Financial Commodity Investments : Credit Premium Program (CPP)

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-9.87%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
16.76%
Sharpe (RFR=1%)
0.54
CAROR
8.97%
Assets
$ 9.8M
Worst DD
-36.32
S&P Correlation
-0.09

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
5/2006
Credit Premium Program (CPP) -9.87 - - - - - -27.30 68.67
S&P 500 -6.27 - - - - - 22.77 162.05
+/- S&P 500 -3.60 - - - - - -50.07 -93.38

Strategy Description

Summary

The goal of FCI is to achieve appreciation with the use of alternative investment strategies. FCI will attempt to obtain consistent quarterly returns that exceed those of the equity market and to protect capital against adverse market trends.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $20.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 6000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 95.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 85.00%
Systematic 15.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Summary

The goal of FCI is to achieve appreciation with the use of alternative investment strategies. FCI will attempt to obtain consistent quarterly returns that exceed those of the equity market and to protect capital against adverse market trends.

Investment Strategy

FCI - CPP engages in the selling or “writing” options (puts and calls) on futures contracts in the natural gas, crude oil, coffee, soybeans, corn, and financial currency markets, among others. However, in the future, FCI - CPP may trade a broader portfolio of options, futures and cash markets. In doing so FCI reserves the right to place trades in any commodity futures contract or option contract thereon, on any exchange, foreign or domestic, at FCI's sole discretion. Similar to FCI’s Option Selling Strategy program, the primary trading strategy of FCI - CPP will be to sell, on behalf of a client, options on futures contracts. However, FCI - CPP is different from the Option Selling Strategy program because FCI - CPP may sell options that are likely to be closer to the expiration date, ranging from four (4) days to ninety (90) days from expiration, [versus thirty (30) to forty-five (45) days from expiration for the Option Selling Strategy program], and (b) closer to being “in the money”. The program also utilizes more of a vertical credit and calendar spread strategy, thus reducing per trade capital requirements. When premium collection transactions become unprofitable contracts, offsetting futures contracts or options are purchased as a hedge to limit further future contract losses. The net effect is that FCI - CPP targets higher returns with additional contracts being executed. There is an increased likelihood of the strike price being met on options written versus the portfolio of options written in the Option Selling Strategy program. Furthermore, FCI – CPP is more progressive with its rolling forward, exiting out of option contracts, and with the rolling further out as a hedge to limit contract losses. FCI – CPP will also utilize directional future trades from time to time. This will occur when underlying futures appear to be over extended in either an over or under valued status in relation to historical values of an underlying commodity.

Risk Management

FCI projects a trading range for a commodity contract over a specified period of time, usually from four (4) days to three (3) months. After considering other factors, FCI sells put and/or call options on the outer limits of that trading range. If the contract price stays within the projected range, time will erode the value of the option to the purchaser, the option will be worthless at expiration, and the premium that the client collected upfront, net of brokerage fees, will be profit. If the contract price starts to get close to a strike price and threatens to breach one of the projected limits, FCI will hedged is positions as a method of managing risk. It should be emphasized that, unlike an option buyer who risks losing only his investment in the premium, the seller of an option has unlimited risk. FCI must carefully manage this risk. If it does not manage this risk, a client could have substantial losses. In addition, there may be market conditions that make it impossible to properly manage this risk. Thus, FCI’s options selling program is designed for sophisticated investors who can accept a high degree of risk. Due to the risks involved in selling options, significant emphasis is placed on risk management techniques to minimize the losses on any particular trade on the portfolio as a whole. Stop-losses orders are used and managed in a proprietary manner to balance the potential loss in any trade versus the opportunity for maximum profit. Stop-loss orders may not necessarily limit losses since they become market orders upon execution; as a result a stop-loss order may not be executed at the stop-loss price. Depending on the model used, risk may be managed through variable position size or risk levels for any market. Additionally, modern portfolio techniques are used to construct the overall portfolio for a given program. These techniques will account for the volatility and correlation for markets as well as behavior during specific market extremes. Portfolio adjustments will be made to account for systematic changes in the relationships across markets. Portfolios are managed to meet risk and volatility tolerances.

   

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
-36.32 13 - 4/1/2011 5/1/2012
-12.29 1 7 8/1/2010 9/1/2010
-10.64 4 2 8/1/2008 12/1/2008
-6.84 2 2 8/1/2006 10/1/2006
-6.46 1 1 4/1/2009 5/1/2009
-3.68 1 1 9/1/2007 10/1/2007
-2.24 2 2 7/1/2009 9/1/2009
-1.72 1 2 2/1/2010 3/1/2010
-1.29 1 1 6/1/2010 7/1/2010
-0.13 1 1 12/1/2006 1/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
30.02 10 11/1/2007 8/1/2008
29.23 4 5/1/2006 8/1/2006
24.70 8 2/1/2007 9/1/2007
21.87 4 1/1/2009 4/1/2009
12.53 5 12/1/2010 4/1/2011
10.84 2 11/1/2006 12/1/2006
9.39 2 11/1/2011 12/1/2011
9.07 2 6/1/2009 7/1/2009
8.72 5 10/1/2009 2/1/2010
8.67 3 4/1/2010 6/1/2010
3.12 1 4/1/2012 4/1/2012
2.26 1 9/1/2011 9/1/2011
2.21 1 10/1/2010 10/1/2010
2.08 1 8/1/2010 8/1/2010
1.46 1 11/1/2008 11/1/2008
0.08 1 7/1/2011 7/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.57 3 1/1/2012 3/1/2012
-15.96 1 8/1/2011 8/1/2011
-12.29 1 9/1/2010 9/1/2010
-9.87 1 5/1/2012 5/1/2012
-7.72 2 9/1/2008 10/1/2008
-6.84 2 9/1/2006 10/1/2006
-6.46 1 5/1/2009 5/1/2009
-4.56 1 12/1/2008 12/1/2008
-3.68 1 10/1/2007 10/1/2007
-3.43 2 5/1/2011 6/1/2011
-2.24 2 8/1/2009 9/1/2009
-1.72 1 3/1/2010 3/1/2010
-1.34 1 10/1/2011 10/1/2011
-1.29 1 7/1/2010 7/1/2010
-0.73 1 11/1/2010 11/1/2010
-0.13 1 1/1/2007 1/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable69.8673.2473.5377.4282.1480.0089.4788.46
Average Period Return0.842.585.5112.8820.8629.3548.3465.63
Average Gain3.246.9011.0819.9428.8339.7755.6774.76
Average Loss-4.73-9.24-9.99-11.33-15.79-12.32-14.00-4.40
Best Period9.6822.9324.5948.6160.5487.63126.67144.39
Worst Period-15.96-23.57-26.38-35.12-28.35-34.13-20.45-12.02
Standard Deviation4.849.0211.2017.5322.8727.3136.1842.90
Gain Standard Deviation2.354.886.0211.5116.3418.7330.5436.49
Loss Standard Deviation4.546.896.6512.176.5611.399.396.61
Sharpe Ratio (1%)0.160.260.450.680.851.001.251.44
Average Gain / Average Loss0.690.751.111.761.833.233.9816.99
Profit / Loss Ratio1.592.043.086.038.4012.9233.81130.26
Downside Deviation (10%)3.736.447.229.5910.2611.1910.279.05
Downside Deviation (5%)3.596.016.348.097.778.036.123.41
Downside Deviation (0%)3.565.916.127.757.177.335.252.37
Sortino Ratio (10%)0.120.210.420.821.291.713.174.87
Sortino Ratio (5%)0.210.390.791.472.493.417.4018.06
Sortino Ratio (0%)0.240.440.901.662.914.019.2027.75

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.