Daylight Asset Management LLC : OptionHedging Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since8/2014 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 SummaryThis 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% Composition Stock Indices 100.00% SummaryThis 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 StrategyThe 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 ManagementOur Risk Management Strategy is to focus on low margin to equity with an average usage of 12%. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel