Esulep LLC MAX : Esulep LLC MAX

archived programsClosed to new investments
Year-to-Date
N / A
Feb Performance
-36.30%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.99%
Sharpe (RFR=1%)
0.40
CAROR
5.27%
Assets
$ 0k
Worst DD
-36.63
S&P Correlation
0.06

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
5/2008
Esulep LLC MAX -36.30 - - -36.30 -30.09 -18.01 42.36 65.70
S&P 500 -3.89 - - 13.66 27.65 77.36 101.86 91.12
+/- S&P 500 -32.41 - - -49.96 -57.74 -95.37 -59.49 -25.42

Strategy Description

Summary

Esulep LLC Max invests using the Permo Investment Program, which is an absolute-return, U.S. Listed Futures and Options Strategy. It invests exclusively in broad market equity indices (e.g. S&P 500) utilizing proprietary strategies that are dynamically updated, while adhering to a... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$2.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
7000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
19.99%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
1.00%
1-3 Months
18.00%
1-30 Days
80.00%
Intraday
1.00%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Esulep LLC Max invests using the Permo Investment Program, which is an absolute-return, U.S. Listed Futures and Options Strategy. It invests exclusively in broad market equity indices (e.g. S&P 500) utilizing proprietary strategies that are dynamically updated, while adhering to a tight, capital conservation risk profile. Monthly performance is designed to have minimal correlation with overall S&P 500 market movement or with other managers, the gains are achieved without borrowed funds or added leverage, and the positions are hedged appropriately to both reduce the risk of capital loss and also to ensure continuity through adverse conditions. The track record before 2012 is a composite of all Permo Strategy accounts, including the private fund with comparable returns and fee structure. All returns are netted of 2/20 fees each month.

Investment Strategy

Investment is in broad-based U.S. equity indices, utilizing proprietary entry and exit points with positions fully hedged to major support/resistance levels using options. Outlooks on the markets typically encompass the next 30 to 90 days, are updated continually, with portfolio adjustments as required by the risk profile based on market movement. The program is composed of the core strategies, and two separate hedging strategies designed to protect against both monetary and catastrophic losses. Advantages of the program include: high frequency of gains often resulting from the very small magnitude of profit desired, ability to earn gains even when the markets move against the portfolio significantly due to the multiple hedging strategies, and a zero correlation to most other investment strategies with the proprietary execution points of the positions.

Risk Management

There are two main hedging strategies to supplement the core strategies, and the nature of the core strategies allows dissipation of potential losses over time. Action is taken once any drawdown of 2% is reached intramonth, with additional action taken at 5%; neither double-digit gains nor losses are anticipated, though still possible. During unpredictable times, capital conservation is favored over additional opportunistic risk. "Fat tail" months are planned for, though not relied upon to earn profit. Consistency is the goal, not a large APY during a given year. Backtesting shows that approximately 99% of the months back to 1950 work well under the program, with the other 1% returning to the high water mark within 6 months (at most). Sep '09 drawdown was due to a newly investigated hedging strategy that worked well for two complete months, before failing in September. This hedge has since been replaced and clients benefit from the improvements. Supplements and additional information are available to prospective clients.

   

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
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Sharpe Ratio: (RF=1%)
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Compound RoR:
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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
-36.63 2 - 12/1/2017 2/1/2018
-12.74 2 4 8/1/2009 10/1/2009
-5.58 1 5 7/1/2015 8/1/2015
-0.17 1 1 9/1/2016 10/1/2016
-0.02 1 1 11/1/2016 12/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
113.88 69 11/1/2009 7/1/2015
26.64 16 5/1/2008 8/1/2009
9.35 13 9/1/2015 9/1/2016
6.44 12 1/1/2017 12/1/2017
0.86 1 11/1/2016 11/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.63 2 1/1/2018 2/1/2018
-12.74 2 9/1/2009 10/1/2009
-5.58 1 8/1/2015 8/1/2015
-0.17 1 10/1/2016 10/1/2016
-0.02 1 12/1/2016 12/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods118.00116.00113.00107.00101.0095.0083.0071.0059.00
Percent Profitable94.0793.9794.6998.1399.0198.9598.8098.5998.31
Average Period Return0.522.184.719.7114.9421.2133.9247.9862.88
Average Gain1.052.915.4910.2215.4121.7634.6748.9464.13
Average Loss-7.96-9.23-9.22-17.13-31.92-30.44-27.08-18.99-9.39
Best Period6.9410.8318.4929.6434.0247.1062.3678.7198.27
Worst Period-36.30-36.42-35.42-32.70-31.92-30.44-27.08-18.99-9.39
Standard Deviation3.754.515.466.507.319.4211.9414.6917.28
Gain Standard Deviation1.021.963.454.935.627.799.8912.3714.52
Loss Standard Deviation12.8712.6013.0422.03
Sharpe Ratio (1%)0.120.430.771.341.842.042.592.993.34
Average Gain / Average Loss0.130.320.600.600.480.711.282.586.83
Profit / Loss Ratio2.104.9210.6231.3448.2967.18104.96180.34396.16
Downside Deviation (10%)3.553.853.873.723.964.204.704.814.82
Downside Deviation (5%)3.503.693.543.273.333.333.312.741.89
Downside Deviation (0%)3.493.653.473.163.183.122.972.251.22
Sortino Ratio (10%)0.030.250.581.271.862.613.865.497.31
Sortino Ratio (5%)0.120.521.192.674.045.779.3516.0530.63
Sortino Ratio (0%)0.150.601.363.074.716.7911.4121.2851.45

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 7 3.52 9/2015
Option Strategy Index Month 8 3.52 9/2015
Option Strategy Index Month 9 1.64 1/2015
IASG CTA Index Sharpe 8 1.96 2013 - 2014
Option Strategy Index Month 6 1.09 12/2014
Option Strategy Index Month 2 1.20 10/2014
Stock Index Trader Index Month 6 1.20 10/2014
Option Strategy Index Month 4 0.46 7/2014
Option Strategy Index Month 9 1.21 2/2014
IASG CTA Index Sharpe 9 1.87 2012 - 2013
Option Strategy Index Month 10 1.89 6/2013
Option Strategy Index Month 7 0.44 5/2013
Option Strategy Index Month 5 1.10 4/2013
Option Strategy Index Month 5 3.48 8/2011
Stock Index Trader Index Month 6 3.48 8/2011
Stock Index Trader Index Month 8 0.38 7/2011
Stock Index Trader Index Month 6 1.96 6/2011
Option Strategy Index Month 10 1.96 6/2011
Option Strategy Index Month 10 0.97 9/2010
Option Strategy Index Month 2 5.00 5/2010
Stock Index Trader Index Month 3 5.00 5/2010
Discretionary Trader Index Month 8 5.00 5/2010
Stock Index Trader Index Month 10 0.60 4/2010
Option Strategy Index Month 10 0.60 4/2010
Stock Index Trader Index Month 7 1.95 3/2010
Option Strategy Index Month 5 1.95 3/2010
Stock Index Trader Index Month 7 4.24 2/2010
Option Strategy Index Month 8 4.24 2/2010
Option Strategy Index Month 5 6.94 11/2009
Stock Index Trader Index Month 3 6.94 11/2009
Discretionary Trader Index Month 9 6.94 11/2009
Option Strategy Index Month 7 1.23 7/2009
Stock Index Trader Index Month 7 1.23 7/2009
Option Strategy Index Month 7 1.65 3/2009
Stock Index Trader Index Month 6 1.65 3/2009
IASG CTA Index Sharpe 4 7.11 2007 - 2008
Stock Index Trader Index Month 5 1.95 11/2008
Option Strategy Index Month 6 1.95 11/2008
Discretionary Trader Index Month 9 1.95 11/2008
Option Strategy Index Month 1 3.13 10/2008
Discretionary Trader Index Month 4 3.13 10/2008
Stock Index Trader Index Month 4 3.13 10/2008
Option Strategy Index Month 1 1.72 9/2008
Stock Index Trader Index Month 6 1.72 9/2008
Discretionary Trader Index Month 10 1.72 9/2008
Stock Index Trader Index Month 8 1.56 8/2008
Option Strategy Index Month 8 1.56 8/2008
Option Strategy Index Month 8 1.99 7/2008
Stock Index Trader Index Month 9 1.99 7/2008
Stock Index Trader Index Month 9 0.83 6/2008
Option Strategy Index Month 10 0.83 6/2008
Option Strategy Index Month 10 0.00 5/2008

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