Five Star Commodities & Options : Agricultural Program

archived programs
Year-to-Date
N / A
Feb Performance
5.58%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
77.52%
Sharpe (RFR=1%)
0.72
CAROR
28.62%
Assets
$ 2.0M
Worst DD
-59.66
S&P Correlation
0.23

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
7/2012
Agricultural Program 5.58 - - - - 23.43 - 151.64
S&P 500 -0.41 - - - - 45.56 - 134.66
+/- S&P 500 5.99 - - - - -22.13 - 16.98

Strategy Description

Summary

This trading program consists of the process of writing naked options on futures. When writing an option, the writer collects funds from the purchaser of the option. In the case of a call, if the price of the underlying futures contract stays the same or declines in value, the value... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
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 4950 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD -30.00%
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary 90.00%
Systematic 10.00%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Grains
100.00%
Composition Pie Chart

Summary

This trading program consists of the process of writing naked options on futures. When writing an option, the writer collects funds from the purchaser of the option. In the case of a call, if the price of the underlying futures contract stays the same or declines in value, the value of the option declines. Since the account has collected the premium, the decline in the value of the premium results in a profit for the account. However if the value of the option increases the premium increases and,if the account was required to buy back the option, the account would lose money. In the case of a put, the analysis would be the opposite. The Advisors strategy relies on the balancing of short options positions so that, at expiration of each option or at liquidation of a position, the value of the option sold has declined and either expires worthless or is purchased at a reduced value.

   

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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Loss Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-59.66 2 3 8/1/2014 10/1/2014
-53.07 1 - 5/1/2015 6/1/2015
-25.16 2 5 6/1/2013 8/1/2013
-24.42 1 1 6/1/2014 7/1/2014
-18.76 2 2 1/1/2014 3/1/2014
-10.84 1 1 1/1/0001 7/1/2012
-0.14 1 1 11/1/2012 12/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
336.25 7 11/1/2014 5/1/2015
69.27 6 9/1/2015 2/1/2016
54.48 1 8/1/2014 8/1/2014
39.72 1 7/1/2015 7/1/2015
35.67 3 4/1/2014 6/1/2014
31.45 4 8/1/2012 11/1/2012
28.58 2 9/1/2013 10/1/2013
14.94 6 1/1/2013 6/1/2013
6.80 2 12/1/2013 1/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-59.66 2 9/1/2014 10/1/2014
-53.07 1 6/1/2015 6/1/2015
-27.59 1 8/1/2015 8/1/2015
-25.16 2 7/1/2013 8/1/2013
-24.42 1 7/1/2014 7/1/2014
-18.76 2 2/1/2014 3/1/2014
-10.84 1 7/1/2012 7/1/2012
-0.14 1 12/1/2012 12/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable72.7366.6758.9769.7085.1990.48
Average Period Return4.7412.7022.9235.2040.7654.70
Average Gain13.6230.6350.5356.4051.7663.59
Average Loss-20.67-23.16-16.76-13.55-22.50-29.70
Best Period70.21164.31314.33174.84141.89138.06
Worst Period-54.28-52.52-42.49-44.55-44.44-36.55
Standard Deviation22.3839.3769.0052.5045.6345.56
Gain Standard Deviation16.4934.7478.3448.7239.3937.76
Loss Standard Deviation18.6017.4814.5414.5420.159.69
Sharpe Ratio (1%)0.210.320.320.650.861.16
Average Gain / Average Loss0.661.323.014.162.302.14
Profit / Loss Ratio1.922.654.339.5713.2320.34
Downside Deviation (10%)13.7717.1115.2712.7313.3912.58
Downside Deviation (5%)13.6516.6514.2711.0411.4210.01
Downside Deviation (0%)13.6216.5314.0210.6410.969.41
Sortino Ratio (10%)0.310.671.342.372.483.53
Sortino Ratio (5%)0.340.751.573.103.445.26
Sortino Ratio (0%)0.350.771.633.313.725.82

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.