Euroption : Strategic Fund

archived programs
Year-to-Date
N / A
Aug Performance
2.11%
Min Investment
€ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
9.72%
Sharpe (RFR=1%)
3.64
CAROR
42.45%
Assets
€ 90.0M
Worst DD
-6.10
S&P Correlation
-0.27

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2006
Strategic Fund 2.11 - - - - - - 156.91
S&P 500 1.22 - - - - - - 152.81
+/- S&P 500 0.89 - - - - - - 4.10

Strategy Description

Summary

-&Trading Philosophy:& Our investment strategy is particularly innovative: we use to open the&position three or four weeks before the expiration day, structuring arbitrages on volatility. The&strategy earns by these arbitrages and by the time decay process every month with a low risk,&because... Read More

Account & Fees

Type Managed Account
Minimum Investment € 100k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission $0
Available to US Investors

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 35%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-&Trading Philosophy:& Our investment strategy is particularly innovative: we use to open the&position three or four weeks before the expiration day, structuring arbitrages on volatility. The&strategy earns by these arbitrages and by the time decay process every month with a low risk,&because the arbitrage is covered by long positions (through long positions on futures and put&options with expiration almost an year in the future).&The fund works on the euro zone markets through index options (mainly on Dax, Eurostoxx50, and&FTSE 100). The structured strategies cover a period of about a month, which is the technical&expiration of options.The opening of a new position at the beginning of the technical month needs a series of&studies and analytical comparisons, such as fundamental macroeconomic analysis and technical&analysis of the most important financial markets (American, European, and a few Asian markets).&In particular, we utilize the principal technical analysis theories and we use different&software. The study of the single option is done through two processes: the first verifies the&fundamental parameters (Delta, Gamma, Theta, and Vega), while the second is directed to analyze&the differences between the fair price in the market, which is calculated through our own property&software, and the price offered by the market makers.&The study of implied volatility is fundamental. During periods with high levels of volatility&(for example March 2003, August 2007) we tend to be only sellers of options. The positions in the&market will always be short on volatility and we tend to avoid buying options almost every time.&On the other hand, during periods of low volatility (for example, during all 2006) we try to combine&our short positions with long ones, to exploit both the time decay and the possible explosion of&volatility. In other words, we are short on Vega on the closest expiration, and in the meantime we&covered our positions through a property delta hedging strategy.&The complete structure of the strategy follows a philosophy that prioritizes the choices that&cause us to prefer the minimization of risk instead of the maximization of yield; we try to&equilibrate our position in order to not be too bullish or bearish. In particular, when we study our&initial position we avoid predicting the future direction of the market, but instead we tend to exploit&at maximum, the natural movement of it.These techniques perform very well in a side market, but they can also perform well in a&bearish market that is characterized by a rising volatility.&Risk Control: The key analysis of risk control is the level of capital utilization. In other words,&every initial trading strategy is opened utilizing up to 30% of the full assets of the fund. The&remaining part of the assets are kept in liquidity to be used if the markets conditions change and a&modification in the strategy has to be made.The main risk control analysis is made utilizing many types of software (also the software&distributed by the various Stock Exchanges, for example the margin calculator by Eurex); the level&of the asset utilization is central and every position is being monitored every minute.&The asset are utilized at a level of 30% at the beginning of the period and can reach a&maximum level of 50% in the worst conditions ( even if in the Offering memorandum it?s stated&that we can use up to 65% of the asset ). At those levels of margin requirements, the strategy has to&be changed in a stop loss situation.Before the structuring of every trading strategy, we make up to 50 hypothesis of different&scenarios, in terms of volatility, level of the underlines, time to expiration, and combinations of&these conditions. With these hypothesis, we calculate a way to solve almost every difficult&situations, so we can know how to proceed before things happen.&Option Strategist Asset Management places a strong emphasis on the research and&development of its trading strategies and models. Only those models that fit the fundamental&premise of the underlying trading strategy are investigated and developed. The trading models allow&for testing of hypotheses and generate understanding of market dynamics and intellectual property.&Models created are continuously tested in order to examine variability in the model's performance&over different periods and in different market conditions.The investment manager approach of conducting extensive research of a range of market&conditions, together with a high degree of diversification provides a solid foundation for the control&of risk. This together with a range of in-house risk monitoring systems ensures that risk is&effectively managed at the market and the portfolio level.&Computational analysis is fundamental to the research. Option Strategist has developed&proprietary programs capable of providing fast, robust solutions to the problem of the analysis&needed to verify the models, and has developed in-house implementations of standard statistical&methods and proprietary algorithms in order to perform these analyses.The complex nature of the models thus developed has necessitated the creation of front-end&trading software in order to allow the trader to follow the precepts of his trading strategy. All have&integrated real-time data feeds into computation modules which emulate the trading model, linked&to a user-friendly front end that informs the trader both of the current position and state of his&portfolio and of what actions need to be taken at any given time. This enables the risks associated&with each market comprising the investment portfolio, and their correlations, to be measured on a&continuous basis, thus enabling portfolio positions to be varied in accordance with changing risk&profiles associated with market movements.&

   

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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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
-6.10 1 1 7/1/2007 8/1/2007
-3.66 1 1 3/1/2007 4/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
65.04 12 9/1/2007 8/1/2008
48.18 15 1/1/2006 3/1/2007
16.12 3 5/1/2007 7/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.10 1 8/1/2007 8/1/2007
-3.66 1 4/1/2007 4/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable93.7596.67100.00100.00100.00
Average Period Return3.039.4620.1042.2466.39
Average Gain3.569.8420.1042.2466.39
Average Loss-4.88-1.67
Best Period8.6022.5939.2865.0475.50
Worst Period-6.10-1.675.6222.0547.41
Standard Deviation2.804.888.1212.238.70
Gain Standard Deviation1.924.488.1212.238.70
Loss Standard Deviation1.73
Sharpe Ratio (1%)1.051.892.413.377.46
Average Gain / Average Loss0.735.90
Profit / Loss Ratio10.94171.17
Downside Deviation (10%)1.360.54
Downside Deviation (5%)1.280.35
Downside Deviation (0%)1.260.30
Sortino Ratio (10%)1.9315.18
Sortino Ratio (5%)2.3126.32
Sortino Ratio (0%)2.4131.07

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.