Futures Truth Company, FTC-CTA : 200K Options Strategy

archived programs
Year-to-Date
N / A
Apr Performance
-5.54%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.62%
Sharpe (RFR=1%)
0.35
CAROR
5.20%
Assets
$ 200k
Worst DD
-30.41
S&P Correlation
0.26

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/2009
200K Options Strategy -5.54 -5.54 - -18.50 -5.16 20.56 - 31.62
S&P 500 0.85 4.54 - 10.70 49.19 75.71 - 84.99
+/- S&P 500 -6.39 -10.08 - -29.20 -54.34 -55.15 - -53.36

Strategy Description

Investment Strategy

The FTC Options Strategy is a quantitative trading strategy offered by FTC, CTA. The firm specializes in the development of trading strategies designed to capitalize on short term price movements across a diversified portfolio. This strategy is different. It was designed... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
30.00%
Trend-following
30.00%
Other
40.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Stock Indices
10.00%
Other
10.00%
Composition Pie Chart

Investment Strategy

The FTC Options Strategy is a quantitative trading strategy offered by FTC, CTA. The firm specializes in the development of trading strategies designed to capitalize on short term price movements across a diversified portfolio. This strategy is different. It was designed to have low correlation to the other strategies traded by FTC (Futures Truth Co.). The methodology is designed to trade options alone and with futures. Option Positions may be open for an average of 3 weeks to 6 months. Offered as a managed account or as a trading program.

   

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:
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:
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
-30.41 6 9 5/1/2011 11/1/2011
-18.82 14 - 2/1/2014 4/1/2015
-4.52 7 5 2/1/2013 9/1/2013
-3.76 2 1 9/1/2010 11/1/2010
-2.02 1 2 1/1/2011 2/1/2011
-1.09 1 1 4/1/2010 5/1/2010
-0.22 1 1 9/1/2012 10/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
29.79 2 12/1/2011 1/1/2012
14.28 2 12/1/2010 1/1/2011
13.20 4 6/1/2010 9/1/2010
12.57 3 3/1/2011 5/1/2011
11.79 4 6/1/2012 9/1/2012
7.92 5 12/1/2009 4/1/2010
7.70 4 11/1/2012 2/1/2013
5.76 2 3/1/2012 4/1/2012
5.61 2 5/1/2014 6/1/2014
5.33 1 3/1/2015 3/1/2015
4.55 3 12/1/2013 2/1/2014
1.05 1 10/1/2013 10/1/2013
0.91 2 5/1/2013 6/1/2013
0.70 1 12/1/2014 12/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.41 6 6/1/2011 11/1/2011
-12.75 5 7/1/2014 11/1/2014
-6.77 2 1/1/2015 2/1/2015
-5.68 2 3/1/2014 4/1/2014
-5.54 1 4/1/2015 4/1/2015
-3.76 2 10/1/2010 11/1/2010
-2.78 3 7/1/2013 9/1/2013
-2.73 1 5/1/2012 5/1/2012
-2.68 2 3/1/2013 4/1/2013
-2.02 1 2/1/2011 2/1/2011
-1.40 1 2/1/2012 2/1/2012
-1.09 1 5/1/2010 5/1/2010
-0.37 1 11/1/2013 11/1/2013
-0.22 1 10/1/2012 10/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods65.0063.0060.0054.0048.0042.0030.0018.00
Percent Profitable55.3863.4961.6766.6775.0083.3396.6794.44
Average Period Return0.511.653.407.6611.3216.5529.0031.10
Average Gain3.256.0010.5115.1817.6922.1530.1633.12
Average Loss-2.89-5.93-8.04-7.38-7.82-11.45-4.66-3.17
Best Period14.2527.9731.6550.6554.6552.0454.8056.48
Worst Period-9.51-18.95-30.41-18.41-15.44-18.00-4.66-3.17
Standard Deviation4.228.2711.7815.5516.3016.1916.9020.27
Gain Standard Deviation3.376.077.5213.3013.4610.8215.9318.94
Loss Standard Deviation2.225.757.615.585.145.51
Sharpe Ratio (1%)0.100.170.250.430.600.901.541.33
Average Gain / Average Loss1.121.011.312.062.261.936.4810.44
Profit / Loss Ratio1.401.762.104.116.799.67187.83177.45
Downside Deviation (10%)2.645.507.987.978.229.336.049.73
Downside Deviation (5%)2.465.057.025.765.275.881.471.87
Downside Deviation (0%)2.424.946.795.294.625.120.850.75
Sortino Ratio (10%)0.040.080.120.330.450.682.190.98
Sortino Ratio (5%)0.170.280.411.161.862.4717.6814.45
Sortino Ratio (0%)0.210.330.501.452.453.2334.1141.59

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 3.35 6/2012
Diversified Trader Index Month 10 5.15 3/2012
Diversified Trader Index Month 1 14.25 1/2012
Systematic Trader Index Month 2 14.25 1/2012
IASG CTA Index Month 3 14.25 1/2012
IASG CTA Index Month 1 13.60 12/2011
Systematic Trader Index Month 1 13.60 12/2011
Diversified Trader Index Month 1 13.60 12/2011
Systematic Trader Index Month 4 7.83 5/2011
Diversified Trader Index Month 4 7.83 5/2011
IASG CTA Index Month 7 7.83 5/2011
Diversified Trader Index Month 9 5.75 1/2011
Systematic Trader Index Month 8 5.75 1/2011
Systematic Trader Index Month 7 5.07 1/2010
Diversified Trader Index Month 7 5.07 1/2010

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