GNE Management, LLC : S&P Futures and Options Strategies (Prop)

archived programsClosed to new investments
Year-to-Date
N / A
Jan Performance
0.88%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
10.50%
Sharpe (RFR=1%)
1.03
CAROR
11.92%
Assets
$ 575k
Worst DD
-15.34
S&P Correlation
-0.03

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
5/2011
S&P Futures and Options Strategies (Prop) 0.88 - - - -6.26 44.34 - 113.80
S&P 500 5.62 - - - 40.12 86.59 - 157.51
+/- S&P 500 -4.74 - - - -46.38 -42.25 - -43.70

Strategy Description

Summary

The Program was designed to deliver positive returns in any market condition with low performance volatility. For more information please visit www.gnemanagement.com... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 0.65%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 35.00%
1-30 Days 65.00%
Intraday 0%

Decision-Making

Discretionary 15.00%
Systematic 85.00%

Strategy

Momentum
20.00%
Option-spreads
40.00%
Option-writing
40.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Program was designed to deliver positive returns in any market condition with low performance volatility. For more information please visit www.gnemanagement.com

Investment Strategy

GNE’s trading program is based on a study of the relationship between S&P Futures, and Options on S&P Futures since 1998. At the core of the strategy is the proprietary study performed by GNE’s management team which proved that combining negatively correlated trading strategies against the same underlying can significantly improve risk-adjusted returns and lower the volatility of returns. Using this principle, the GNE Team has developed an Options strategy which uses market timing techniques to take advantage of mean reverting nature of volatility and a number of automatically traded Futures strategies which take advantage of directional market moves. Both directional and mean reverting strategies use S&P 500 Index as the underlying thus insuring perfect negative correlation.

Risk Management

Risk Management is at the core of GNE’s Trading Strategy. By using negatively correlated trading strategies against the same underlying, GNE significantly reduces the impact of low probability (Black Swan) events. Automatic stop loss and trailing stop loss orders are used for Futures strategies to limit trade related risk and strict position sizes are enforced on Futures and Options strategies to ensure margin compliance at any level of trade cycle.

   

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
-15.34 6 8 2/1/2013 8/1/2013
-8.87 1 3 7/1/2015 8/1/2015
-8.35 3 - 8/1/2017 11/1/2017
-3.47 1 1 6/1/2014 7/1/2014
-3.38 1 1 1/1/2017 2/1/2017
-3.23 1 3 8/1/2014 9/1/2014
-2.29 1 1 2/1/2016 3/1/2016
-1.85 1 1 6/1/2016 7/1/2016
-0.65 1 1 6/1/2011 7/1/2011
-0.57 1 1 4/1/2014 5/1/2014
-0.20 2 1 11/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
22.20 10 10/1/2014 7/1/2015
20.20 13 2/1/2012 2/1/2013
19.05 4 1/1/2014 4/1/2014
15.18 6 8/1/2016 1/1/2017
13.18 6 3/1/2017 8/1/2017
10.04 4 11/1/2015 2/1/2016
8.85 1 9/1/2015 9/1/2015
7.56 3 4/1/2016 6/1/2016
7.05 4 8/1/2011 11/1/2011
6.09 2 9/1/2013 10/1/2013
5.59 1 8/1/2014 8/1/2014
4.57 2 5/1/2011 6/1/2011
2.28 2 12/1/2017 1/1/2018
1.23 1 6/1/2013 6/1/2013
0.85 1 4/1/2013 4/1/2013
0.82 1 6/1/2014 6/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.87 1 8/1/2015 8/1/2015
-8.39 1 5/1/2013 5/1/2013
-8.35 3 9/1/2017 11/1/2017
-7.47 2 7/1/2013 8/1/2013
-5.69 2 11/1/2013 12/1/2013
-3.47 1 7/1/2014 7/1/2014
-3.38 1 2/1/2017 2/1/2017
-3.23 1 9/1/2014 9/1/2014
-2.29 1 3/1/2016 3/1/2016
-2.17 1 3/1/2013 3/1/2013
-1.85 1 7/1/2016 7/1/2016
-1.06 1 10/1/2015 10/1/2015
-0.65 1 7/1/2011 7/1/2011
-0.57 1 5/1/2014 5/1/2014
-0.20 2 12/1/2011 1/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00
Percent Profitable75.3177.2285.5387.1493.75100.00100.00100.00
Average Period Return0.992.936.3113.2920.1826.7245.0462.86
Average Gain2.265.068.6816.3521.7426.7245.0462.86
Average Loss-2.89-4.30-7.68-7.49-3.26
Best Period8.8514.6919.3426.9339.5853.9879.71101.95
Worst Period-8.87-14.01-15.34-12.14-6.531.6620.4440.93
Standard Deviation3.035.026.919.8512.4915.2517.9716.25
Gain Standard Deviation1.752.913.776.0111.2515.2517.9716.25
Loss Standard Deviation2.823.763.952.992.49
Sharpe Ratio (1%)0.300.530.841.251.491.622.343.62
Average Gain / Average Loss0.781.181.132.186.67
Profit / Loss Ratio2.383.986.6814.80100.00
Downside Deviation (10%)2.133.174.134.653.511.85
Downside Deviation (5%)2.012.793.423.211.310.05
Downside Deviation (0%)1.982.703.252.870.98
Sortino Ratio (10%)0.270.540.931.783.598.90
Sortino Ratio (5%)0.450.961.703.8314.23532.34
Sortino Ratio (0%)0.501.091.944.6320.65

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.