
Sortino Ratio (10%)-0.05-0.20-0.21
Sortino Ratio (5%)0.04-0.07-0.04
Sortino Ratio (0%)0.06-0.030.01

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.