Eickelberg & Associates : Stock Index Option Program

archived programs
Year-to-Date
N / A
Nov Performance
0.00%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
13.53%
Sharpe (RFR=1%)
0.39
CAROR
5.30%
Assets
$ 1.5M
Worst DD
-27.01
S&P Correlation
0.17

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
3/2006
Stock Index Option Program 0.00 - - - - - -21.41 34.55
S&P 500 -0.51 - - - - - 9.42 149.92
+/- S&P 500 0.51 - - - - - -30.83 -115.37

Strategy Description

Summary

The Stock Index Option Program is an option selling program utilizing S&P 500 options traded at the Chicago Mercantile Exchange.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
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 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 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Stock Index Option Program is an option selling program utilizing S&P 500 options traded at the Chicago Mercantile Exchange.

Investment Strategy

The main emphasis is on selling long dated far out-of-the-money calls and puts. The normal range of account funds committed to margin is 50% to 75%. The Advisor uses both fundamental and technical analysis to forecast the market direction of the underlying index. This means the Advisor does not typically write call and put options simultaneously. Market timing is utilized to optimally write calls or puts based on the Advisors directional outlook. Calls are sold when the market is estimated to be in a topping mode. Margin is held back to allow selling additional calls somewhat after the confirmation of the top. Similarly, puts are sold in anticipation that a market bottom is forming and continue to be sold after the low has been confirmed. Futures contracts on the S&P 500 may be traded as a hedge to existing option positions. Options are also purchased to hedge existing positions. The Advisor's primary trading philosophy is for profits to be taken when the value of options is reduced as a function of both market direction and time. Positions may be exited prior to expiration to take advantage of short-term market swings or good profit opportunities.

Risk Management

Trading strategies include making regular adjustments to option positions, including the acceptance of losses to minimize or eliminate risk.

   

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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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
-27.01 1 - 7/1/2011 8/1/2011
-4.30 1 6 12/1/2007 1/1/2008
-3.47 3 3 2/1/2010 5/1/2010
-2.69 2 2 9/1/2006 11/1/2006
-1.39 1 4 8/1/2008 9/1/2008
-1.19 1 1 3/1/2011 4/1/2011
-0.91 2 1 11/1/2010 1/1/2011
-0.58 1 1 6/1/2007 7/1/2007
-0.28 1 1 9/1/2010 10/1/2010
-0.12 1 1 9/1/2009 10/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
22.83 7 3/1/2006 9/1/2006
14.99 5 8/1/2007 12/1/2007
12.55 2 7/1/2008 8/1/2008
6.32 10 12/1/2008 9/1/2009
5.47 4 12/1/2006 3/1/2007
4.80 4 6/1/2010 9/1/2010
3.76 3 5/1/2011 7/1/2011
3.58 4 11/1/2009 2/1/2010
3.27 2 2/1/2011 3/1/2011
2.66 4 2/1/2008 5/1/2008
1.33 2 9/1/2011 10/1/2011
1.28 1 11/1/2010 11/1/2010
0.88 1 10/1/2008 10/1/2008
0.05 1 6/1/2007 6/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.01 1 8/1/2011 8/1/2011
-4.30 1 1/1/2008 1/1/2008
-3.47 3 3/1/2010 5/1/2010
-2.69 2 10/1/2006 11/1/2006
-2.57 1 6/1/2008 6/1/2008
-1.39 1 9/1/2008 9/1/2008
-1.19 1 4/1/2011 4/1/2011
-0.91 2 12/1/2010 1/1/2011
-0.58 1 7/1/2007 7/1/2007
-0.28 1 10/1/2010 10/1/2010
-0.16 1 11/1/2008 11/1/2008
-0.12 1 10/1/2009 10/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods69.0067.0064.0058.0052.0046.0034.0022.00
Percent Profitable72.4682.0987.5093.1092.3191.3088.2490.91
Average Period Return0.521.553.387.7812.7017.5728.1637.59
Average Gain1.613.625.7210.0015.4421.0033.6941.67
Average Loss-2.79-7.97-13.02-22.12-20.19-18.51-13.26-3.22
Best Period7.7016.5521.7424.9131.4639.6055.8469.71
Worst Period-27.01-26.07-24.69-22.50-21.76-18.91-14.53-5.66
Standard Deviation3.917.188.619.8711.9113.6817.6520.75
Gain Standard Deviation1.783.814.725.687.358.159.3016.80
Loss Standard Deviation6.5710.8611.880.491.670.450.853.44
Sharpe Ratio (1%)0.110.180.330.690.941.141.421.62
Average Gain / Average Loss0.580.450.440.450.761.132.5412.93
Profit / Loss Ratio1.802.083.086.109.1811.9119.06129.32
Downside Deviation (10%)3.435.886.767.177.738.489.969.75
Downside Deviation (5%)3.365.616.196.076.036.055.592.50
Downside Deviation (0%)3.345.546.055.815.615.464.551.22
Sortino Ratio (10%)0.030.050.130.390.660.861.251.65
Sortino Ratio (5%)0.130.230.471.121.862.574.4913.40
Sortino Ratio (0%)0.150.280.561.342.263.226.1830.87

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.